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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23 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 ...
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21 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 ...
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1answer
45 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: ...
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10 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, ...
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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 ...
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1answer
38 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 ...
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28 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 ...
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15 views

Adjusting for Inflation for Poverty Statistics?

I am creating two poverty statistics with the same dataset and am curious as to whether I should be adjusting for inflation. Specifically, I am creating an absolute and relative measure of poverty for ...
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1answer
100 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: ...
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78 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 ...
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14 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 ...
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1answer
113 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 ...
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11 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 ...
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62 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 ...
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1answer
36 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 ...
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18 views

Regression: Is it bad practice to use log difference as approximation for % difference when changes are large?

I'm running a vector autoregression model with quarterly IPOs as one of the variables. Since the number of IPOs isn't stationary, I took the log first difference to make it stationary. However, I ...
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27 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 ...
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19 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 ...
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32 views

Why impulse responses are so weird in this exercise?

I ran my VAR model with inflation, real gdp, a proxy for fiscal policy and a policy indicator. I used the function externalinstrument in R and followed this ...
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24 views

I have I(1) dependent, two I(0) and one I(2) independent variables, which model I have to use?

I want inflation forecast. I have I(1) dependent, two I(0) and one I(2) independent variables, how can I check co-integration and which model I have to use? I was about to use ARDL or ECM model, but ...
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1answer
51 views

How do I solve this system of equations?

I am doing something that is commmon practice in economics to uniquely identify matrices. After deriving 3 unrotated factors from PCA, I then want to rotate them to be able to interpret them in ...
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138 views

Johansen-Procedure Interpretation (ca.jo)

I am trying to run a Johansen-Procedure in a set of macroeconomic variables (GDP, credit outstanding and industrial production). I am working with them in level. How should I interpret the following ...
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1answer
58 views

Overview Standard Error Correction in Time Series / Panel Literature

In microeconometrics, the time component is usually short (meaning that $T$ is fixed in $t=1,\ldots,T$). Serial correlation is here usually just seen as a negligible issue affecting the standard ...
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13 views

How best to construct an indicator variable to capture the effects of an intervention? [closed]

How should one construct an indicator variable to properly capture the effects of an intervention? If an intervention like the 2008 bailout (TARP-Economic stimulus) is to get proper credit for the ...
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46 views

Cointegration of two time series

this is more of a conceptual question. I'm wondering whether a linear relationship exists between two time series: short-term interest rate differential of U.S. and U.K. and the GBP/USD exchange rate ...
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1answer
38 views

OLS, IV applied to basic macro model

I am preparing for my final in Econometrics but I am confused over a new problem I encountered. I think I have solved it but I am unsure whether I am not making any gross mistakes. This is the study ...
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9 views

Is it possible to test variable paths in a VAR model?

I am trying to write a model to predict the GDP. For now I am running a very simple model with the interest rate and the GDP. Since both are correlated, I tried a VAR model. The following code is in ...
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1answer
59 views

First difference or seasonal difference in VAR/VECM

I have monthly data on house price, rental price, wage index and interest rates. I want to use VAR to produce impulse response function. Is there any reason why I should use first difference, x(t)/x(...
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1answer
33 views

Applying settlement and Regional fixed effects

I'm reading a paper by Gyöngyösi and Verner (2019), and noticed that the authors have included fixed effects at the settlement (seems to be akin to village/town) and at the region level, in a number ...
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1answer
412 views

How to analyse an impulse response function with more than 2 variables?

I am running an impulse response function in R, using the package vars. My data has 3 variables, the inflation (Brazilian CPI, or IPCA), the exchange rate and the output gap. My goal is to calculate ...
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2answers
86 views

Deseasonalize data AND deflate with CPI?

I have property return variables and economic variables that I am using in a VECM/VAR to generate Impulse Response Functions. I have deflated my data with CPI, but do I also have to deseasonalize the ...
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2answers
33 views

Can i use short time series data?

I want to run ols regression for time series data in R, but my data is short that is annual from 2000-2009. There are only 9 variables(2000-2009) and i collected data for inflation and exchange rate ...
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0answers
12 views

How do you compute Cross Correlation,Coherence and Mean Dealy?

I have been researching about economic forcasting using NBER type of analysis. It says about computing Cross Correlation, Coherence and Mean Delay of turning points then use them to determine which ...
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37 views

OLS as estimator

we've been given following question, but have some trouble getting started, can anyone help out? $\pi_{t}=\alpha_{1}+\alpha_{2} u_{t}+\alpha_{3} \pi_{t+1 | t}^{e}+\eta_{t}, \quad t=1,2, \ldots, T$ ...
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24 views

First or second difference or log for simulated real GDP data?

For a paper I need to use simulated real GDP data to regress this on average income mobility (how much more the next generation earns). As a hint the assignment indicates that the STATA code for a ...
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0answers
303 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 ...
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1answer
166 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 ...
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20 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 ...
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0answers
39 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 ...
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1answer
2k 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 ...
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0answers
57 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 ...
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1answer
427 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 ...
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0answers
81 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 ...
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1answer
334 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 ...
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0answers
32 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 ...
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68 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 ...
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1answer
24 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-...
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1answer
30 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 ...
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1answer
215 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 ...
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1answer
240 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 ...