econometrics

Hi, has anyone an idea how to solve this equation: y_t - y_t-1 = c + delta*t + phi*y_t-1 + eps_t I would be super grateful if anyone could help. Cheers!

I have 10 years monthly returns. I calculated annualized return multiplying the mean return over the period for 12. Then I calculated the excess returns as difference between the annualized mean return and the benchmark annualized mean return (no risk correction). Annualized standard deviations...

Hi, I'm doing a difference-in-differences analysis of a health policy intervention. Health clinics are paid for the percentage of eligible patients who they give the right treatment to. The clinics are measured/paid separately for each type of treatment indicator. One year, some of the...

Hi statistics ppl! I am happy to join the forum. I am doing my thesis atm and I would like someone to help me interpret my model results. I have performed both pooled OLS and RE. The RE estimates are more significant, although not in accordance with hypothesis., I submit just my baseline OLS...

Dear all, I am currently studying for my exam econometrics and i cant find a formula on how to calculate an F value. This is the question: Suppose someone is interested in the relationship between the UK real consumption growth (∆Ct), real income growth (∆Yt) and the growth in real investment...

Setup: Annual panel of 125 countries. I am interested in the effect of x on y. As an instrument z I use an interaction of the variables gamma and delta. gamma fulfils the conditions of relevance and exogeneity. delta is the country’s propensity to receive x, which is an indicator variable based...

I have data about a certain trait X for a small sample of countries and I'm interested in the relationship of X on income per capita Y. I also have a strong predictor Z of X. I have data of Z for a large number of countries so I used it to predict X for all the countries then I regressed Y on...

Here is an example of three different methods (fixed effects, random effects) for analyzing Models in R Commander

I am new to programming as well as econometrics and would like to ask some guidance for learning. I am planning to calculate the effectiveness of a public works scheme in country A. By effectiveness I mean the rate of success by which participants were able to return to the open labour market...

Hi to everyone, I'm new to this forum and I'm very pleased for the existence of this forum, since the fact that forums in these times are in decay. I'm not a native English speaker so I ask for a little of patience lol I'm studying Ordinary Least Squares, and in the section of Influential...

I've data for 10 banks over a period of last 10 years. I've financial ratios for each bank corresponding to each financial year. There are 20 such ratios. I would like to run AIC on these ratios to find 7 or 8 most significant ratios and then run binary logit on the panel data of these...

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Hello, I am performing cointegration analysis using Eviews and the DOLS estimator in the cointegrating equation. After saving the residuals of this equation (they are stationary then the variables are cointegrated), I estimated the short run equation including the lagged error term, one lag...

I am using the Breusch-Godfrey for autocorrelation, but I dont know how many lags should I use? I am testing seasonality of funds returns with the following OLS model: Rt=B0+B1Dmt+Ut Rt is the return on funds; B0 is the intercept; Dmt is the dummy variable. The value 1 corresponding to...

May I use Newey West procedures when exists only autocorrelation? or I just can use Newey West when exists both autocorrelation and heteroscedasticity? Any feedback you could give me would be greatly appreciated.

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Hello, all, I would like to model my data using a bivariate probit model but would like to explain unobserved heterogeneity of the coefficients in the model using finite mixture. That is, I would like to explain the characteristics of the segments (sub groups) when I estimate my bivariate...

I wanted to stop by and intro myself with a sort of long introduction so that if you think I might be asking a lot of questions, here's why. I'm in the middle of this doctoral dissertation and I have a lot of PTSD and grief wrapped up in it. It's a complicated story so I'm going to try and...

hay guys, i'm working on garch models, but a cant turn my returns stationary. how can i do it? i've tried whit log return (logxt - logxt-1) but it doesn't work. r function: log.return<-dff(log(x)) i've implemented some test and these are the results: #######KPSS Test for Trend...

Hi everyone, I am trying to fit an arima model on a rolling window using rollapply.My aim is to plot a graph of the evolution of the coefficient, plot the error and the standard deviation. well i encountered the following problems: 1) each window in the roll apply have different set of...