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
299
questions
0
votes
0
answers
21
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 ...
- 101
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 ...
- 43
3
votes
1
answer
282
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 ...
- 43
1
vote
0
answers
14
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 ...
- 35
1
vote
1
answer
20
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-...
- 115
2
votes
2
answers
234
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 $\...
- 21
0
votes
0
answers
11
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 ...
- 11
0
votes
0
answers
16
views
Corporate finance thesis on financial constraints and investment
I am currently writing a masters thesis within corporate finance and am seeking help to understand some concepts and theories in regards to some regression results i have obtained through empirical ...
1
vote
1
answer
36
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 ...
- 11
1
vote
1
answer
47
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 ...
- 59
0
votes
0
answers
41
views
Relationship between Urbanization and GHG Emissions
I built a model to measure the impact of population, wealth, technology and urbanization on greenhouse gas emissions (as measured by $N_2O$ emissions) in my country, following the STIRPAT framework, ...
- 51
3
votes
0
answers
17
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 ...
0
votes
0
answers
44
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-...
- 3,144
2
votes
1
answer
47
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....
- 457
0
votes
0
answers
28
views
How to analyze the effect of a policy change?
I am currently analyzing the impact of a public policy change, specifically one that was introduced in 2018 but later changed in 2020, changed the eligible rules. While I have used DiD and Event-study ...
- 13
2
votes
2
answers
156
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 ...
- 43
0
votes
0
answers
45
views
How to estimate staggered difference in difference with continuous treatment?
I want to estimate a staggered difference in difference with continuous treatment. The data looks something like this:
$$
\begin{array}{ccc}
Individual & year & CT_{i,t} \\
\hline
1 & ...
- 181
1
vote
1
answer
62
views
When should I NOT control for unit-fixed effects?
I see most of the applied econometrics papers using the two-way fixed effects model, controlling for time and units fixed effects, so:
$$y_{it}=\alpha_{i}+ \gamma_{t} +\beta x_{it} +\epsilon_{it}$$
I ...
- 181
2
votes
0
answers
25
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 ...
- 423
5
votes
1
answer
55
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 ...
2
votes
0
answers
37
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 ...
- 141
2
votes
0
answers
24
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%, ...
- 21
1
vote
0
answers
25
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 ...
- 13
2
votes
0
answers
28
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 "...
- 21
1
vote
1
answer
141
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 ...
0
votes
0
answers
17
views
Gologit vs series of binary logistic regressions
I have a dependent variable with four categories, I am running a gologit regression that has the next formulation:
and I have to explain the resulting coefficients in an intuitive manner (the ...
4
votes
2
answers
165
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 ...
- 2,260
1
vote
1
answer
174
views
What is the difference between econometrics and statistics?
Is econometrics just statistics applied to economics or is there also some deeper difference?
- 508
6
votes
3
answers
205
views
Derivation of index decomposition analysis
I’m currently reading a paper on index decomposition. The paper is here for reference : https://www.sciencedirect.com/science/article/pii/S0140988315001772
The paper is setting out how it has gone ...
- 366
2
votes
0
answers
84
views
How to read/estimate Demand System on data
I have difficulties understanding the concept of Almost Ideal Demand System or, most probably, I have a problem of how to perform microeconomic estimates from data, in general...
So my data look like ...
- 730
0
votes
0
answers
63
views
How to show SSR of the residual vector from regression of y on X1 and X2 is equal to SSR of y on X1 and X2
What I mean in the title is that when we regress $y$ on $X_1$ and by using projection matrix $M_{X1}$
how can I proceed with that:
the model is
$$
y = X_1 \cdot \beta_1 + X_2 \cdot \beta_2 + u
$$
or ...
- 121
3
votes
1
answer
369
views
How is potential experience usually measured in the Mincer equation?
Wikipedia specifies the Mincer equation like this:
$$\ln w = \ln w_0 + \rho s + \beta_1 x + \beta_2 x^2$$
and states that $w$ is wage, $s$ is years of schooling and $x$ is potential experience.
...
- 1,821
1
vote
0
answers
40
views
Understanding how to estimate the model of Fung and Hsieh (2001) for the hedge funds risk factors
There is an old paper about the risk of hedge fund strategies that it gathers its focus in the trend followers. This is the Fung and Hsieh (2001) paper.
$\textbf{Definition of Trend Followers (TFs):}$ ...
- 184
1
vote
2
answers
52
views
Meaning of a statistically significant constant in a regression and more
I am running a regression the following way on stata: reg death_rate CPI HDI
Where death_rate is the mortality rate of COVID-19 in 2021 (measured as a %), HDI is ...
- 13
1
vote
1
answer
29
views
Heterogeneity of time invariant characteristic in event study model
I am trying to estimate the impact that the onset of a medical disease has on a number of outcomes, call them $O$. To do this, I am using an event study model with individual and time fixed effects...
...
- 41
1
vote
2
answers
30
views
Why is Stata omitting some of my variables and mfx not working?
I'm trying to do a probit regression with some categorical and continuous variables but Stata keeps omitting certain variables and even claiming that some can't be used to to collinearity problems (I ...
1
vote
0
answers
26
views
Statistic to best summarize changing price level over an interval?
You are told that in a given week 4 of a given good are sold at a price of 100 and 6 of the ...
- 11
1
vote
0
answers
65
views
Fixed effect model: different estimation approaches with R - how to demean variables - unbalanced panel
I want to use R to estimate a fixed effects model using different estimation approaches (e.g. replicating xtreg from Stata). Note that I am using an unbalanced panel.
The easiest way to do this is ...
- 11
0
votes
1
answer
27
views
OLS with multiple indicator variables
My dataset contains two numerical variables (n1, n2) and six indicator variables. The first three indicator variables specify ...
- 125
2
votes
1
answer
20
views
Synthetic control method when treatment has an overflow effect on control group
Can I use a synthetic control method in the following settings:
Treatment on one aggregate unit causes some of the individuals in
that aggregate unit to migrate to the control unit
The individuals in ...
- 23
5
votes
0
answers
65
views
p-hacking vs. parameter calibration?
I'm currently tasked in my job to design a Prospect Theory (here CPT-)index as mentioned in Barberis, Mukherjee and Wang (2016): "Prospect Theory and Stock Returns: An Empirical Test", see ...
- 303
4
votes
1
answer
51
views
Resampling for a Probabilistic Model to Balance Outcomes
I wanted to construct a logit model for determining the probability a recession will be determined for any given month using the usual Macro indicators; however, I noticed that 90% of the months in my ...
1
vote
0
answers
7
views
Can I perform magnitude analysis on margins?
I’m trying to find if there’s an asymmetric in my dummy variables. So after creating my regression I am looking at margins with all the variables held constant with the dummy=1,0.5 ( a pseudo result I ...
- 11
1
vote
0
answers
74
views
conleyreg() for panel data
With panel data, how does conleyreg() correct for spatial correlation and autocorrelation within units over time? More specifically, why do my standard errors change when I specify 'unit' and 'time' ...
2
votes
0
answers
65
views
Is autocorrelation and the number of clusters related in an ergodic process
I' ve come across two notions for the condition of (mean-) ergodicity and wonder whether and how they relate.
(1) Let $ {X}_{t \ge 0} $ be a second order stationary process with (constant) mean $\mu$ ...
- 121
1
vote
1
answer
236
views
Can I instrument an endogenous variable and its quadratic form with the instrument and its quadratic form?
I have the following problem, where I would like to have an advise or a reference:
I'm estimating a model which usually (in other papers) only includes the explanatory variable in its linear form, but,...
- 35
-3
votes
1
answer
23
views
How to interpret the significance of estimates if it differs between regression models? [duplicate]
I am trying to analyse the impact of experiencing a certain incident on the pro-unification opinion of people. If the incident occurs, they can occur in solely 3 different types: A, B and C. We assume ...
- 93
1
vote
2
answers
28
views
Comparing incomes across regions within a country
When looking at spatial disparities across regions within a country the standard approach that I have seen is to look at differences in incomes across regions.
However, this doesn’t control for the ...
- 366
2
votes
1
answer
73
views
Difference-in-difference robust to heterogeneous treatment effect - Gendron-Carrier et al. specification
I am trying to extend the results of Gendron-Carrier et al. (2022) article published in the American Economic Journal : Applied Economics which is about the effect of subway opening on pollution.
I ...
- 21
1
vote
1
answer
32
views
How to estimate a subclass effect of fixed effect model?
i need help with an econometric question.
I have a panel data of stock analysts and their associated investment returns by following their investment recommendations of buy/hold/sell. The data is at ...
- 35