Econometrics Empirical and Data Analysis Assignment

Assignment Task

Use the methods we’ve discussed in class to tell a story about a dataset of interest to you. On blackboard, submit your writeup with tables and figures in a pdf document, your dataset as a CSV or XSLX file, your R script or other code in a runnable format or as an addendum to your writeup. The assignment should be roughly 5-10 pages including tables and figures. You are encouraged to work in groups of 3 or fewer . Submit one assignment per group. As always feel free to reach out via email if you have any questions.

See the Excel sheet for a walkthrough of the computations.

1. Motivation

• Follow the method proposed in the hypothesis testing slides. Start by asking a question about the world, and proposing a hypothesis in the form of “does X affect Y?” so “an increase (or decrease) in X should lead to an increase (or decrease) in ” (The increase and decrease do not need to match.)

2. Acquiring and accessing data

• Find a dataset related to the hypothesis you posed in the previous question. Choose a dataset that interests you. Download and open it in your statistical Explain any transformations or changes you make to your data, if any. You will need at least 3 variables.

The textbook has some decent datasets available. The Federal Reserve Economics Database (FRED) has many economics related datasets. Yahoo Finance has easily accessible stock data. Zillow and realtor.com have real estate and home-value data. Data.gov has all sorts of data provided by US government agencies. The OECD, UN and IMF have good datasets on other countries. Also, many foreign countries have their own statistics organizations, e.g. Statistics Canada, or the UK national statistics office. The Brooklyn library also has access to many other useful datasets including Mergent Online for company financial data.

3. Identifying types of data

• Is your dataset cross sectional, time series, panel, or repeated cross-sectional data? Give the frequency if your data is measured across

4. Data description and summary statistics

• Find the following statistics for one variable in your Interpret the mean and standard deviation of your variable. Include a histogram of your data.

5. Hypothesis testing

• Use one of the tests we discussed in class, or from the textbook, to test the hypothesis you proposed in the first question. State the test, and null and alternative hypothesis you intend to test.

6. Simple regression analysis

1. Theoretical model specification
   • Define a simple regression model with predictor and response
2. Goodness of fit / ANOVA
   • Assess your model using: t-tests, f-test, ???? ²
3. Interpretation
   • Interpret the sign, size, and significance of each parameter in your

7. Multiple regression analysis

1. Theoretical model specification
   • Extend the regression model with multiple predictors and justify their
2. Goodness of fit / ANOVA
   • Assess your model using t-tests, f-test, Adj-???? ²
3. Interpretation
   • Interpret the sign, size, and significance of each parameter in your

8. Non-linear regression analysis

1. Theoretical model specification
   • Specify a non-linear regression model and justify its
2. Goodness of fit / ANOVA
   • Assess your model using: t-tests, f-tests, AIC/BIC/HQIC
3. Interpretation
   • Interpret the sign, size, and significance of each parameter in your

9. Assessment multicollinearity, heteroskedasticity, and serial

10. Optional extensions

1. A regression discontinuity assessment

2. Instrumental variables assessment

3. A sigmoid regression analysis

4. ARCH / GARCH / ARIMA time series models

11. Write a description of what you did, and how it shows (or does not show) the relationship suggested in your Also discuss how this addresses your initial question. Include a discussion on why you chose the variables you did to measure the effect of your hypothesis. Consider various biases that may be present in your data.

This Mathematics has been solved by our PhD Experts at My Uni Papers.