Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [econometrics]

Econometrics is a field of statistics dealing with applications to economics.

Econometrics is a field of statistics dealing with applications to economics.

For econometrics resources, refer to the following questions:

2561 questions
47
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What is the reason why we use natural logarithm (ln) rather than log to base 10 in specifying function in econometrics?

What is the reason why we use natural logarithm (ln) rather than log to base 10 in specifying functions in econometrics?
ritho
21
votes
4 answers

In regression analysis what's the difference between data-generation process and model?

In regression analysis what's the difference between 'data-generation process' and 'model'?
Flying pig
  • 6,239
10
votes
2 answers

Estimating demand elasticity econometrically

When specifying a production function for regression, it is well known that one of the features of using a log-log model is that the estimated coefficients are the output elasticities w.r.t. their respective independent variables. My question is…
ben
  • 515
9
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2 answers

Using econometrics, how do I solve out the endogeneity problem?

I had a project from before I graduated from college that was effectively me acting as a research aid to a politician. The project served as my senior thesis, as well. The portion of the report that I was working on focused on determining the effect…
Aarthi
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9
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3 answers

Example of estimation vs. calibration

What's a good example to demonstrate the difference between estimation and calibration? Edit: I'm looking for something that has the same definition of "calibration" and "estimation" that Krugman uses here (i.e. that they are in some way…
MikeRand
  • 442
8
votes
2 answers

Why is the assumption of a normally distributed residual relevant to a linear regression model?

Isn't it just the assumptions of autocorrelation, unbiasedness and homoscedasicty that are relevant to proving the efficiency and the unbiasedness of OLS estimators? How does the normality in the distribution of the residuals play in here?
HeyThereGur
  • 81
7
votes
2 answers

How to test causation in econometrics?

It's always the case that we need to test possible channels through which independent variable ($x$) affect dependent variable ($y$). For example, education and health status are two possible channels for intergenerational income mobility, i.e.…
Brian
  • 103
6
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2 answers

How does this remove autocorrelation?

The first method to test for the day of the week effect is OLS regression. This method has been used by many empirical researchers testing for a day of the week effect. I am struggling to understand how the sum of the lagged values of the return…
Siddharth Gopi
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4
votes
1 answer

Vector autoregression - number of variables to use

When building a vector autoregression model is there some theory that would guide me in chosing the number of variable to include? For example, I have about 3000 data points and I would like to get an idea of how many lags of explanatory variables…
user804903
4
votes
2 answers

What would be a good research agenda related to field experiments in development?

I am particularly interested in hearing thoughts on what are logical next steps in the research agenda of people who are interested in "The experimental approach to development economics" or in the evaluation of policy. Many people reject the notion…
d_a_c321
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3
votes
0 answers

Time Series Econometrics: VECM with multiple cointegration vectors

Has anyone gone through some papers using Vector Error Correction Models in causality applications with more than one cointegration vectors, say two. I guess there will be more than one ECM terms. How to assess the endogeneity of the left hand…
user531
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3
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1 answer

Sum of deviations from the mean

$\Sigma(X-\bar{X})$ Could someone please clarify: does the sum of deviations (not squared) of a variable from its mean have to equal anything special, like 0, or is it just any number? Also, do I understand correctly that in a regression, the sum…
user14386
3
votes
2 answers

Fixed effects models vs. models where years serve as instruments

I've been looking for a good explanation of the difference between running a regression with year dummies as fixed effects vs. year dummies as instrumental variables. A prominent example of this comes from Josh Angrist's 1991 paper, "Grouped-data…
d_a_c321
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3
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2 answers

Frisch-Waugh-Lovell theorem: How do we know this matrix is invertible?

The frisch-waugh-lovell theorem uses the following line in the proof: $\hat\beta_2 = (X_2' M_{1}X_2)^{-1}X_2'M_{1}y$ How do we know $(X_2' M_{1}X_2)^{-1}$ is invertible?
falconry
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3
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1 answer

IV First and Second Stage Graphs and Interpretations

First of all, many thanks to those who have kindly answered my previous questions, I am learning a lot! Suppose I have a model y = x1 + x2 + x3 x1 is endogenous and has instrument Z1 that is relevant and exogenous conditional upon X2 and…
user52072
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