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.

Filter by
Sorted by
Tagged with
0
votes
1answer
49 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
vote
2answers
32 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
0answers
10 views

How do I fully decompose a time series into the influence of different factors/variables?

I am working with a dataset of monthly consumer prices, namely - year-over-year inflation. My goal is to achieve an exhaustive decomposition of an annual price change into the contribution of ...
0
votes
0answers
19 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 ...
0
votes
0answers
14 views

Which model is the most appropriate for my data?

I've been searching for the right model for several months, but i ended up with nothing untill now. That's why i'm here asking for help. My research purpose is to analyse the impact of rural programs ...
0
votes
0answers
25 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 ...
0
votes
0answers
12 views

Alternatives to Hodrick-Prescott for obtaining cycle component

I have a time series, and I only want cyclical component. HP filter has been criticized but I'd like to know your views in which rigorous alternatives exists for that end and that are commonly used in ...
0
votes
0answers
12 views

Fixed Effects Regressions with Time and Individual Fixed Effects

Good afternoon, The following questions are to essentially check whether I am carrying out the correct econometric regressions free from any errors before computing them on Stata to get some results. ...
0
votes
0answers
15 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). $$...
0
votes
0answers
15 views

Should I calculate the real value of net exports using the PPI for a linear regression?

I am using real values for variables such as GDP and Effective exchange rate for my OLS regression I was wondering if I should use the Producer Price index to to find the real value of net exports or ...
1
vote
0answers
15 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
1answer
31 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-...
1
vote
1answer
33 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 $\...
1
vote
0answers
30 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,...
0
votes
1answer
21 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
vote
0answers
33 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 ...
0
votes
0answers
27 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 ...
0
votes
1answer
77 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: ...
1
vote
0answers
13 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, ...
2
votes
0answers
20 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 ...
1
vote
1answer
40 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 ...
1
vote
0answers
69 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
1answer
235 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: ...
0
votes
0answers
95 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
0answers
30 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 ...
1
vote
1answer
243 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 ...
1
vote
0answers
13 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 ...
2
votes
2answers
124 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 ...
0
votes
1answer
52 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 ...
1
vote
0answers
41 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 ...
0
votes
0answers
21 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 ...
1
vote
0answers
41 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 ...
1
vote
1answer
53 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 ...
1
vote
1answer
738 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 ...
3
votes
1answer
92 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 ...
1
vote
0answers
16 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 ...
0
votes
1answer
43 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 ...
0
votes
1answer
106 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(...
0
votes
1answer
61 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 ...
1
vote
1answer
628 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 ...
1
vote
2answers
148 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 ...
1
vote
2answers
35 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 ...
1
vote
0answers
14 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 ...
1
vote
0answers
38 views

OLS as estimator

we've been given following question, but have some trouble getting started, can anyone help out? $\pi_{t}=\alpha_{1}+\alpha_{2} u_{t}+\alpha_{3} \pi_{t+1 | t}^{e}+\eta_{t}, \quad t=1,2, \ldots, T$ ...
1
vote
0answers
31 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 ...
1
vote
0answers
344 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
1answer
295 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 ...
1
vote
0answers
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 ...
2
votes
0answers
46 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 ...
4
votes
1answer
3k 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 ...