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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573 views

Blanchard and Quah output gap

In the paper of Blanchard and Quah (1989), they estimate the impact of demand shock on delta(real GDP). And from that they could estimate the impact of demand shock on real GDP (which is output gap). ...
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10 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 ...
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41 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 ...
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2answers
116 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 ...
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17 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 ...
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1answer
50 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 ...
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2answers
36 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, ...
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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 ...
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1answer
267 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 ...
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23 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 ...
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15 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 ...
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30 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 ...
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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 ...
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16 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. ...
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21 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). $$...
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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 ...
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1answer
44 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 $\...
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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
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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-...
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1answer
920 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
2k views

Can you regress a variable on first differences on a variable on second differences?

I am working with GDP and Foreign Direct Investment (net stock) series. Net stock becomes stationary when taking first differences but this does not work for GDP. I need to take second differences for ...
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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,...
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1answer
26 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 ...
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0answers
34 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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1answer
4k views

Correlation between monthly and quarterly data

Does anybody know how to measure the correlation between monthly and quarterly data? I would like to calculate the correlation between ISM PMI (monthly) and Real GDP growth (quarterly). So, the 2 ...
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28 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
82 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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1answer
311 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
43 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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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, ...
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0answers
22 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 ...
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0answers
86 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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1answer
275 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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1answer
502 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 ...
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101 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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0answers
39 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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2answers
142 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
295 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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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 ...
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1answer
56 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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0answers
43 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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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 ...
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0answers
43 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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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 ...
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0answers
482 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 ...
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1answer
44 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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1answer
97 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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0answers
17 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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3answers
326 views

Regression results contradict economic theory (GDP analysis)

I am currently doing a thesis on the impacts of oil prices on the macroeconomy. The literature suggests that there is a negative relationship between the oil price and the GDP. After running a basic ...
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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 ...