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 […]
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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.
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
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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
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Top 3 Model Specification Tests in Econometrics Ramsey’s Reset Test Non-nested F test or Encompassing F test Davidson Mackinnon J test This test is used to test mis-specification of models. In this test we run regression on model 1 and obtain estimated value of regressand and then use the square and cube of estimated value
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During the lock down, classes shifted online and few YouTube channels started imparting the knowledge in a new avatar. As we know, learning econometrics online or offline is a tedious affair. But, these channels’ approach to present the subject to the audience have a different hue altogether. Fresh outlook and precise explanation. We present you
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5 BEST Econometrics (Easy) Books for Beginners No One Wants to Reveal To decide on the Econometrics books is not easy for a beginner. One can feel overwhelmed with the content of the books if one is unfamiliar with the concepts of Mathematics, Economics and Statistics. Most of the Universities prescribe following two books; Basic
5 BEST Econometrics (EASY) Books for Beginners No One Wants to Reveal Read More »
