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Questions tagged [applied-econometrics]

Use this tag to discuss empirical papers and issues arising when applying theoretical models to data. For theoretical econometric issues, use the `econometrics` tag

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What are the true normalized cointegration vectors in R (ca.jo, cajorls and VECM functions) and how to interpret them?

I'm struggling with understand the difference between (and why there is this difference) the normalized cointegration vectors provided by the ca.jo function and the ...
Daniel Xavier's user avatar
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Aggregate Demand and Aggregate Supply

Suppose the economy is at full employment and aggregate demand falls. Show the effects on output and prices in the short-run. Also, show how the Keynesian aggregate supply adjusts over time to bring ...
Ecoooo's user avatar
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1 answer
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Is there any downside to synthetic control compared to differences-in-differences model?

Synthetic control seems to me to be simply a version of differences-in-differences model, where the assumption of parallel trends is satisfied by construction, since the synthetic control to the ...
WilliamT's user avatar
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3 votes
1 answer
36 views

Variable dropped for collinearity in feols package in R (TWFE)

sorry if this is a basic question (I'm new to econometrics). I have the following regression model: $Y_{i,t} = \alpha_i + \gamma_t + \beta_1\cdot X_{1,i,t} + \beta_2 \cdot X_{2,i} + \beta_3 \cdot X_{3,...
user308036's user avatar
4 votes
1 answer
65 views

Random Utility Model Multiple Choice Question. Which one is correct?

In this random utility model, which of the five statements is true? I've been thinking about this question ever since the exam... I said (B).
Martin's user avatar
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2 votes
1 answer
63 views

Difference between unconfoundedness and parallel trends

I understand the unconfoundedness (selection on observables) assumption to be that the expected value of an outcome is independent of treatment after controlling for observed regressors (since these ...
ABCBAA's user avatar
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Model specification - time series. Estimation of the effect of human capital on growth

Thank you for your help in advance ! I'm working on a research project at undergraduate level on the effect of human capital on growth in Nigeria from 1980 to 2018. My current model specification is : ...
Econometricsproject's user avatar
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1 answer
41 views

Estimate a simple regression (homework question)

The Director of UNAM’s Student Affairs would like to investigate the relationship between the number of hours (X) students spends campaigning and the percentage of votes (Y) they end up receiving in ...
Apollonia Thomas's user avatar
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32 views

How to run an event study with many individuals and few observations per individual?

I am trying to run a study on bond issuance, with a specific policy shock that occurred for all units simultaneously. I was planning to use DiD methods, however I'm only observing an individual ...
Ahhhhhhhhh's user avatar
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26 views

In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$, is it true that $a_0,a_1$ are identified while $b_0,b_1,b_2$ are not?

In the supply demand model $Q_s=a_0+a_1P+u$ and $Q_d=b_0+b_1P+b_2Y+v$ and $Q_s=Q_d$, where $P$ is price, $Y$ is income, $u,v$ are the unobserved error terms. what are the identified parameters and ...
ExcitedSnail's user avatar
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What's a classic (paper) example in which OLS gives unreasonable result, but IV estimate gives reasonable result?

I'm wondering are there are any classic papers, especially in the field of labor economics or development economics, that include regression tables showing OLS gives unreasonable result(like ...
ExcitedSnail's user avatar
1 vote
1 answer
39 views

What kind of data should I use for estimating price elasticity of demand?

I’m planning to use the log-log model to estimate price elasticity of demand $$\ln(Q) = \beta_0 +\beta_1\ln(P) $$ I’m already aware of its drawbacks and that there are other estimation methods, but I ...
martizarra's user avatar
0 votes
1 answer
25 views

Regression Discontinuity Design Result

I am reading a paper on Voting Technology by Fujiwara (2015). He uses an RDD to estimate the causal effect. In his result tables, he mentions a stat named "Pre-treatment Mean", which I don't ...
Toshani Singh's user avatar
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Consequences of running a panel VAR with 2 variables stationary at levels and one variable stationary at first difference

I have a trivariate Panel VAR system with the following variables: LnGDP (Natural log of GDP) Fiscal Expenditure (as % of GDP) Interest rate ( in %) LnGDP and interest rate are stationary at levels ...
shantanudravid's user avatar
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0 answers
12 views

How does scaling/decomposition of data affect interpretability?

I have time series GDP growth rate data that I use as my Y and other X variables that I put into neural networks to make predictions. The two questions that I have are: When I decompose my GDP_growth ...
user47457's user avatar
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24 views

Multicollinearity with interaction term and fixed effects

I have the following regression including an interaction term and fixed effects ...
metricshelpr's user avatar
1 vote
0 answers
35 views

How to find hourly wage when data only provide range?

I am trying to separate observations into two groups, people who earn below (treatment group) and above (control group) the minimum wage to perform a difference-in-differences. The data I'm using have ...
asdf's user avatar
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3 votes
3 answers
204 views

measuring the effect of attending a private school on the return to education

In my research methods course project, I'm investigating the impact of attending a private school during primary and secondary education on future wages, utilizing cross-sectional data. I've ...
baker M's user avatar
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1 vote
1 answer
87 views

Unit root tests in panel data

I'm currently engaged in a panel data analysis project in R, focusing on multiple economic variables (such as GDP, Gross Fixed Capital Formation, etc.) for EU27 countries spanning the period 1995-2015....
kostas2323's user avatar
1 vote
0 answers
21 views

Calculate consumers WTP for product attributes

I have a large panel on the city level of how many cars of each {model, fueltype} combination were newly registered in each year. This panel also includes a large variety of characteristics for each ...
rösti23's user avatar
1 vote
1 answer
84 views

Diagnostic tests on models using panel data

I am trying to replicate Islam(1995) Convergence model for EU countries. I know that LSDV estimator is biased,however i have applied it in order to compare the results with other methods. My question ...
kostas2323's user avatar
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0 answers
20 views

Suppose that you estimate the above model with the first difference estimation procedure in R. Will your estimator be consistent? Why?

$log(invest_{it})=\theta_t+z_{it}\gamma+\delta_1tax_{it}+\delta_2disaster_{it}+c_i+u_{it}$ is the model. And what about fixed effect and random effect? I went through the book and it gives the ...
Dick Donington's user avatar
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24 views

Regression discontinuity design

I have this setting: Where V is the running variable and M=1 if V>0. It is a sharp RDD. D is a set of period dummies and $\tau$ is the calendar year. Coefficients in vector $\beta$ capture the ...
userF's user avatar
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1 vote
0 answers
25 views

"On the causes and consequences of deviations from rational behaviour"

The title of this post is the title of a paper I am drawing inspiration from for my final year dissertation. If anyone has the time, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3623676, this ...
Han's user avatar
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1 vote
1 answer
188 views

Conditional Convergence

Lets assume that we have a theoretical model in this specification to test conditional convergence: \begin{equation} \frac{1}{T} \ln\left(\frac{y_{it}}{y_{it-1}}\right) = a - (1 - e^{-\beta T})\ln(y_{...
kostas2323's user avatar
1 vote
2 answers
318 views

Absolute Convergence

I have noticed that some researchers in order to test convergence hypothesis apply a model in this form: $(1/T) \ln(y_{it}/y_{i,t-1}) = b_0 - b_1\ln(y_{i,t-1}) + u_{it} $ (Barro & Sala-I-Martin, ...
kostas2323's user avatar
0 votes
0 answers
31 views

Ordered Logit Model: Marginal Effects Signs Opposite

I'm deeply stuck in an issue in my research paper's methodology. I'm getting the following disparate results for my marginal effects. In my Ordered Logit model, I have Y = Trust in banks (4-Max trust,...
Fasih's user avatar
  • 1
0 votes
0 answers
23 views

Assessing stochastic dominance from samples? ...and is Kruskal-Wallis useful?

According to wikipedia and other scattered software documentation Kruskal Wallis tests assess "stochastic dominance". But the original paper doesn't mention "dominance". Nor does ...
JRC's user avatar
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1 vote
1 answer
53 views

Log of 0 Probelm in Acemoglu et al. 2002b

in Acemoglu et. al. 2002b, which is about European Growth and Atlantic Trade, they do a log transformation of the atlantic trade variable. Since there are many observations where trade is 0, they say ...
Pajul's user avatar
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3 votes
1 answer
287 views

Log Transformation of Zeros (Slave Trade Data)

I am trying to log transform data on slave trade voyages from the Database by David Eltis,The Trans-Atlantic Slave Trade Database. The Problem I am facing: Many values are 0. My first idea was to ...
Pajul's user avatar
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1 vote
0 answers
17 views

Difference between Quantile Regression and Endogenous Stratification

I have a question that stems from an ongoing experiment I'm conducting, focusing on treatment heterogeneity. Initially, my approach involved considering a beyond-mean analysis utilizing quantile ...
Nacho's user avatar
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1 vote
1 answer
21 views

Considering employment when estimating treatment effect on wage RCT

Suppose I run a RCT where the treatment is educating high school students. Outcome variable of interest $y$ is the wage the student will earn after graduating from high school. Suppose there is no non-...
Hosea's user avatar
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3 votes
2 answers
254 views

Solving stochastic difference equation in New Keynesian model (FTPL textbook derivation)

In Cochrane's "Fiscal Theory of the Price Level", I am struggling with the following derivation. Take the first line as given, where $\pi_t$ and $i_t$ are random processes adapted to $\...
Econ's user avatar
  • 31
1 vote
2 answers
93 views

Including Controls for Relevance Test in First Stage Regression of IV?

I am conducting an instrumental variable approach (IV) in my paper, and I am puzzled how to correctly test for the relevance / strength of the instrument assumption. I recently read in a paper by ...
Susn's user avatar
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1 vote
1 answer
43 views

What does it mean to "replace all variables with the residuals after projections on any additional exogenous regressors"

I am conducting IV Regression and to make sure that my instrument is not weak, I want to use Montiel Olea & Pflueger (2013) robustness test. (see: Paper by Montiel Olea & Plueger (2013) ). To ...
Susn's user avatar
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1 vote
1 answer
66 views

Regression Discontinuity Design equation

Dear all, I found this equation to estimate a RDD in a paper. $(f_i-f_z)$ is the running variable, hence $\alpha$ should be the slope to the left of the cutoff and $\lambda$ the variation in the slope ...
userF's user avatar
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3 votes
0 answers
23 views

Is it possible to run a regression discontinuity design (RDD) with different treatment intensities?

My question arises from an arbitrary assignment rule which gives monetary transfers to cities in Colombia with a population of less than 25,000 inhabitants. However, the transfer varies between cities ...
Luis Felipe Gaviria's user avatar
0 votes
1 answer
87 views

Greene's Econometric Analysis (8th edition), Table 6.12, p.233

I tried, but without success so far, to reproduce Greenes' empirical results using his gasoline data available at: https://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm You will find the R-...
Bertrand's user avatar
  • 3,371
2 votes
1 answer
72 views

Panel data with Sector year fixed effects on R

I am trying to replicate the following econometric equation from the paper "How do french manufacturing firms react to Energy shocks ?" s denotes sectors,i denotes firms, and t denotes year....
BAL's user avatar
  • 457
2 votes
2 answers
352 views

How to correct selection bias in an econometric analysis?

We know that selection bias occurs when the treatment and control groups are not comparable, leading to differences in the outcome that are not solely due to the treatment. How does one address the ...
funcard's user avatar
  • 43
1 vote
1 answer
298 views

When should I NOT control for unit-fixed effects?

I see most of the applied econometrics papers using the two-way fixed effects model, controlling for time and units fixed effects, so: $$y_{it}=\alpha_{i}+ \gamma_{t} +\beta x_{it} +\epsilon_{it}$$ I ...
Oalvinegro's user avatar
2 votes
0 answers
28 views

Every Submodular Valuation Can Be Represented as a Maximum of Additive Valuations

According to this paper, "every submodular function can be represented as a maximum of additive valuations." It gives an algebraic description as well, but I am having trouble internalizing ...
user10478's user avatar
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5 votes
1 answer
85 views

IV Regression with More Observations for First Stage than Second Stage

This is a very basic question, but I need help. Imagine I have a dataset for variables y, x, and z. I am running an instrumental variable regression such that y is my main outcome variable. So I am ...
Student in need's user avatar
2 votes
0 answers
64 views

How do we choose appropriate moment conditions for GMM estimation?

In certain conditions, especially with just-identified models, the appropriate moment conditions are in some sense obvious. This is the case, for instance, when we recover parameters from the linear ...
Yashaswi Mohanty's user avatar
2 votes
0 answers
26 views

Estimating excess probability

I have three players A,B,C, where C ideally functions as a baseline. They play different games (not against each other) and I can observe their win probability, for example P(A wins in game I) = 90%, ...
ProGeologist's user avatar
1 vote
0 answers
34 views

Short vs. long horizon event studies?

I am studying the impact of announcements by a Central Bank on a stock's returns. To measure these impacts, I employ an event study (where my event window is 10 days and my estimation window is 60 ...
angelavtc's user avatar
2 votes
0 answers
37 views

Two-way fixed effects with two treatments and interaction between both treatments

I am interested in estimating the effect of two different treatments (T1 and T2) and the interaction of the two (T1 x T2) in a two-way fixed effects event-study design. Both T1 and T2 have a "...
aeiz's user avatar
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1 vote
1 answer
171 views

Using price elasticity of demand to optimize price increases

I want to share some context with you I am working for a pharmaceutical company and the business side needed to update the price for some products once a year. So I thought to develop a model to ...
robson shimada's user avatar
4 votes
2 answers
225 views

Applied financial econometrics textbook

I am looking for an applied financial econometrics textbook. There are plenty of textbooks that present time series models used in financial econometrics but few of them put any emphasis on ...
Richard Hardy's user avatar
1 vote
1 answer
467 views

What is the difference between econometrics and statistics?

Is econometrics just statistics applied to economics or is there also some deeper difference?
Ezekiel's user avatar
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