Stack Exchange Network

Stack Exchange network consists of 175 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange
The results are in! See what nearly 90,000 developers picked as their most loved, dreaded, and desired coding languages and more in the 2019 Developer Survey.

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.

1
vote
0answers
12 views

How to Convert Quarterly Data into Annual Data

I'm doing a project where I'm trying to compare the median wage of workers that had federal job training to the minimum wage indexed to productivity. The Department of Labor only offers the median ...
0
votes
0answers
19 views

Elasticity Value for Log-Log and Level-Level Model

For a data if I calculate Elasticity using 1) log-log model with Elasticity = Beta and 2) Calculate elasticity in Level-Level Model with elasticity = beta *(X/Y) should the resultant value of ...
0
votes
1answer
37 views

How important is a statistically significant intercept?

I've created the following model: log(consumption) = a + b*log(GDP) + c*log(GDP(-1)) + d*log(consumption(-1)) The slope coefficients are all statistically ...
0
votes
0answers
27 views

Choosing between two econometric models

I created an initial model log(Consumption) = a + b*log(GDP), which showed strong evidence of autocorrelation and heteroscedasticity. I've created two different models to address this but I'm ...
1
vote
0answers
16 views

What econometric model would be use to study trade between a home country, and multiple foreign countries? [closed]

While initally my proffesor and I thought a gravity model would suffice, we realized that the gravity model generally specifies only two countries in the textbook. Is their a gravity-type model for n ...
2
votes
0answers
22 views

Decomposition of interest rate risk premia

I have a question on econometric modelling techniques for decomposition. I have three variables: - V1 which is an indicator of an interest rate risk premia - V2 which is an indicator of a credit risk ...
2
votes
1answer
249 views

Interpretation of the Impulse Response Function - VAR Estimation

I have some issues while discussing and interpreting this impulse response function (the graphics analysis). What do they mean and represent economically? What can the conclusions be? Basically ...
2
votes
0answers
36 views

Time varying representation of Okun's law

I've estimated a dynamic linear model to capture time varying parameters in an Okun's law type of model: I set the starting values for the state vector all equal to zero and estimate the system ...
0
votes
0answers
13 views

Rescaling Linear Impulse Response Functions, Innovations, and Confidence Bands

all. I am using a VAR model to do a bit of analysis. I obtain cumulative (linear) orthogonalized impulse response functions (COIRF). Because I am conducting similar analysis across different time ...
0
votes
0answers
25 views

Is Error Correction Model the right way to find relationship between wages and productivity?

I want to find out if there is a causal relationship between the productivity and wages in several sectors. For that purpose i was thinking about using an Error correction model. However, there are so ...
0
votes
1answer
36 views

Supply and Demand Graphs in R [closed]

Does anyone know of any R package that can make visuals for economics like the classic supply and demand graph? Obviously I googled this and found a package called "reconPlots" but I believe it's ...
3
votes
0answers
44 views

Thomas Sargent's intuition as to why every covariance stationary series has an infinite-order Wold representation

In his classic book "Time Series Analysis", James Hamilton references Thomas Sargent (["Dynamic Macroeconomic Theory"], 1987, pp. 286-290) as a "nice sketch of the intuition behind this result [Wold ...
1
vote
1answer
88 views

Unit Root - Real Interest Rate

I want to find out whether the real interest rate of different countries are non-stationary. The real interest rate is defined as the difference between the nominal interest rate and the inflation ...
1
vote
0answers
19 views

VAR(p) models and its application in describing GDP growth

Im currently reading up on Vector Auto Regression models however I cant wrap my head around how you set a model to describe a variable. My goal is it use interest rate, imports and exchange rate to ...
1
vote
0answers
35 views

VECM with Multicollinearity

I have fit a vector error correction model (VECM) to some macroeconomic data. In particular, I am interested in three relationships real GDP as a function of employment and real wages employment as a ...
1
vote
1answer
20 views

Long-term targets of variables in levels for differenced VAR

I am currently trying to estimate a VAR(1) model for some variables including inflation. Lets say the VAR model looks like this: $$ X_t = c + \Pi X_{t-1} + \epsilon_t. $$ In this case we can set long-...
1
vote
1answer
28 views

Macroeconomic effects. Effects of a time serie on another

I have a monthly time series for the provision in a financial institution. Take real data until december 2017 and predict it with a Bat model until June 2018 using R and I have an error of 0.12%. This ...
0
votes
1answer
79 views

Macroeconomic variables in GARCH

I'm using a GARCH model which studies the relationship between news effects and the commodity market. In the model, I would also like to include some macroeconomic variables, e.g. interest rates or ...
0
votes
0answers
16 views

Survival probability in economics

I try to deal with survival probability in economics. Hope the question fits the site. I am trying to integrate by parts by using an indicator function. However, I am not really sure if it is a ...
0
votes
1answer
99 views

Interest rate control variable GARCH

I'm building a GARCH model which looks if analysts' reports affect the volatility of certain stocks. I was wondering if it would be logical to include the interest rate in my GARCH model as a sort of ...
2
votes
1answer
39 views

How to estimate all percentile values (or distribution) from only decile values?

Background: I have two datasets with income estimates, one for the GLOBAL population, one for a LOCAL population (LOCAL only a small fraction of GLOBAL, on the order of 1/100). Datapoints: I have ...
0
votes
0answers
29 views

Missing news data in GARCH

I'm trying to use a GARCH(1,1) model to see if news articles (and their sentiment) about oil have an impact on the volatility of the oil price. However, in my period of interest, there are a lot of ...
0
votes
0answers
44 views

Using GARCH and LDA

I'm working on a regression model using Latent Dirichlet Allocation (LDA). Using daily news data, I'm using a GARCH-model to see if different topics found using LDA indeed are significant in the ...
0
votes
0answers
5 views

How to quantify effects of macroeconomical factors on weekly time series data?

I have a weekly sales time series data of a product for years. Corresponding to each year, I have say CPI(consumer price Index) data. So only 5 points. How can I assess the impact(quantify) of such 5 ...
0
votes
0answers
51 views

How to solve a well fitted model - Model Misspecification

I am currently writing a paper, analysing the impact of goldprice movements on the capital structure of gold mining firms. My basic model is a simple OLS model with (y=leverage and x=ln(goldprice)). ...
1
vote
0answers
55 views

Gini index question

If a country A has a higher Gini index than country B, can you interpret this as that the income distribution in A is lower because of the higher inequality? So we would expect to see wealth being ...
2
votes
0answers
132 views

Structural Equation Model and Causality in Economics

I would want to make a study about the influence of some regressors in the evaluation of the effects of increment of subsidy in an economic sector. I would use SEM (Structural Equation Model) to ...
1
vote
1answer
152 views

Interpreting diagnostics and tests with time series data

I am analysing the effect of monetary policy on output and inflation during crisis and after. Monetary policy is represented by exchange rate, interest rate, money supply and indicator of systemic ...
1
vote
0answers
177 views

How do you interpret the coefficient of a growth variable when the dependent variable is also a growth variable?

How do you interpret a coefficient of $\beta=0.0307 $ in this model? $ \frac { \Delta Y _ { t ,t + k } ^ { i j } } { Y _ { t } ^ { i j } } = \mu _ { j } + \beta \frac { \Delta P _ { t ,t + k } ^ { i ...
2
votes
1answer
331 views

How to interpret an equation with both growth rates and logged variables?

How do you interpret $\beta_{1}$ in an equation like this: $$\frac { \Delta P _ { t ,t + k } ^ { i ,j } } { P _ { t } ^ { i ,j } } = \mu _ { j } + \beta _ { 1} \ln \left( P _ { t } ^ { i ,j } \right) ...
0
votes
1answer
178 views

Avoiding multicollinearity in a multi group diff-in-diff model

Suppose I have an experiment where I have three groups $A, B , C$, such that groups $A$ and $B$ have specific (but different) characteristics and group $C$ is just a control group, with no special ...
1
vote
1answer
26 views

Estimating regional level data from national data

I am trying to estimate regional unemployment rate. I understand unemployment rate is calculated as (number of people unemployed/total labour force). For the national level, I have historical rates as ...
0
votes
1answer
391 views

Rate of Unemployment better logarithm or not

In an econometric point of view when I have a variable such as unemployment rate which is a percentage, should I transform it with logarithm? This question came to my mind cause when we have variable ...
1
vote
1answer
222 views

Unit root test Unemployment

I want to analyze the unemployment rate in Austria from 1999 to 2017, quaterly data. Here's the code for the time series: ...
1
vote
1answer
93 views

Using a VAR over a VECM (in spite of of existing cointegration)

Is there ever a reason to use a first differenced VAR over a VECM when all your variables are I(1) and co integration exists? The reason why I ask is because I see in the most recent Bank of Canada ...
1
vote
1answer
38 views

Regressions using panel data, is there a way to account for countries that have opposite reactions towards a change in the same explanatory variable?

For example, if the United States savings ratio is increased with a decline in interest rate, but Canada's savings ratio decreases with a decline in interest rate (savings rates and interest rates are ...
0
votes
0answers
136 views

Why can't I test for endogeneity by regressing the standard errors on x?

I have a savings variable that I'm regressing on the real interest rate. I want to test for endogeneity but I don't have any instrumental variable, so I can't use the Hausman test. Why is it not ...
0
votes
1answer
38 views

Can quintile/dispersion ratios be decomposed according to subgroups?

I'm try to decompose inequality/dispersion ratios (top 10% to bottom 10% or top 20% to bottom 20%) according to subgroups. I would like to say something like e.g. males are responsible for x% and ...
1
vote
1answer
73 views

Structural change or GARCH model

I have GDP Time series, that has a positive stochastic trend trend: ...
0
votes
0answers
55 views

Adjustment for inflation in VAR (quarterly, annual and trailing LTM)

I'm building a VAR model with quarterly data. My variables include inflation (last twelve month), changes in housing price index (adj. for quarter over quarter inflation), changes in construction ...
1
vote
0answers
42 views

Can some series be seasonally unadjusted while others are adjusted in a VAR model?

I am modeling a SVAR to explain how oil price shocks have an impact on stock price, after downloading time series from the FRED database I noticed that Consumer Price Index is seasonally adj. unlike ...
0
votes
1answer
31 views

Which model to use when one variable is country specific and the other is company specific?

So basically my study is on a single country with a 10 year time period. The sample is of several companies of that country. My independent variables are of two kinds, one is country-specific ...
0
votes
1answer
487 views

What are some leading academic papers on Machine Learning applied to financial markets [closed]

I am looking for some seminal papers regarding machine learning being applied to financial markets, I am interested in all areas of finance however to keep this question specific I am now looking at ...
1
vote
0answers
56 views

VAR model terminology

I am currently trying to learn more about VAR models in general and have been reading Cochrane's paper on transitory GNP components which can be found here, http://faculty.chicagobooth.edu/john....
1
vote
1answer
440 views

Testing for Granger causality in a VAR model with zero lags

Is having a maximum lag length of 0 ok after the differencing of variables (variables are not stationary at level). If yes, how can we run the Granger Causality Test through VAR or VECM modelling ...
0
votes
1answer
42 views

Using a Unit Invariant Parameter in Fixed Effects Regression

I'm performing regressions on the relationship between macroeconomic factors and firm survival across industries. I have the real GDP growth rates for each industry and the PRIME rate for the entire ...
2
votes
0answers
324 views

IRF function with several exogenous covarites (SVAR model)

How to interpret an IRF function with exogenous covariates. Example: Small open economy which I control for foreign variables (Endogenous variables cannot influence the exogenous variables). The ...
1
vote
0answers
116 views

Extension to IRF functions for Cointegrated VAR model?

I have question relating to how to interpret an Impulse response function in a system of 5 endogenous non-stationary variables (GDP, Investment, Uncertainty index, Interest rate and inflation rate) ...
1
vote
1answer
57 views

How to model a series with a shock in all independent variables

My problem is a small sample of quarterly macro data with only about 55 observations. During the observed period there were several shocks, one of which happened four years ago and was rather huge, ...
1
vote
0answers
20 views

Best autoregressive estimator when persistence is higher for levels than changes

I'm trying to think of how to forecast unemployment using an autoregressive technique. Obviously the persistence is higher in historical data for unemployment than it is in changes in unemployment. (I ...