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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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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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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185 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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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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1answer
569 views

General-to-specific subset selection ("Autometrics") performing well in macroeconomics

I wonder why general-to-specific (GETS) subset selection and particularly the Autometrics algorithm are performing well in macroeconomic modelling/forecasting. How does Autometrics work? Doornik "...
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134 views

When is a statistical test said to be robust? Also, is normal distribution applicable to economic variables as well?

I was doing a student satisfaction survey and analysed the results using MANOVA. None of the variables thAt was under study followed a normal distribution and thus, violated the assumption of MANOVA. ...
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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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1answer
803 views

Forecasting GDP using regression, ARIMA and ETS

I am building a simple model that estimates future change in GDP growth using change in working-age population (%). $$ \Delta GDP_t = \beta_0 + \beta_1 \Delta Pop_{t-1} + \varepsilon_t. $$ I have ...
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1answer
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why do we analyse the housing market from 'short run' and 'long run'? [closed]

As we can see the factors impacting the housing market, particularly house prices, are always analysed from the long run and short run, even some researchers analyse those factors from a cyclical and ...
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1k views

Time Series Analysis vs Linear Regression for GDP data?

I am trying to build a simple econometrics model that uses urban population, total factor productivity among other things to predict future GDP of a country. First I approached the problem by using ...
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2answers
587 views

Choices of priors for time-varying-parameter VAR in Primiceri (2005)

The main idea of the question is how to choose priors' parameters for the time-varying-parameter VAR model. I am really confused in the way Primiceri (2005) constructed priors in his paper under the ...
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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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1answer
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Long-run elasticities in an ECM estimation

I am reading a paper (Stockhammer, Onaran and Ederer, 2011) which estimates the effects of GDP, profits and the interest rate on investment in an ECM form. I am quoting the relevant part of it: The ...
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2answers
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Correcting autocorrelation with MA in a regression

I would need some advice on a multivariate regression problem. I am running regressions with macroeconomic data at first difference and using a AR(1) as regressor to correct autocorrelation (it makes ...
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1answer
767 views

Regression on default data and backward extrapolation

Suppose that we have bankruptcy data representative for Small and Medium-sized enterprises in a country. We can therefore calculate default rates. Furthermore suppose that we found that GDP, ...
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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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1answer
487 views

Johansen cointegration test: which of 5 models?

I have 4 variables (GDP, export, industrial production). I found that the variables are nonstationary in level but stationary in their first differences. I conducted the Johansen test and got this ...
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1answer
5k views

What is the advantage of transforming variables into First Difference of the Natural Log instead of % change from one period to the next?

I am dealing with macroeconomics time series data, and I build econometrics models. I am aware that some econometrists like to transform such variables as the First Difference in the Natural Log (...
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0answers
507 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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1answer
4k views

How to design an economic index?

I'm designing a linear economic index: $I_{t}=W_{1} X_{t_{1}}+W_{2}X_{t_{2}}+W_{3}X_{t_{3}}$ where $W_{1}$ to $W_{3}$ are weights of inputs ($X_{t_{1}}$ to $X_{t_{3}}$) and $I_{t}$ is the final ...
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4answers
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Regression Developing Countries: GDP-Growth or GDP

For my master thesis I basically want to find out, why developing countries are stagnating. Next to theoretical aspects I also want to make a regression. I want to regress GDP or GDP growth as ...
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1answer
3k views

Economics: Real vs Nominal Variables

My economic analysis uses OLS with cross-sectional annual data. The dependent variables are defined as x/y where x is a variable (such as trade, debt etc.) and y is real GDP. What if, instead of ...
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0answers
69 views

What issues may I face when interpolating my dependent variable in an OLS regression?

I'm doing my undergrad dissertation on what host-country factors impact FDI inflows - FDI inflows to the UK is my dependent variable. All of the independent variables I have managed to find at a ...
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1answer
101 views

Simulating a dynamical system

Basically I need to replicate Hartley's 'A User's Guide to Solving Real Business Cycle Models' . Specifically (to make question relevant to stats.stackexchange), I want to simulate the dynamical ...
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1answer
2k views

Converting Annual GDP Growth Rate into Monthly GDP Growth Rate

I am researching the effects of Euroarea fiscal stimulus on inflation expectations during the crisis. The data for fiscal stimulus is given as an annual percentage of GDP, e.g. 1.5% of Euro Area GDP ...
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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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0answers
80 views

Is econometrics becoming inward-looking? [closed]

Michael Wickens claims in his (generally interesting) article and speech How did we get to where we are now? Refections on 50 years of macroeconomic and financial econometrics from 2014, that "...
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1answer
40k views

What are the advantages of using log GDP per capita versus simple GDP per capita when analyzing economic growth? [duplicate]

I have quite a lot to learn regarding analysis and economics, one thing I have noticed is that when analyzing growth, log is used quite often, why is this so?
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2answers
29k views

Using non-stationary time series data in OLS regression

I am using 1983-2008 annual data to test if both Gini coefficients and gross national saving in China and the US can affect the US current account balance. The data seem to be non-stationary, but I am ...
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2answers
1k views

What is a user-friendly and powerful software package for econometrics modeling? [closed]

I would be using such software to run multiple regressions using macroeconomics variables as independent variables to estimate other macroeconomic ones as single dependent variables. I need to be ...
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0answers
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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1answer
103 views

Can this be modelled?

Context: USA economy Background: Its generally accepted that the growth of e commerce has certain curbing effects on the CPI-inflation. Because search costs are much lower online, people always go ...
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0answers
2k views

Why does Okun's law regress change in GDP on change in unemployment rate?

Why does the Okun's law, the one that measures the relationship between unemployment rate and GDP, regress the percentage change in GDP on change in unemployment rate? Why cannot we just simply ...
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2answers
8k views

Calculating the price elasticity and income elasticity of demand

The demand function for air travel between the U.S. and Europe has been estimated to be $$\ln Q = 2.737 - 1.247 \ln P +1.905 \ln I$$ where $Q$ denotes number of passengers (in thousands) per year, $P$ ...
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2answers
2k views

Fixed effect insignicant results

Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power ...
2
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0answers
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, ...
14
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2answers
862 views

Irregularly spaced time-series in finance/economics research

In financial econometrics research, it is very common to investigate relationships between financial time series that take the form of daily data. The variable will often be made $I(0)$ by taking the ...
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2answers
241 views

Cost Benefit/Effectiveness

I would like to compare the results of several diagnostic modalities on a population to identify a disease. More specifically I would like to compare the sensitivity of the modalities (all have 100% ...
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1answer
199 views

Would it make sense to do a 2SLS regression for Nominal GDP and Money Supply?

Would it make sense to do a 2SLS regression for Nominal GDP and Money Supply (using predetermined variables of government expenditure and investment)? If it does make theoretical sense, is this ...
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1answer
3k views

What is "gaussianity", and how do you perform gaussianity testing in macroeconomic time-series?

I have several questions regarding the usual gaussianity (broad normality) assumptions in econometrics. Though people often check for normality (with apparently weak tests), I've seen just one example ...
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2answers
1k views

How do economists quantify black market operations?

I was doing a lot of research into organized crime in East Asia for a project as a favor to an author-friend of mine, and I noticed that there were noted economists and journalists who, in conjunction,...
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2answers
1k views

Constructing a naive recession forecast

I am testing a variety of models to produce 1-month ahead predictions of US Recessions. To benchmark these models, I want to build a naive recession model. My first thought was to use the current ...

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