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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374 views

Regressing nonstationary on stationary variable

I am trying to empirically estimate the coefficient for the Okun's law as a relationship between output growth and unemployment. I am using the simple gap version, where I regress real output growth (...
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274 views

Panel data model for exports and exchange rates

Suppose I have 4 years worth of monthly panel data on: exports of widgets $y$ from home country to 12 different nations (in US dollars) nominal exchange rates $x$ for those 12 countries (in US ...
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90 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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753 views

Specifying deterministic terms in VECM in case of logarithmic varriables

I have constructed a VEC model to study real housing price dynamics in relation to demographic demand, real GDP and costs of mortgages. However, I am stuck with the choice of deterministic terms. ...
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186 views

VAR model with different time period for each series

I am trying to fit a Vector Autoregression model to forecast GDP growth Rate. I have 2 series, monthly GDP growth rate and a monthly economic indicator. For the monthly GDP growth rate, the latest ...
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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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2answers
133 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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0answers
47 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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91 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
259 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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0answers
478 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 ...
2
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1answer
57 views

Replicate cointegration rank statistics using a 9 variable VAR(2)

I am trying to replicate Tables 3 and 4 from the paper "A Long Run Structural Macroeconometric Model OF the UK" by Garratt et al (2003). Using the Akaike criterion the authors decide to proceed with ...
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102 views

Creating an index that measures how accurate economsits are at predicting the US economy

I am interested in building an index that tracks how accurate economists are at predicting several US economic statistics: US Jobless claims number: comes out weekly, ranges from 100k to 400k, ...
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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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18 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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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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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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78 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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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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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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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 ...
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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 ...
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38 views

OLS as estimator

we've been given following question, but have some trouble getting started, can anyone help out? $\pi_{t}=\alpha_{1}+\alpha_{2} u_{t}+\alpha_{3} \pi_{t+1 | t}^{e}+\eta_{t}, \quad t=1,2, \ldots, T$ ...
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0answers
32 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
347 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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0answers
64 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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0answers
41 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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1answer
31 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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0answers
168 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 ...
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0answers
216 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 ...
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1answer
48 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 ...
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0answers
51 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 ...
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0answers
62 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....
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148 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) ...
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1answer
118 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, ...
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0answers
26 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 ...
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0answers
96 views

Which Two-Sample Test for Non-Independent Data?

I am interested in determining whether there are statistically significant differences in the mean twelve-month (percentage) changes of various financial variables, conditioned on the state of the ...
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0answers
125 views

Forecasting at different growth rate intervals

I have a logged time series in monthly levels, e.g. an inflation index. Inflation is usually reported as a year-on-year (YoY) growth rate, that is: $$ YoY_t=\log(inflation)_{t}-\log(inflation)_{t-12}....
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0answers
102 views

Why does using GDPPC as a dependent variable dramatically change results from the GDP run?

I'm testing the following hypothesis using OLS: Renewable energy has a positive impact on GDP. I converted all the variables into log. In the 1st run I used GDP as the dependent variable and in the ...
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0answers
50 views

What are supposedly the most important macro data to include in a regression analysis in retail?

I work in retail and we want to complie a regression analysis to see how different factors impact our business and retail in general. So far, I have started to educate myself on R (by suggestion from ...
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0answers
31 views

Should I re-transform country dummy coefficients to be analyzed in a second stage?

I am working on panel (country-year) macroeconomic data which suffers from missing data in some of the independent variables. My sample is wide and short, around 120 countries over 10 years. In past ...
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0answers
204 views

Forecasting using a dynamic factor model

I am doing a project of econometrics, now-casting quarterly GDP using a dynamic factor model applied on monthly macro-economic variables. I have tried to read through supporting literature on my ...
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0answers
514 views

First order condition of HP Filter

The HP Filters for growth and cyclical components is written as: $$\min_{g_t}\sum_t \left[(y_t-g_t)^2+\lambda\left[(g_{t+1}-g_t)-(g_t-g_{t-1})\right]^2\right].$$ Hodrick and Prescott, on their paper ...
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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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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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29 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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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 ...
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15 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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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 ...