0
votes
0answers
22 views

The t-statistics

can someone please explain this further, or is there an equation. I know the answer is (c) The t-statistic is calculated by dividing a) the OLS estimator by its standard error. b) the slope by the ...
-1
votes
1answer
20 views

How can I use the Law of Iterated Expectations to answer this stats question? [on hold]

A quality control plan for an assembly line involves sampling n = 10 finished items per day and counting Y, the number of defective items. Therefore, if p denotes the probability of observing a ...
0
votes
1answer
33 views

Econometrics Question

Can someone please help explain this (or provide a website link). I know the answer is (a). To decide whether or not the slope coefficient is large or small, a) you should analyze the economic ...
-1
votes
0answers
36 views

Economics, Statistics

Now suppose I am trying to forecast using historical data and using random walk method, In the formula $ y_t = y_{t-1} + u_t $, how can I find the $u_t$ form the model ?
0
votes
1answer
45 views

Calculating the chance of something happening over and over again

I'm trying to calculate the probability, and potential cost on society, of people returning to homelessness after going through the system one, two, or several more times. Let's say that someone who ...
1
vote
1answer
30 views

Variance of OLS estimator

Iam trying to understand how the variance of the OLS estimator is calculated. here is what i have: $E[\hat{ \beta} \mid X] = \beta$ and $V(\hat{\beta} \mid X) = \sigma^2(X^TX)^{-1}$ where ...
0
votes
0answers
20 views

variance-covariance matrix of 2sls in homoskedasticity and heteroskedasticity

How the variance-covariance matrix of two stage least square estimate in homoskedasticity or heteroskedasticity? The answer in homoskedasticity is $\sigma^2(E[xz'](E[zz'])^{-1}E[zx'])^{-1}$ and in ...
1
vote
1answer
87 views

Show that the least squares estimator of the slope is an unbiased estimator of the `true' slope in the model.

Under the assumptions of the classical simple linear regression model, show that the least squares estimator of the slope is an unbiased estimator of the `true' slope in the model. Anyone have any ...
0
votes
1answer
93 views

OLS slope estimate of AR(1) with autocorrelation

I've stumbled upon this question in my econometric textbook and can't work out the right answer. The question: Consider $$Y_t = B_2Y_{t-1} + u_t\\ \\ u_t = pu_{t-1} + \epsilon_t\\ $$ where $ ...
1
vote
1answer
321 views

Why can we assume that the expected value of the error term is zero? [closed]

Why can we assume that the expected value of the error term in a linear regression model is zero? This is with regard to a simple linear regression.
-1
votes
1answer
65 views

econometric transformation of variables

I would like to ask a question, which has been already asked, however I dind´t fully understand the answer and nobody replied to my edit question..maybe you can give me a arithmetic example for one ...
0
votes
1answer
41 views

econometric data

I have a quit straight forward question: I have a variable which is coal rents measured in 2009 US Dollar. I would like to set this variable in relation (ratio) to another variable which is PPP ...
1
vote
1answer
86 views

What is my unit of observation for this time series data set?

My professor gave us a data set to run a regression and I have a data set which lists years from 1959-2007, gross private investments (in billions of dollars), and gross private savings (in billions ...
0
votes
1answer
57 views

ordinary least square regression

i have a question and i'm confused with the concepts. Pls aid Consider the estimation of the population mean in the model: $Y_i = \beta + U_i$ for $i = 1,2,3$. Assume that $E(U_1) = E(U_2) = E(U_3) = ...
0
votes
1answer
67 views

Statistics - Covariance and variance question

Please fill in the intermediate steps $$\sum_{i=1}^nx_i(x_i-\bar x)=\sum_{i=1}^n(x_i-\bar x)^2$$ and $$\sum_{i=1}^nx_i(y_i-\bar y)=\sum_{i=1}^n(x_i-\bar x)(y_i-\bar y)$$
3
votes
1answer
90 views

Constraining estimated linear regression coefficients over several regressions

I'm trying to run a series of simultaneous linear regressions, and I want to constrain the regression coefficients. For the standard ordinary least squares regression, the specification of the ...
0
votes
0answers
126 views

Linear regression model in econometrics and error's variance/standard deviation

In econometrics, there is a one-dependent, one-independent-variable linear regression model that goes like: $b_0 + b_1x +\epsilon = y$ where $b_0$ and $b_1$ are to be constant, and $\epsilon$ is error ...
2
votes
1answer
159 views

generalized method of moments and the case when solving linear regression with two error conditions

So, I am slowly getting introduced to generalized method of moments (GMM), but I am getting confused over some issues, and this is one of them: I heard that GMM solves the problem that an estimator ...
3
votes
1answer
121 views

Wealth indicator function for bidder agent logic

I want to create a wealth indicator function used by the logic of a bidder agent, that tells the agent if he's rich (in comparison to others). Given: Total number of competitors $n$ Amount of all ...
1
vote
0answers
62 views

Differentiation help

I recently got some lecture slides, but needed a little help understanding the maths behind them. (equations) (Working and Answer) Basically, I don't understand how to get from step (4) to (5). ...
1
vote
1answer
44 views

Cointegration for Price levels Time Series

I don't understand why is the difference between price levels is a stationary process while the time series of price levels themselves is a non-stationary process. For example: ...
1
vote
1answer
206 views

Normal distribution theoretical moments

how we can show that the following equality holds $E[(x-\mu)/\sigma]=0$ $E[(x-\mu)^2/\sigma^2-1]=0$ $E[(x-\mu)^3/\sigma^3]=0$ $E[(x-\mu)^4/\sigma^4-3]=0$
2
votes
2answers
62 views

Creating indices

Is there a "proper" formula for creating indices? I need to compute series of numbers into a KPI that can be tracked over time. Example dataset is like this: ...
1
vote
2answers
370 views

Game theory: Nash equilibrium in asymetric payoff matrix

I have a utility function describing the desirability of an outcome state. I weigh the expected utility with the probability of the outcome state occuring. I find the expected utility of an action, a, ...
0
votes
1answer
83 views

Interpreting an integral/ probability

Think of two iid random variables $x$ and $y$ with density $f$ and CDF $F$ and a constant $c$. What could the qualitative meaning of the following expression be? ...
1
vote
1answer
567 views

bounding the the expected value of the maximum of two random variables

Consider two standardized random variables $x$ and $y$, and define a function $g(x,y)=E[max(x,y)]$ where $E$ is the expected value operator. My question is finding the upper and lower bounds of ...
2
votes
0answers
108 views

proof using (fixed point theorem)

I am seeking to solve for a Nash equilibrium in pure strategies $(d_2,d_2)$ involving two players, $1$ and $2$. Given that $h'(.)$ is s strictly decreasing and continuous function, $\Phi(d_1-d_2)$ ...
1
vote
2answers
56 views

Showing probable causality

After examining various correlations between longitudinal data and illustrating high correlation between one or more variables, I realized that I could only show that the data was correlated but could ...
2
votes
1answer
437 views

Solving a Maximum Likelihood Estimation with an exponential distribution

I need someone's insight on applying a MLE for an exponential distribution. In a finance paper, I have the following: $\displaystyle d_i \sim \frac{\epsilon_i}{\lambda_i}$ where $\epsilon_i$ is ...
0
votes
0answers
184 views

Understanding a Proof in Probability Theory

My question is pretty simple: I have two equations which are supposedly true (from a published paper) but I have no idea how to arrive at the solution myself. So it would be great if someone could a) ...
2
votes
1answer
69 views

Incomplete “round trip” of taking a minimum, then a maximum, from a positively skewed distribution

Let's say you have a distribution that is either symmetric or positively skewed (and defined over 0-1). Call it F. Then, you find the distribution of the minimum of n>1 draws from F. Call it Fmin. ...
2
votes
1answer
565 views

Statistics with overlapping periods

I've been having a lot of discussions about finance recently in which people will point to some results using overlapping time periods and claim a high degree of statistical significance. For ...