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.
161
questions
2
votes
0
answers
30
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 ...
- 21
1
vote
0
answers
27
views
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 ...
- 229
0
votes
0
answers
18
views
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 ...
0
votes
0
answers
19
views
Oaxaca-Blinder in Macroeconomics?
I'm currently trying to have a look at the effect of renewable energy consumption and innovation on economic growth. One technique I was looking at for showing this was running an Oaxaca-Blinder ...
- 11
1
vote
1
answer
61
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 ...
user383957
0
votes
0
answers
6
views
Is a structural VAR method ideal to analyze the effects of the German 9Euro Public transport ticket on CPI?
I am trying to analyse the effects that the German policy to introduce a 9Euro public transport ticket had on German CPI using a VAR model (which, according to my reading, is the most appropriate ...
0
votes
0
answers
17
views
Calculating inflation for retail data
I am currently using a sales weighted average, on retail price increases, in order to calulate a categories Year-over-Year inflation rate.
I am running into an issue however, when I am using products ...
1
vote
0
answers
15
views
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 ...
- 63
0
votes
0
answers
30
views
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 ...
- 1
0
votes
0
answers
25
views
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 ...
- 105
0
votes
0
answers
34
views
Non stationary data OLS more meaningful results than when differencing?
Me and my group want to analyze the impact of interest rates on stock market prices (in the US). We got annual data (1961-2021). We did 3 regressions, using also inflation and gdp (adding diff ...
- 1
1
vote
0
answers
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 ...
- 207
0
votes
0
answers
40
views
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 ...
- 205
0
votes
1
answer
20
views
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, ...
- 5
1
vote
0
answers
25
views
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 ...
- 11
0
votes
1
answer
122
views
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 ...
4
votes
1
answer
53
views
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,...
- 997
0
votes
1
answer
242
views
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 ...
- 3
0
votes
0
answers
19
views
(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, ...
0
votes
0
answers
890
views
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 ...
- 177
0
votes
0
answers
156
views
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:
...
- 177
1
vote
1
answer
196
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 ...
- 21
1
vote
0
answers
22
views
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 ...
- 139
0
votes
0
answers
54
views
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 ...
- 1
1
vote
2
answers
1k
views
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 ...
- 4,166
1
vote
0
answers
169
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 ...
0
votes
1
answer
71
views
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 ...
- 1
1
vote
2
answers
53
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, ...
0
votes
0
answers
67
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 ...
- 65
0
votes
0
answers
161
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 ...
- 1
1
vote
0
answers
56
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).
$$...
- 11
1
vote
0
answers
16
views
Gross domestic spending on R&D data [closed]
I'm looking for data about R&D but I just found OECD data until 1981, so do you guys know where can I find data for R&D spending before 1981. Sorry if here it's not the place to ask for this
0
votes
1
answer
41
views
How to add both long-term and short-term interest rates as variables for a GARCH model?
I was facing some difficulties with a model of mine. I want to look up how the portfolio reacts to interest rate changes and I would like to use a GARCH model. However, both the short-term and long-...
2
votes
1
answer
133
views
How to check the consistency of OLS estimator in macroeconomic models
Problem:
We have a model $$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 $\...
- 231
1
vote
0
answers
51
views
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,...
- 146
0
votes
1
answer
84
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 ...
- 1
1
vote
0
answers
106
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 ...
- 528
0
votes
0
answers
206
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 ...
- 213
0
votes
1
answer
140
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:
...
- 138
2
votes
0
answers
26
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, ...
- 28.9k
2
votes
0
answers
24
views
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 ...
- 28.9k
1
vote
1
answer
57
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 ...
- 11
1
vote
0
answers
309
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 ...
0
votes
1
answer
616
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: ...
- 15
0
votes
0
answers
437
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 ...
0
votes
0
answers
145
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 ...
- 11
1
vote
1
answer
808
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 ...
- 13
1
vote
0
answers
32
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 ...
- 55
2
votes
2
answers
603
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 ...
- 131
0
votes
1
answer
140
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
...