# 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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### 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 (...
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 ...
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 ...
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. ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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, ...
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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### 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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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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### 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 ...
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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### 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 ...