tag:blogger.com,1999:blog-2198942534740642384.post3612852464405286496..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Dummies for DummiesDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger62125tag:blogger.com,1999:blog-2198942534740642384.post-79411189097636578322019-10-27T07:11:59.157-07:002019-10-27T07:11:59.157-07:00Thanks - if you email me at dgiles@uvic.ca I'l...Thanks - if you email me at dgiles@uvic.ca I'll send you an incomplete revised version.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-30955269679283029502019-10-20T17:42:28.577-07:002019-10-20T17:42:28.577-07:00This is a valuable post, and I hope you continue t...This is a valuable post, and I hope you continue to discuss these issues. They are not discussed in most texts, or classes with sufficient depth. Since this paper is not published, is there any way you would be willing to post this paper of yours that you cite? The paper is: Giles, D. E. (2011b). Econometric models with single-valued dummy variables. Mimeo., Department of Economics, University of Victoria.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-22384112009331661942019-04-02T11:27:40.101-07:002019-04-02T11:27:40.101-07:00Yes, you can certainly do that.Yes, you can certainly do that.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-79562597229576420642019-04-02T09:40:12.534-07:002019-04-02T09:40:12.534-07:00Dear Mr. Giles,
Please can you tell me if it make...Dear Mr. Giles,<br /><br />Please can you tell me if it makes sense to interpret the interaction of a dummy variable with a log transformed variable ? Or should the logarithm not be used then ? My result is rather counterintuitive which is why I was wondering it was making sense at all to do that.<br /><br />Many thanks in advance.<br /><br />Best,Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-48134622860518624622018-12-11T20:02:36.771-08:002018-12-11T20:02:36.771-08:00Yes, you can use a dummy variable in this case. Th...Yes, you can use a dummy variable in this case. The dummy variable is just "shifting" the intercept - it doesn't matter if the variables are transformed or not.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-24246356167426646652018-12-11T18:12:13.595-08:002018-12-11T18:12:13.595-08:00Dear Professor Dave,
I am working on time dummy v...Dear Professor Dave,<br /><br />I am working on time dummy variable regression, I found that many models in this regression are linear and/or semilog form. Is it possible for time dummy variable models using log-log form (log of variable in both sides)? If not, why? is it because presence of the dummies that disallowed this log-log form? Thank you.<br />Regards Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-11740913734259047312017-11-18T09:48:39.913-08:002017-11-18T09:48:39.913-08:00You would include the (negative) sign.
DG You would include the (negative) sign.<br />DG Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-61757215539280694012017-11-18T09:26:15.288-08:002017-11-18T09:26:15.288-08:00Hello Prof Giles,
First of all, thanks you for yo...Hello Prof Giles,<br /><br />First of all, thanks you for your very informative blog. I just want few precision. In your formula with C*, does C* come in the formula in absolute terms or we need to put its coefficient sign if C* is negative. <br /><br />Thanks You<br /><br />Sincerely,<br />Quebechttps://www.blogger.com/profile/03769268296619128578noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-24387294802801322672017-04-18T11:41:55.020-07:002017-04-18T11:41:55.020-07:00Dave
An additional reference for interested reade...Dave<br /><br />An additional reference for interested readers: if you want to compute the standard error for the estimated percentage change, this paper derives and provides the exact formula, as well as somewhat easier to implement approximation. <br /><br />Econometrics Journal (2002), volume 5, pp. 149–159.<br />"Exact interpretation of dummy variables in semilogarithmic<br />equations," KEES JAN VAN GARDEREN† AND CHANDRA SHAHAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-40462291905461027972017-04-14T08:20:22.574-07:002017-04-14T08:20:22.574-07:00Fabio - pre-adjustment is never a good idea if you...Fabio - pre-adjustment is never a good idea if your time-series data might be non-stationary. I've written elsewhere about how this can affect the properties of unit root and cointegration tests. And early work by Wallis and Nerlove showed us that the old Census X11 methods can take out more than just the seasonal components. Having said that, just be ware that seasonal dummy variables treat seasonality in a very particular, and restrictive way. In VAR modelling I would never pre-adjust the data. Sometimes this can be a problem. For instance, in the U.S. some macroeconomic data is published ONLY in seasonally adjusted form - that always bothers me!Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-15715823422972697072017-04-14T02:12:05.284-07:002017-04-14T02:12:05.284-07:00Professor Giles, I beg your pardon for my lack of ...Professor Giles, I beg your pardon for my lack of knowledge, but your explanation about seasonal dummies got me worried! In a VAR context, should we then seasonally adjust the series (or some of them) using, say, X-12 Arima, before estimating the VAR? My professor said that this is not a recommended strategy, as filtering a series may alter its information. So instead we should use seasonal dummies in a VAR, and not filter the seasonal component? I would appreciate your opinion about this!Fabio Mouranoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-80414162756114985092017-03-05T07:41:53.116-08:002017-03-05T07:41:53.116-08:00Exogenous.Exogenous.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-91133632154634904542017-03-05T05:27:32.422-08:002017-03-05T05:27:32.422-08:00Dear prof. Giles,
I have one basic question regar...Dear prof. Giles,<br /><br />I have one basic question regarding dummies.<br />Say I'm estimating Gregory & Hansen cointegation between Y and X and the regime shift model supports cointegration. Hence, in order to obtain long run equilibrium relationship between Y and X (using DOLS in Eviews) I have to include two dummy variables: a shift dummy and a slope dummy. The question is how should I include these dummies, as endogenous or as exogenous variables?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-6026462272173752622017-01-10T07:07:33.929-08:002017-01-10T07:07:33.929-08:00Very informative blog for sureVery informative blog for sureAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-86448373063538927522017-01-10T06:49:25.978-08:002017-01-10T06:49:25.978-08:00This blog is very educative. I have learnt alot fr...This blog is very educative. I have learnt alot from the conversationisaacnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-82186574416255300692016-12-27T16:43:24.113-08:002016-12-27T16:43:24.113-08:00Sorry, but No! No!
See http://www.appstate.edu/~wh...Sorry, but No! No!<br />See http://www.appstate.edu/~whiteheadjc/service/logit/intro.htm<br />for an explanation.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-74195181783548494572016-12-27T16:19:26.226-08:002016-12-27T16:19:26.226-08:00Thanks for this information. I have a small questi...Thanks for this information. I have a small question (perhaps very stupid) - I have a dummy dependent and a dummy independent variable and I find that the coefficient is 11% points. The average of the dependent variable is 4%, does this mean that my independent variable causes a 300% increase in the dependent variable? I am not sure if this is correct, but if you have any suggestions on how to interpret the magnitude, it would be very helpful. Thanks!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-25096769547994138862016-11-10T04:29:47.636-08:002016-11-10T04:29:47.636-08:00The dummy variable can only take values of zero or...The dummy variable can only take values of zero or one. It's bounded and can't follow a random walk.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-55682554291532146712016-11-09T16:32:43.708-08:002016-11-09T16:32:43.708-08:00Dear Prof. Giles, I also suffered from the same pr...Dear Prof. Giles, I also suffered from the same problem like Esri. I have also a dummy variable which has a stochastic nature and as I can understood from the literature of econometrics, we need to check the existence of unit root in series that has a stochastic nature. At that point I get confused. I searched econometric books and papers, but unfortunately I couldnt get any result. Could you please share or recommend any source that supports "all dummy variables are stationary by construction"? I will be really appreciate if you can help me. Thank you.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-8985757097866213302016-10-20T07:10:00.466-07:002016-10-20T07:10:00.466-07:00Camilla - there is no book!! The picture was a spo...Camilla - there is no book!! The picture was a spoof. I thought that everyone realized that!!!!! Responses to your other questions will follow. DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-82867151785043896032016-10-20T07:05:24.286-07:002016-10-20T07:05:24.286-07:00Dear Dave Giles, I have two (or three) questions r...Dear Dave Giles, I have two (or three) questions related with the dummy for dummies - First is - where can we get a copy of the book by 2016 (since I cannot find it on Amazon)? <br /><br />Second question, I often use models with a lot of dummy variables for time, industry, country, ownership etc. Is there an easy way to interpret these coefficients - for example should I use individual or combined dummies for countries and time in order to interpret something about the effect of the financial crisis on exports before and after (I have the years 2007 and 2011 and I currently work with a small sample of four countries). Also we would ideally like to say something about the relationship between exchange rate system and exporting at the firm level. But I read the paper by Wooldridge (2005) on the problems of statistical inference for institution or country level dummies (I can send you the full refernece if you need it). So I suppose that even though we have 5000+ observations at the firm-level we cannot say anything in terms of statistical significance/certainty - e.g. that firms in countries with fixed exchange rates fare better in the long run etc. I think this is more like a case study at the institutional/country level and there is no reason to insert anything but country dummies (e.g. not changes in currencies over time), since there is no point after all as the interpretation of those country effects would have no statistical meaning after all? <br /><br />Hope you can help us and also if you have an easy guide (maybe it is in the book) when we combine different dummies and it seems very difficult to interpret them when I read Wooldrige's introductory textbook. <br /><br />Also, I had one last question related with your original post from 2011 - do you think it ok in those semi-log equations just to comment on the significance of the dummy variables. I think often we are not so concerned about their absolute size or impact as it can be difficult to interpret consistently in the context of the model or would you as a reviewer of a paper consider that very sloppy? <br /><br />Thank you so much for your patience! <br /><br />CamillaAnonymoushttps://www.blogger.com/profile/15581667516870037624noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-55373507086549414042016-03-02T13:52:40.885-08:002016-03-02T13:52:40.885-08:00This is great!
Thanks for the insight!
Cheers,This is great!<br /><br />Thanks for the insight!<br /><br />Cheers,Shawnhttps://www.blogger.com/profile/09853325639236492562noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-62476962750612067692016-03-02T13:33:32.860-08:002016-03-02T13:33:32.860-08:00The null hypothesis is that all of the coefficient...The null hypothesis is that all of the coefficients of the dummies are zero. The alternative hypothesis is that at least on of these coefficients is non-zero. A rejection implies keep the full set; and a non-rejection implies omit them all.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-18678289785763674192016-03-02T12:20:15.807-08:002016-03-02T12:20:15.807-08:00So if the significance level of the joint F-test w...So if the significance level of the joint F-test was close to zero (we can reject the hypothesis of no difference between dummies), then we should keep all dummies regardless if some are insignificant?Shawnhttps://www.blogger.com/profile/09853325639236492562noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-21341992142014526392016-03-02T12:02:00.888-08:002016-03-02T12:02:00.888-08:00Usually we'd do a joint F-test on the set of d...Usually we'd do a joint F-test on the set of dummy variables.Dave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.com