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Questions tagged [macroeconomics]

Macroeconomics is a general branch of economics which studies the behavior of larger economic entities like countries. Macroeconomists often analyze time series of country specific data (e.g. inflation, output, unemployment) to understand economic relationships. The application of statistics, specifically econometrics, to macroeconomic questions is called macroeconometrics.

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On assumptions of local projection method

It is well known that Jorda(2005) proposed the following model called local projection: $$y_{t+h} - y_{t-1} = \beta_h shock_{t} + \gamma_h ctr_{t-1} + \epsilon_{t,h}, h = 0,1,2,\dots,H.$$ I am trying ...
zyy's user avatar
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Does cointegration test of exogenous variable with Y variable make sense when doing ARIMAX/SARIMAX?

The cointegration test between two time series variable is generally relevant from my understanding when you are performing a regression model. In terms of ARIMA model the approach is straightforward ...
Sayooj Balakrishnan's user avatar
2 votes
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58 views

How to keep time-varying but entity-invariant variables in a panel regression fixed effects model?

I am working with a panel dataset that spans 2000Q1 to 2020Q3 and captures quarterly capital flows to 35 different Emerging Market Economies (EMEs). Along with the capital flows data, I have several ...
Leslie Zhang's user avatar
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Multiple Linear Regression Predictions with Macroeconomic Indicators

We are given some commodity (steel, copper etc.) price predictions made by the following steps: Finding the correlations between the commodity price data and macroeconomic indicators Selecting a set ...
kutlus's user avatar
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How do I analyse the impact of various macroeconomic factors on 7 currency pairs?

I’m doing a Bachelor Thesis on “The Impact of Macroeconomic Factors On Currency Exchange Rates”. Narrowing down towards my methodology section, my professor advised me to analyse about 7 currency ...
Abhisheikh Lye's user avatar
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1 answer
82 views

Propensity Score Matching and Regression

I'm currently writing a dissertation about the impact of IMF programs on economic growth, and as part of it I'm trying to control for selection bias. I have my treatment variable which is whether a ...
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Partial autocorrelation significant at regular lag distance

I am trying to forecast inflation with a simple AR model. I took the natural logarithm of the CPI and subtracted the 12th lag, thus obtaining a measure of inflation. The PACF is significant at the ...
Khairon's user avatar
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How good are inflation expectations as a predictor on inflation?

I want to research inflation expectations and how well they predict inflation. I have found some past articles but none of them explain how to forecast inflation using inflation expectations. I have a ...
Birta's user avatar
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How to compute the ergodic mean of a series?

In a paper, the authors say, "We can thus approximate welfare by computing the ergodic means of log consumption and log consumption growth from long simulations of the model.". They use the ...
Emmanuel Ameyaw's user avatar
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32 views

Write equations for $E[Y_{t+k}|X_t,Y_t]$ and $E[X_{t+k}|X_t,Y_t]$

I am working with a VAR and trying to understand the dynamics of it for forecasting. I am stuck trying to figure out the equations. Currently, I am trying to generate conditional forecasts by ...
eddie's user avatar
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Do I need to test for OLS assumptions(autocorrelation and normality) in cross sectional data with 2 time variant control variables?

My dataset consists of 950k unique loan observations over the period of 4 months. The institution is international, so it has some observations from different countries (not panel data). I am studying ...
Laiy's user avatar
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Choosing the best Time Series Decompositions technique for International Trade

I have monthly Export and Import of country by product groups and partners (countries). I want to analyze time series and decompose it into Trend, Seasonality and Remainder components. My question is, ...
Aaron's user avatar
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Incorporating impulse responses while forecasting macro variables

I am forecasting a few macro variables such as inflation rate (INF), GDP, unemployment rate (UNRATE), federal funds rate (FFR) etc. Then, I imposed a 2 % upward shock on the federal funds rate, and ...
qwertyuiop's user avatar
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Interpret the impulse response when define shocks in terms of variances of the residual of the equation

I’m trying to interpret the meaning of the shocks when they are written in terms of standard errors. I have constructed a multi-country Global Projections Model similar to IMF's model here. Suppose ...
qwertyuiop's user avatar
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The meaning of Test Unit Roots: unanswerable and answerable questions

In the section 15.4 of Hamilton's book Time Series Analysis ( 15.4: The meaning of Test Unit Roots) the author says: Although it might be very interesting to know whether a time series has a unit root,...
Fam's user avatar
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Non-stationary time series data and OLS regression (with controls)

I am using 2000-2020 quarterly data and want to test if an appreciation of the real exchange rate leads to a decrease in manufacturing output of a country. However, my data seems to be non-stationary ...
mek1401's user avatar
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(Undergrad looking for help) In logarithmic regression (log-log), what does it mean if your explanatory variable is already a percentage?

So I'm hoping to a regression of Human Development Index against some economic variables I think could affect it. Some types of aid per capita, education spending by government as a percentage of gdp, ...
HeyThatsActuallyGood's user avatar
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How do you interpret impulse response function values?

I'm trying to figure out how to interpret the output values of an impulse response function. Consider a VAR model with 3 variables and 8 lags. The variables are, in order, gdp-gap, inflation ...
Tomas R's user avatar
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What to do when kpss contradicts ADF?

I'm testing to see if Inflation has a unit root and if it has a drift and trend, just drift or no drift and trend. My results from the ADF test looks like this: ...
Tomas R's user avatar
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1 answer
391 views

Forecasting model with OLS

I am trying to estimate a model by using OLS (ordinary least squares) regression, I find that the default rate (my dependent variable) $y_t$ is non-stationary, therefore I take the difference to make ...
maj3r's user avatar
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SARIMA forecast of economic variables with shocks of COVID-19 [duplicate]

I am trying to fit a SARIMA model to a macroeconomic variable. However there is a huge drop in 2020-March due to Covid-19 and after 3 months the drop has been recovered. So the MAPE is very low. How ...
Geek_Tech's user avatar
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Appropriate forecasting methods for only 20 observations [duplicate]

I am trying to forecast the regional GDP growth of our region in the next five years, I only have 20 observations in my data which is yearly, what forecasting model is appropriate? I tried ARIMA in r ...
Anisah's user avatar
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1 vote
2 answers
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Anything wrong with taking the log of an interest rate?

Suppose I am looking to forecast the 2 Year Treasury Bond rate with an ARIMA type model. The series is I(1) but its first difference does not look stationary due to non-constant variance. A general ...
ColorStatistics's user avatar
1 vote
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197 views

Covariance Matrix Estimation for the Generalized Method of Moments

I am solving and empirical exercise on the Generalized Method of Moments. It's a classical application/test of a famous model in Economics. There are 2 parameters $(\beta, \gamma)$ to be estimated ...
Raul Guarini Riva's user avatar
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1 answer
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Unexpected forecasts of unemployment by auto.arima

I am building a time series model on the historical monthly unemployment data. As my data starts from 1979, my first plot indicated that I should do two split analysis - all data (from 1978 to 2021 ...
Kriti's user avatar
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2 answers
79 views

What kind of econometric models would be appropriate to determine the presence of a causal relationship?

I am conducting some econometric research on the impact of austerity on birth rates in the UK. I would be using publicly available data from the UK government covering the number of births per year, ...
ExploringData's user avatar
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71 views

VAR-Model with variables that have different degrees of integration?

I am estimating a VAR-model with three (anual) variables: GDP, Unemployment rate and Inflation. (57 observations) Inflation and GDP are I(1), so I want to use them as growth rates in the model. But ...
Joe94's user avatar
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191 views

VECM coefficients and equations

I am building a macroeconomic model using VECM. I have a dataset divided into training and testing set and I am forecasting the future values of y. I performed all the testing and I want to get the ...
Kamila's user avatar
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1 vote
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58 views

Estimating stochastic volatility shock for TFP

I am trying to estimate a stochastic volatility shock for Total Factor Productivity (TFP) in a similar way to Fernandez-Villaverde and Rubio-Ramírez (2010) and Fernandez-Villaverde et al. (2011). $$...
Moataz's user avatar
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Gross domestic spending on R&D data [closed]

I'm looking for data about R&D but I just found OECD data until 1981, so do you guys know where can I find data for R&D spending before 1981. Sorry if here it's not the place to ask for this
Henrique couto's user avatar
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1 answer
43 views

How to add both long-term and short-term interest rates as variables for a GARCH model?

I was facing some difficulties with a model of mine. I want to look up how the portfolio reacts to interest rate changes and I would like to use a GARCH model. However, both the short-term and long-...
Very Pleasant's user avatar
2 votes
1 answer
143 views

How to check the consistency of OLS estimator in macroeconomic models

Problem: We have a model $$C_t = a + b Y_t + e_t$$ and $$ Y_t = C_t + I_t$$ It's known that $Cov(I, e)$ is zero. A student estimates the following model: $$C_t = a + b Y_t + e_t$$ Are the estimators $\...
student's user avatar
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0 answers
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Database for Macroeconomic Time-series [closed]

I have decided to improve my well-being and in case being successful write a note about this and share it with my peers for free and try to help them improve there well-being as well. But on this road,...
G.T.'s user avatar
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1 answer
113 views

Intuitive/Practical meaning of non-stationarity of GDP Data

As i just read in a time series book that a particular GDP data under consideration is non-stationary verified through various tests. From stationarity definition this means that the process has ...
pkg7724's user avatar
1 vote
0 answers
146 views

Calculating natural rate of unemployment

I have sample data on unemployment rate in a market and am looking to calculate the natural unemployment rate. The natural unemployment rate I obtained is constant over a time period, which is not a ...
kms's user avatar
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0 answers
276 views

Using macroeconomic variables in Market Mix Model

I am building a market mix model from proprietary data to predict sales. I would like to include macroeconomic variables as well, such as unemployment rate and consumer confidence. However, the ...
bsg's user avatar
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1 answer
161 views

Working with systems with Perfect Multicollinearity

I am working with a time-series dataset that is based on demand-supply dynamics with several variables. THe sample data for one time period is: ...
Raghav Goyal's user avatar
2 votes
0 answers
29 views

How is the fraction of individuals with negative income handled in calculating the Gini coefficient in grouped data?

Much of the literature on theorizing and estimating the Gini coefficient $G$ is predicated upon the lower bound of the income distribution being $\$0$ (or whatever your unit of currency is); that is, ...
Alexis's user avatar
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2 votes
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When calculating the Gini coefficient for the US, how should the portion of the population which has not filed a return be incorporated?

The Gini coefficient $G$ is a commonly used measure of income distribution inequality, taking values from 0 (meaning every individual in the population has an identical income) to 1 (meaning a single ...
Alexis's user avatar
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1 vote
1 answer
70 views

Time Series Multivariate Forecasting

I am building a time series forecasting model in which I am considering the macroeconomic indicators as predictors.I wanted to understand 3 things How do I generally go about feature selection for my ...
Raj's user avatar
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1 vote
0 answers
355 views

Pros and cons of converting weekly to daily data

I am trying to forecast an economic variable called the "yield spread" in python. Among the variables in my dataset, two of them are measured on a weekly basis. These are: unemployment ...
Frodo Baggins's user avatar
0 votes
1 answer
833 views

ARIMA forecasts with autocorrelated residuals

I have a time series on consumer price index (CPI) and want to forecast inflation which is in my case the first difference of the log of CPI: ...
29ML's user avatar
  • 15
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0 answers
523 views

VAR Model: Non-stationarity of variables

I am currently working on an empirical analysis in R. To give you some background information: I want to estimate a VAR-model to subsequently develop IRFs from it (using cholesky decomposition). My ...
Gian-Luca Omari's user avatar
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0 answers
166 views

Granger causality over VECM (unknown possible problem in data)

I have data with 4 variables GDP, foreign debt, export (all in nominal values), and exchange rate. Each of those are I(1) (the difference is stationary). The four variables together are cointegrated ...
levani's user avatar
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2 votes
1 answer
1k views

Lagged values in a Lasso regression

While working on the statistics for my thesis, I became confused while building up my model. I am currently working on a forecasting model with the use of a LASSO regression. The model is build as ...
Matt's user avatar
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1 vote
0 answers
37 views

Will simultaneity bias occur if I use VAR to test the linkages between monetary shocks, interest rates, and inflation?

I am writing an undergraduate paper and my goal is to investigate the liquidity effect. That is, I want to determine if expansions in monetary policy reduce interest rates. Initially, I wanted to ...
Andrew 's user avatar
2 votes
2 answers
624 views

How to statistically test relationship between two variables?

I am trying to investigate the stability of spread between two short-term interest rates by the example of 1M and 12M Euribor. I don't think only looking at correlations over time is statisically ...
Frank's user avatar
  • 131
0 votes
1 answer
179 views

OLS regression on linear time series model

I am dealing with macro-economic data in EVIEWS11: new firms founded per year scaled by population ENT real gdp per capita Y stock market capitalisation scaled by population and in real terms MK ...
Enjo Faes's user avatar
1 vote
0 answers
129 views

How to find the log diff of data values on Excel? [closed]

I'm currently looking to run a MLR on GDP: quarter on quarter growth. I’ve been asked to find the log diff of the gdp, however I’m unaware on how to do this on Excel and how to account for negative ...
StressedStudent98's user avatar
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37 views

VAR IRF for GPD with all GDP components

My question is twofold (hope it's ok). I want to estimate VAR model with the sole purpose of analysing the impulse response functions. I want to analyse the response of GDP to shock in exports and ...
Viðar Ingason's user avatar