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:

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What are the major philosophical, methodological, and terminological differences between econometrics and other statistical fields?

Econometrics has substantial overlap with traditional statistics, but often uses its own jargon about a variety of topics ("identification," "exogenous," etc.). I once heard an applied statistics professor in another field comment that frequently…
Ari B. Friedman
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Is the R language reliable for the field of economics?

I am a graduate student in economics who recently converted to R from other very well-known statistical packages (I was using SPSS mainly). My little problem at the moment is that I am the only R user in my class. My classmates use Stata and Gauss…
SavedByJESUS
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How exactly does a "random effects model" in econometrics relate to mixed models outside of econometrics?

I used to think that "random effects model" in econometrics corresponds to a "mixed model with random intercept" outside of econometrics, but now I am not sure. Does it? Econometrics uses terms like "fixed effects" and "random effects" somewhat…
amoeba
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What is difference-in-differences?

Difference in differences has long been popular as a non-experimental tool, especially in economics. Can somebody please provide a clear and non-technical answer to the following questions about difference-in-differences. What is a…
Graham Cookson
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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
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Is machine learning less useful for understanding causality, thus less interesting for social science?

My understanding of the difference between machine learning/other statistical predictive techniques vs. the kind of statistics that social scientists (e.g., economists) use is that economists seem very interested in understanding the effect of a…
d_a_c321
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What is an instrumental variable?

Instrumental variables are becoming increasingly common in applied economics and statistics. For the uninitiated, can we have some non-technical answers to the following questions: What is an instrumental variable? When would one want to employ an…
Graham Cookson
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When to use fixed effects vs using cluster SEs?

Suppose you have a single cross-section of data where individuals are located within groups (e.g. students within schools) and you wish to estimate a model of the form Y_i = a + B*X_i where X is a vector of individual level characteristics and a a…
QuestionAnswer
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Is the sum of two white noise processes necessarily a white noise?

Let $a_t$ and $b_t$ be white noise processes. Can we say $c_t=a_t+b_t$ is necessarily a white noise process?
Ben Rothwell
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Propensity score matching - What is the problem?

In estimation of treatment effects a commonly used method is matching. There are of course several techniques used for matching but one of the more popular techniques is propensity-score matching. However, I sometimes stumble upon contexts where it…
Jesper for President
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Econometrics textbooks?

Which good econometrics textbooks would you recommend? Edit: there are quite a few books out there, with varying levels of mathematical sophistication. It would be good to get some idea of how technical the book you're recommending is.
NPE
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Specifying a difference in differences model with multiple time periods

When I estimate a difference in differences model with two time periods, the equivalent regression model would be a. $Y_{ist} = \alpha +\gamma_s*Treatment + \lambda d_t + \delta*(Treatment*d_t)+ \epsilon_{ist}$ where $Treatment$ is a dummy which…
Tom
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Why do we usually choose to minimize the sum of square errors (SSE) when fitting a model?

The question is very simple: why, when we try to fit a model to our data, linear or non-linear, do we usually try to minimize the sum of the squares of errors to obtain our estimator for the model parameter? Why not choose some other objective…
KevinKim
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The magic money tree problem

I thought of this problem in the shower, it was inspired by investment strategies. Let's say there was a magic money tree. Every day, you can offer an amount of money to the money tree and it will either triple it, or destroy it with 50/50…
ElectronicToothpick
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When is quantile regression worse than OLS?

Apart from some unique circumstances where we absolutely must understand the conditional mean relationship, what are the situations where a researcher should pick OLS over Quantile Regression? I don't want the answer to be "if there is no use in…
user14281
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