Stationarity refers to the property of a time series where the statistical properties (such as mean and variance) are constant over time. Ergodicity, on the other hand, refers to the property of a stochastic process where the time average of a process is equal to the ensemble average over all possible realizations of the process. …
Stationarity Vs Ergodicity in Time Series data in Econometrics Read More »
Use of Econometrics to study the stock market and Econometrics for Stock market and Cryptocurrency is the new buzz. Following are the ways we can employ econometrics tools to study stock market. Econometrics can be used to study the market behavior and predict the price movements of cryptocurrencies. Some ways to do this include: These …
How to use Econometrics for Stock market and Cryptocurrency? Read More »
In economic research, policy analysis, and forecasting, econometric approaches are frequently employed. The methods are employed to examine economic data and forecast future trends. Among the most popular econometric methods are: – Regression Analysis: This method is used to ascertain how variables are related to one another. For instance, the cost of promotion and the …
Real Methodology of Econometrics and how it is used in practice Read More »
If X(t) and Y(t) are two time series Xt granger causes Yt if the past values of Xt helps in predicting the future values of Yt Yt is not just = f(Yt-1,Xt) Xt granger causes Yt Condition = cause happens prior to the effect Yt= f(Xt-1) Cause has unique information about the future values of …
Breusch-Pagan LM statistic test The Breusch-Pagan LM statistic tests the random effects model against thepooled OLS model. The specific hypothesis under investigation is the following:H0: σ2α = 0H1: σ2α ≠ 0The random effects model reduces to a pooled OLS regression under the null (when σ2α = 0).The test is based on OLS residuals built from …
Breusch-Pagan LM statistic Vs Breusch–Godfrey test vs Breusch-Pagan test Read More »
What is variance? How it differs from co-variance? How these are related to correlation? The variance means the quality of being different divergent from the norm. It measures how far each number in the set is from the mean (average), and thus from every other number in the set. Variance is often depicted by this symbol: σ2. …
What is variance? How it differs from co-variance? How these are related to correlation? Read More »
Real business cycle model is based on business cycles and incorporates technological shock as the prime reason for fluctuation in economic activity. Money is neutral with no impact on real variables. These models hold the view that fluctuations in aggregate economic activity are an antidote to the uncertainty in agents’ environment arising from exogenous technology …
Dynamic General Stochastic Equilibrium (DGSE) models are well grounded theoretically, in harmony with the empirical evidence to predict and provide accurate interpretation of past and present economic events. The term Dynamic implies the model is time-dependent. It involves expectations regarding future outcomes tightly knit with the present decision of the economic agents. Economic agents’ objective …
There is little doubt that every economic theory we studied is based on theoretical modeling first. It sprouted from an idea which later on was served to the world with improvements; assumptions, hypothesis tests and results came into prominence. These models are all the simplified versions of reality. Starting from the most basic law of …
Everything You Ever Wanted to Know About Building Your Econometrics Model Read More »
Time series data is a chronological sequence of a series of values of a variable. In other words, the data is time-stamped. It can be a discrete or continuous time series. Discrete-time series are observations taken at specific times while continuous time series are observations that are made continuously over time. It can be univariate …
What is time-series data? What are its components? Read More »