Questions tagged [applied-econometrics]
Use this tag to discuss empirical papers and issues arising when applying theoretical models to data.
-2
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0answers
14 views
EXCEL HELP!!!! Use of summation notation in excel [closed]
can anyone help me on how can I perform this on excel?
i = 1 n = 17 and for yi I have 20 years data for that.
1st year = 30222
2nd = 31680 and so on.
1
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0answers
15 views
How to control for population in Difference-in-Difference?
Random example, but let's say I'm examining the effect of a health program on influenza cases in India. They just randomly start the program in 7 of the 29 states. I have data on the number of flu ...
0
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0answers
20 views
Error Correction Model with two independent (control) variables [duplicate]
Is it possible to build an Error Correction Model with two independent ( control) variables? I mean with one dependent variable, and two independent variables.
If yes, what are the assumptions/...
0
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0answers
20 views
Error Correction Model with more than one independent variables
I was wondering if it is possible to set up an Error Correction Model with two independent variables (one dep var, and two indep vars)?
If yes, what are assumptions/conditions to be met?
In the ...
2
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0answers
35 views
Difference-in-differences with long time horizon and repeated treatments
I have a high-frequency panel dataset on the order of $i=150$ and $t=5000$. I am interested in studying the causal impact of a treatment with the following characteristics:
The same unit can be ...
1
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0answers
15 views
primary impact on real estate prices/taxes
Are my housing prices/taxes more influenced by the $40M beach house a few miles away from my home or those in the lower-class well beyond my county line?
Assuming a few basics:
there are differing ...
1
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1answer
29 views
Exchange rate volatility
Colleagues,
I have started an analysis on spatial econometrics models, and looking for data to compute an exchange rate volatility. My variables to construct the weight matrices are all bilateral ...
1
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0answers
15 views
To the following data, what kind of econometric analysis can be conducted/ or what type of relationship can be established? [closed]
I have data for sale in petroleum products across different states in India of both public sector and private sector companies for past 10 years.
No. of years - 2008 to 2018 monthly data for 10 years
...
1
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0answers
13 views
How do I measure effects over years in panel data with individuals?
I'm working with a longitudinal panel dataset that surveys the same few thousand individuals biennially and I have six years of this data. My dependent variable would be how much individuals spend on ...
1
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0answers
132 views
Coming up with a Research Topic for Undergraduate Paper
I am currently a senior in economics, and I have been pondering ideas for doing a research paper. Sometimes I go about thinking theory and trying to find applications I could apply it to empirically, ...
2
votes
1answer
34 views
Minimum sample size for cross-sectional RDD
I haven't done a regression discontinuity design (RDD) before. I know it requires a large sample size for identification, thus I fear that my sample size is not large enough.
The study is cross-...
0
votes
1answer
39 views
Help with undergrad econometric project
I am working on undergrad research in econometrics and am seeking some advice/help in terms of finding data sets and picking variables. I have an idea chosen for my topic, but I need to make a ...
0
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1answer
49 views
What is an unconditional model for a time series variable?
If I am being asked to do an unconditional analysis of a time series variable, lets say GDP starting in 2000, what model am I supposed to estimate?
2
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0answers
34 views
Any examples of non-parallelism making Diff-in-Diff estimation biased?
The key assumption in a Differences in Differences design is that both the control and the treatment group have parallel tendencies, that is, they'd follow similar paths over time if there was no ...
1
vote
1answer
24 views
What are the identification problems in measuring peer effects?
I am currently writing my bachelor thesis on peer effects. However, the more I read about the identification problems (I read e.g. Manski, Moffitt, Angrist, Goldsmith et al.), the less I understand. I ...
1
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0answers
16 views
Empirical implementation of Milbourne et al's 2003 model of growth for time series data
I'm interested in testing the relationship of public investment in human capital and infrastructure, and the rate of growth of the GDP for Colombia, during a 20 years period. Given that I'm only an ...
1
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0answers
24 views
How are rotation matrices used in structural VAR identification through sign restrictions?
I saw this identification method is used in several working papers but to me it is impossible to understand how it works by simply reading them.
I have searched many books and lecture notes in order ...
-1
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1answer
40 views
Is health care equal in the emergancy room? [closed]
How does financial status dictate the level of care differ? Where can you find the best healthcare income to medical service rendered?
I understand that health care differs depending on a ...
1
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0answers
69 views
Difference between multinomial logit and conditional logit
I'm trying to decide whether to run a multinomial logit or a conditonal logit (McFadden, 1973). I have data from a choice-based conjoint study in which each of the respondent's choices was between a ...
1
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0answers
15 views
Discrete choice model without outside option?
In most empirical studies of discrete choice, the presence of an outside good is assumed.
Can you give an example of a (well published) empirical paper, where there is no outside good and thus ...
1
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0answers
26 views
Panel econometrics for marketing mix analysis: how to include spending that affects all the individuals of a panel?
Dear stack exchangers,
in the course of an internship at a microfinance bank in Tajikistan, I have been tasked with assessing the efficiency of different marketing expenses.
I will try to expose the ...
5
votes
2answers
124 views
Research at the county-level: Macro or Micro?
Is research at the county-level considered applied micro or applied micro?
The standard undergrad definitions ("micro" = "individual", "macro" = "nation") are of no help with units of measurement ...
1
vote
1answer
87 views
Why can't we control for squares and quadratics of predicted values in regression?
If my goal were prediction (e.g. of propensity scores), why couldn't I control for higher order terms of the model equation? For example, why not estimate the model and then control for squares and ...
6
votes
1answer
56 views
What type of graph can be hepful to explain the type of errors that should be used?
I have a regression of wage on several variables, such as education, marriage and so on. I want to explain that it would be a better idea to use cluster errors, since we expect the wage to be ...
4
votes
1answer
62 views
Controlling for interaction effects
In a recent paper, Edelman et al. examine (amongst other things) how discrimination on AirBnB varies with the characteristics of hosts. First, they conduct a field experiment which involves sending a ...
1
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1answer
31 views
Do I need to log transform these two kinds of variables?
Before regression (like fixed-effects, random-effects), for these two kinds of variables:
1) Price levels (e.g. price level of capital formation)
They are usually ratios like 0.987, 1.022..., based ...
1
vote
1answer
46 views
Estimating production functions with time series data
A while back I asked How do we estimate production functions?
The answers given address cases when dealing with cross-sectional data, However most of the data I've been seeing is given by a time ...
0
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2answers
83 views
How to estimate loss of customers due to customer support inefficiency?
I have a data about customers and their activity on a website for a two-year period. Also, I have a customer support work evaluation data for a shorter period of that two-year period. The question is:
...
4
votes
1answer
74 views
Insignificant Interaction effect in applied econometrics (multinomial logit regression)
I'm currently writing my master's thesis where I'm applying a multinomial logit regression with interactions effect.
The model I'm using is
$$
P(y=j) = exp(xb_j)/(1+∑exp(xb_h))
$$
where
$$
xb_j =...
2
votes
0answers
40 views
Static and Dynamic models: Testing the Quantity Theory of Money
The quantity theory of money is stated as a simple equation which states that the general price level of goods and services is directly proportional to the amount of money in circulation. This is ...
4
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1answer
52 views
Aggregate production function, factor shares and cointegration
When estimating an aggregate production function you fit your data to a selected functional form of the production function, derive the parameters and inference from there.
My question is, is there ...
1
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0answers
69 views
Dynamic factor model for inflation (UIG)
I'm trying to replicate some results of Fed Underlying Inflation Gauge (UIG) model, which is a dynamic factor model to capture inflation trend. https://www.newyorkfed.org/research/policy/underlying-...
2
votes
2answers
114 views
Macroeconometrics:How to measure capital depreciation?
In an econometric sense, how do macroeconomists measure capital depreciation $\delta$ in the formula $K_{t+1}=K_t(1-\delta)+I_{t+1}$.
What data would I need and what kind of regression would I run?
0
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1answer
109 views
Variance of $\hat{\beta _0}$ in case of homoskedasticity
Stock and Watson express the variance of $\hat{\beta _0}$ like
$\hat{\sigma }^2_\hat{\beta _0}=\frac{E({X_{i}}^{2})}{n\sigma _{X}^{2}}\sigma ^{2}$, but starting from variance of $\hat{\beta _1}=\frac{...
1
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1answer
58 views
Why $v_i=(X_i-\mu _X)u_i$ is i.i.d?
I don't understand. Ok, we have $\beta_1-\hat{\beta }_1=\frac{\frac{1}{n}\sum_{i=1}^{n}v_i}{(\frac{n-1}{n}){s_{X}}^{2}}$. So, for the first OLS assumption results that $E(v_i)=E((X_i-\bar{X})u_i\...
0
votes
1answer
50 views
Difference between $x$ and $X$
Sorry for my bad english, i'll try to explain my difficulty.
1° Question
In the last exam an exercise asked to derivate OLS estimators and calculate their value with the data provided (ex.: $\sum ...
0
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1answer
78 views
testing the relationship between stock price and macroeconomic variables
I'm in the midst of preparing data to test the relationship between stock index and macroeconomic variables. The variables include m1, cpi, ipi, interest rate, exchange rate. I have some question ...
2
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0answers
27 views
modelling Inconsistent production functions
last year I asked How do we estimate production functions?. That answer provided was insightful from an econometric perspective and has helped me in applying such an understanding to the workplace.
...
4
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0answers
53 views
How to econometrically identify perfect complements in production?
The production
$$f(x_i,...,x_n)=\min\{x_i,...,x_n\}$$
is pretty straight forward and usually with smaller size data sets and can usually be picked up on rather quickly in an intuitive sense.
...
0
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0answers
28 views
How does the bank of Canada define “output”
Im trying to replicate the forecasts of this VECM model presented by the bank of canada in The M1 Vector-Error-Correction Model:
Some Extensions and Applications
Context (from page 24 in the pdf).
...
2
votes
1answer
141 views
Testing the long run phillips curve / Contradicting empirical results?
I've been working with some historical macroeconomic data of the Canadian economy and am having difficulty empirically testing the Phillips curve long run and short run versions.
I got the data from ...
4
votes
1answer
484 views
To use seasonally adjusted data or not seasonally adjust data?
Im currently doing research using some macroeconomic data.
I just want to know what are the pros and cons of using seasonally adjusted/non-seasonally adjusted data in terms of forecasting.
3
votes
1answer
46 views
When first differences contradict a regular regression regarding Investment vs Output relationship
Im doing some research with some panel data I have on firm output and investment.
I ran two equations.
$$y=\beta_0+\beta_1x+\beta_2x^2+\mu$$
$$\Delta y=\alpha_0+\Delta\alpha_1x+\epsilon$$
in R ...
2
votes
0answers
37 views
Using Stata to perform power calculations
I want to use simulation in Stata to help me determine whether or not I will have sufficient statistical power to detect meaningful effects (should they exist) in a given data set using generalized ...
2
votes
2answers
119 views
Interpretation of a differenced regression
I'm experimenting with some data in R and I've found that though there is statistical significance between two variables, however their changes are not statistically significant.
I first ran a ...
1
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2answers
29 views
Producer Econometrics: Univariate modelling with missing data
Im interested in forecasting revenue for 2018.
...
3
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1answer
99 views
Consumer Econometrics: Identifying nature of goods
I have some data on household income and goods purchased. The first three columns and rows are:
...
0
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2answers
56 views
Expected Value of a Infinite Process
Assume $x_t$ is an unit root process. Write first difference of $x_t$ as
$\Delta x_t$ =$\rho$ $\Delta x_{t-1}$+ $\epsilon_t$
Where $\epsilon_t$ is a white noise process.
How can we calculate $ ...
2
votes
1answer
55 views
When estimating VAR(1) by OLS, I get transpose of AR matrix. Why?
Model: $y_t = \Phi y_{t-1} + (\mathbb{I_n}-\Phi)\mu + \Sigma \varepsilon_t$
s.t. $y_t$ is a $(n \times 1)$ vector, and $\varepsilon_t \sim N(\vec{0},\mathbb{I}_n)$. $\mathbb{I}$ is the identity matrix....
5
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1answer
112 views
The Econometrics of the Stone Geary Production function
The Stone-Gerry production function generally takes a form of:
$$f(x_{i})=\prod_{i=1}^n(x_{i}-a_{i})^{\gamma_i}$$
where $x_i$ represents all inputs in the model, $a_i$ is a constant representing the ...
