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Free Tax Help [Jul. 20th, 2010|03:14 pm]
Econometrics Forum

Federal Tax Withholding Calculator
Please use this calculator to see how much Federal income tax should be withheld from your monthly payment. Answer the following questions and press Calculate for your results.
My monthly payment before deductions is: $ .00 Enter whole dollar amount
(no commas, please).

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Unit roots, cointegration [Jun. 29th, 2010|07:35 pm]
Econometrics Forum
1. When testing for unit roots in eviews, if some of the series show trend coefficient (significant) and some only show significant intercept, would it effect my cointegration tests?

2. For cointegration test what should I put the specification as?

3. How do I decide on the number of lags of for cointegration?

4. When I run the VECM model and if I have more than one cointegrating vector, how would I know which one to choose? When I specify the number of cointegrating vectors in eviews (for VECM), it gives me results for the number of cointegrating vectors specified. I am confused as to which one to choose? Can I just leave the number of cointegrating vectors as 1? Would it effect my results for speed of adjustment?
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econometrics help plz [May. 4th, 2010|10:10 pm]
Econometrics Forum
Hi I'm not the smartest girl in the world but I would really appreciate your help for some of my homework questions.

For the model wagei = B0+B1agei+B2age^2i+B3 educationi+B4femalei+B5educationfemalei+ui
I need a detailed description of what B3, B4 and B5 are in relation to wage. Thanks a lot everyone :)
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panel data and volatility of price [May. 3rd, 2010|03:56 pm]
Econometrics Forum
Hi all,
Is there a way to measure the impact of price volatility on investment with a panel dataset, when prices are assumed to be the same for all firm and we use a vector of time dummies?
The problem is that as price volatility is the same for all firms, there is no between variation (variation over N) but only within variation (variation over T). Therefore, we end-up with perfect collinearity and we cannot identify the effect because it is merged into the time dummy intercept, right?
A friend of mine suggested the use of interaction variable (eg: volP*SizeFirm), but I think it doesn't solve the problem of absence of any cross-section -variation. Any other way?
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(no subject) [Apr. 12th, 2010|03:58 pm]
Econometrics Forum

Hi all. I urgently need help with Ox programming as I barely know this package. I have to estimate GARCH model in Ox (without using GARCH package). Could you, please, help me with code? Maybe anyone can post code that I can use as example?
Thank you in advance!

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cointegration? [Mar. 18th, 2010|04:03 pm]
Econometrics Forum
Has anyone checked for cointegration between two retail prices...for example, between chicken and pork prices?
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Rolling regressions [Nov. 20th, 2009|01:47 pm]
Econometrics Forum
Hi people,

Do any of you have any experience with rolling regressions? I am trying to check whether one portfolio of stocks is better than another, corrected with some common factors of stock returns.

To check this I want to do an OLS regression with a rolling 48 month window over a long period of time. After doing this in Stata, I end up with a time series containing the coefficients from all the iterations. The question is: How do I estimate the significance of the regression coefficient, i.e. if one portfolio outperforms the other. Can I simply run a normal t-test on the new coefficient time-series to check whether the average coefficient is significantly greater than zero? Or do I have to use a different test statistic altogether?

Any help you can offer will be greatly appreciated!
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econometrics [Oct. 28th, 2009|03:09 pm]
Econometrics Forum

anyone has used


Thanks for your help!!

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Pseudo panel estimation-Econometrics [Oct. 21st, 2009|04:34 pm]
Econometrics Forum
Hi everyone,

I'm new in the field of Pseudo (synthetic) Panel Estimation,
I'm using stata. Baltagi 2nd edition has a little chapter which describes broadly the main points of this technique. Now, I'm trying to get Verbeek at Matyas and Sevestre's Handbook.

Nevertheless I have important doubts I find no way to solve them but through this mean.

1) is there a paper or book where the use of pseudo panel technique for the estimation of binary models with instrumental variables is explained/addressed?
2)which would be the test of robustness that I should run (and how to do it) after a pseudo panel estimation.

Thanks for your help!!
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The disturbance matrix and covariance [Oct. 14th, 2009|04:45 pm]
Econometrics Forum

This may be a silly question, but I would really appreciate a serious answer.

The disturbance matrix can be constructed by multiplying the disturbance vector with its transpose. The diagonal then contains variances, the off-diagonal elements are covariances between pairs of observations (right?).

My question is: Why do we get covariances this way (when its formula is more demanding)? Is it because the expected value of the disturbance term is 0, so that it already contains deviance scores (where the mean is subtracted)?

I am inclined to think so, but I don’t like the fact that the means that are subtracted are based on all the observations, whereas the “covariances” in the matrix just concern single pairs of them. Am I missing something? Is it ok to base the expected values used in the covariance formula on more observations than are included in the calculation of specific entries?

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