Druss2k

Germany

Apr
18
awarded Popular Question
Mar
30
awarded Notable Question
Jan
30
accepted What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
Jan
25
revised What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
added 9 characters in body; edited title
Jan
25
comment What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
Thanks. I'll change it to match the usual conventions with $\mu$ and $\sigma^2$.
Jan
25
comment What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
Indeed it is a little misleading. I was thinking that $e$ (centered version of $Y$) is log-normal even though the distribution is not defined for negative values. I was guessing that a shift of the distribution by its first moment to the left will not change its shape and therefore will just be a "centered" version of the log-normal (which is just not true). I edited the initial post to make things more clearer
Jan
25
revised What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
added 1484 characters in body; edited title
Jan
24
revised What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
deleted 68 characters in body
Jan
24
revised What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
added 93 characters in body
Jan
23
revised What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
deleted 113 characters in body; edited tags; edited title
Jan
22
asked What is the distribution of $e=Y-\mathbb{E}(Y)$ where $Y=\exp(u), \ \ \ u\sim\mathbb{N}\left(\mu,\sigma^2\right)$
Jan
12
accepted Definition of "optimal" instruments
Oct
11
awarded Famous Question
Sep
15
accepted When are the asymptotic variance of OLS and 2SLS equal?
Aug
11
comment How to forecast (extrapolate) within a (B-)Spline setting
The solution, and this is what mgcv's gam is doing btw, is to use first order Taylor-Approximation to extrapolate.
Jul
22
comment Simulation of Poisson data with a endogenous regressor
That is true. Besides that I'm not quite sure whether it is possible to induce endogeneity this way as the random effect $u$ now explicitly models the dependence between $z$ and the "error term". Nevertheless there could be a way of exploiting the mixed effects framework to achieve what I'm trying to do.
Jul
22
comment Simulation of Poisson data with a endogenous regressor
I've not thought about dealing with this problem with explicitly using a random effects model. Thank you for the insight.
Jul
22
comment Simulation of Poisson data with a endogenous regressor
As what I've described above is a rather simplified version of what I'm actually trying to do it would help greatly if you could give my some hints?
Jul
22
comment Simulation of Poisson data with a endogenous regressor
To follow up on that: do you know any reference or means to create a arrival process where one co-variable itself is endogenous and depends upon the arrival rate itself? For instance in demand situations if a high arrival rate is observed (multiple purchases of a product) the firm will increase their price (which will then be endogenous as depending upon demand).
Jul
22
accepted Simulation of Poisson data with a endogenous regressor
1 2 3 4 5