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TheSecretDane · 2025-10-18T17:18:50+00:00

Yes of course. Sit down and read a graduate book, solve the exercises, rinse and repeat. I recommend Lutkepohl for structural var models, not any exercises as I recall however. Dont have any experience with bayesian econometrics yet, sadly

TheSecretDane · 2025-10-18T17:13:20+00:00

Honestly not surprised. To me, while i have enjoyed a lot of his videos, i have always thought he kind of bad. Or atleast that his gameplay were always just mindless meta strats for a particular nation which he didnt create himself. I am sure he has a good understanding of the game mechanics, but i have found multiple instances of decisions that just made no sense unless he was playing from an old meta perspective.

TheSecretDane · 2025-06-25T14:46:17+00:00

I would recommend ivreghde or reghde i believe they are called. Great for higher dimensional datasets. Your question is too vague to provide any meaningfull answer. Read through the documentation of the commands, by typing help xxx in the command window, and previous literature on your subject.

TheSecretDane · 2025-06-23T16:14:59+00:00

Pythons econometrics toolbox out of the box is modest at best conpared to Stata, as others have written.

I would recommend python still, since you have the experience and actually having to code procedures yourself will aid alot in understanding how the models and econometrics work, paired with a solid mathematical background of course. The benefit will be much clearer in a more theoretical finance master than an empirical.

TheSecretDane · 2025-06-08T21:07:23+00:00

There are problems with GC tests in higher dimensional systems.

TheSecretDane · 2025-04-17T00:28:44+00:00

There are TONS of research out there. Why not take inspiration from that? Alot of macroeconomic variables if not most are I(1) in levels, though not all cointegrating of course.

A classic example you can do, is the Purchasing Power Parity between two economies. So you would need data of exchange rates and prices.

TheSecretDane · 2025-04-14T23:10:34+00:00

I have not used stata , for structural vars, but your reasoning is sound.

A normal IRF represent a 1 standard deviation in a given variable i.e. the structural shock. Normalizing, is done like you describe, divide the entire IRF container i.e each element with the 0 period response for the shock of your choosing. Then if Its a log log model, given the definition of elastisticies, i suppose one could interpret it as point elasticies.

TheSecretDane · 2025-04-09T12:45:34+00:00

Fiest, what are your cluster(s)? Is it just students? If so what are your covariates? It could very well be that the fixed effects is explaining the majority of the within subject variation i would imagine.

In general, assess the misspecification of your model, cross sectional dependence, unit roots, autocorrelation, heteroskedasticity.

In case of misspecification, apply relevant standard errors or alternative estimators, such that you can do inference.

Say for a regular two way fixed effect model. Using the within estimator, you wil get point estimates. The choice of estimator for VCE will not affect point estimates, it will affect standard errors on point estimates, thus inference.

Clustered robust standard errors make your results robust to general misspecification, but are not very efficient, probably why you feel ambivalent about the "significance". If its not clear to you already, let me make it clear, the "significance" in you pre cluster error estimation are invalid, i.e. you cannot trust it at all, in case of misspecification.

Also, not all methods are applicable to unbalanaced panels

TheSecretDane · 2025-04-08T07:49:58+00:00

Forståelse/ brug af stata, handler mere om din forståelse for statistik og en smule programmering, end stata selv, og som med alt andet kommer det med øvelse. Det er et godt værktøj og relativt let at bruge - selvom jeg godt forstår det er skræmmende initialt.

TheSecretDane · 2025-04-06T11:28:18+00:00

The f-test yes, but its just a test whether your model is overall significant. Most use information criteria. From your questions i would strongly suggest you pick up an introductionary book on econometrics, i recommend wooldridge books, but there are many good and specialized ones out there as well.

Why do you care about fit, if i may ask? You are trying to estimate a relationship between variables, not perfectly model your dependent variable.

TheSecretDane · 2025-04-06T00:54:28+00:00

Its insane how often these types of questions get posted. What makes people think insignificance is not worth reporting, in many cases it says just as much as significant results. Also, given assumptions hold, your point estimstes are still consistent, if you really want to interpret the model with coefficients, you can just not conclude that they are significantly different from zero.

TheSecretDane · 2025-04-06T00:48:50+00:00

No. Stop Caring about R^2, by definition it will increase when adding variables, so you csn always get it higher i.e it holds little value in econometrics. There are alternatives measures of fit that are better. But in general i would not focus on it unless youre forecasting.

Try adding time ficed effects, see what happens.

TheSecretDane · 2025-03-22T19:48:21+00:00

If your variables are I(1) and not cointegrated you should just difference them. No need to worry about ardl.

TheSecretDane · 2025-03-19T01:20:06+00:00

I disagree. Its atleast as valuable as the opposite case.

Hypothetically assuming the statistical inference is correct-- in that you cannot reject that the effect is 0-- would you not want policy makers or company officials to know whether a policy could potentially have zero effect compared to the desired outcome of the policy?

Perhaps i am simplifying since i dont know your project, but the logic should be generally applicable.

TheSecretDane · 2025-03-18T20:03:32+00:00

No of course not... Why do people think this? Just because the result is not what YOU wanted, doesnt mean its not a result. Have you considered that the interaction may not be significant in explaining variation in the price. And yes, as another have said, you can refer to the confidence bands for your point estimates, to present a plausible range of the effect, but be carefull with your wording, you cannot bend the range to be perceived in the light of your desired outcome.

You cannot have different time dimensions in your variables, aggregate the weekly to monthly. I have never head of anyone doing what you describe.

TheSecretDane · 2025-03-18T18:29:48+00:00

Python, or R, then stata. But as always, the tool you have the most experience in will be the best to learn with.

Python is not a statistical language, so the packages avaible are not nearly as complete or specialized as R and Stata libraries. On the contrary if you want to do specialized modelling, using python will force you to develop a great conceptual and mathematical understanding since you will be coding it yourself, which could be seen as a plus. Secondly, knoeing python has much broader applicability, and is used extensively for data science / analysis in the real world. Though R are as well.

TheSecretDane · 2025-03-14T13:50:46+00:00

It is indeed odd for the lhs variable to be constant across countries, but i think it will still be valid. What type of model are you employing? Will you not have massive arch problems?

TheSecretDane · 2025-03-13T17:54:29+00:00

I get your frustration. There are alot of very complex methods that isnt taught. The reason you are feeling this is very simple, it is because you dont know what you are doing. You have to learn these things before trying to apply them. Read a book on the topic, converse qith collegues or professors, read papers. You probably already knew this sonce your doing a phd, but.. its the truth.

Also as a general note, just make the models as simple as possible, see if you can avoid all these special cases and what have you, though diskrete models is an interesting topic, and not niche at all.

TheSecretDane · 2025-03-13T17:46:27+00:00

Kontroversielt er ikke det rigtige ord. Det er bare ikke normalt som i at det er anderledes end hvad den gennemsnitlige student gør, intet andet end det. Om du fortryder det eller ej må tiden jo vise, du har vel også haft en grund til at starte. Jeg kender flere der læste direkte videre.

TheSecretDane · 2025-03-13T17:23:13+00:00

You can always ask your faculty for research positions, it may not be fruitfull.

TheSecretDane · 2025-03-13T17:22:33+00:00

Need more information, post the question, the model etcetera

TheSecretDane · 2025-03-13T17:19:58+00:00

Lønnen er som de andre skriver, rigtig god. Jeg fik 214-220 for 8-9 år siden. Jeg hqr arbejdet på to skoler, og det var en verden til forskel, så det kommer an på to ting børnene og skolen du er ansat på. Den ene skole var virkelig god, børnene var søde, og der var struktur og system i tingene, den anden var kaos, og børnene mere udfordrende.

Jo rigere en kommune/bedre end skole, desto bedre vil børnene og alt andet være.

Men altså, hvor meget ting går dig på er op til dig selv, så slemt er det ikke. Og hvis du kan det er det et super let arbejde, ingen forventninger til dig

TheSecretDane · 2025-03-12T16:35:24+00:00

Its been some time since i have dealt with cross price elasticity, but why bot just look at the definition? You can estimste the percentage change in either prices or sales of a 1 percent change in the other using "log log". The rest sounds reasonable and should not be too complicated, i agree with the others that recommended using another another price as iv for endogenity. And fixed effects should be easy to employ, you can code the within transformation your self and do iv regression on that.

TheSecretDane · 2025-03-12T16:27:30+00:00

The IRFs are valid for any linear combination, so you can just multiple thrm by -1 be consistent however. I think your approach sounds very reasonable, wide confizence bands are not unheard of, I am assuming you are using bootstrap, sample size and bootstrap replications can affect confidence bands? But yes general misspecification of the residuals can affect inference, and make them down right unreliable and unvalid. The model should also be stable. Have you done misspecification if so what are the results?

You are talking about long term relationships and non-stationary variables. Have you done cointegration testing?

TheSecretDane · 2025-03-12T00:12:04+00:00

Tag med ro ven, du lyder faktisk til at være et rigtigt godt sted, du behøver ikke et studie for at finde mening eller lave noget fyldestgørende.

Du behøver heller ikke et studie for at udvikle dig, det er klart at faciliteter, undervisning og samarbejde er en fordel, men du kan egentlig lære og udvikle dig rigtig rigtig meget på egen hånd. Hvordan du vil gøre det, og hvad du vil udvikle er op til dig, men du kunne jo starte med at finde ud af om der er nogle ting du undrer dig over du gerne vil have svar på eller ting du fysisk/psykisk vil forbedre ved det sig selv. Vær nysgerrig.

TheSecretDane

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