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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
28 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 ...
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0answers
13 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 ...
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0answers
11 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 ...
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12 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 ...
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0answers
41 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
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1answer
26 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
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1answer
34 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
46 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?
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15 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
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1answer
21 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 ...
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0answers
15 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 ...
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0answers
21 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 ...
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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
23 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 ...
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0answers
14 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
21 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 ...
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0answers
20 views

Lead term significant

I am trying to examine whether X(-1) explains Y but finally find coefficients for X(-1), X, X(+1), and even X(+2) are all significant. Can anyone gives me some suggestions on how to deal with this ...
5
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2answers
123 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
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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
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1answer
52 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
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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
30 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 ...
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1answer
37 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 ...
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0answers
21 views

How to create synthetic controls for state-city level groups?

I want to create synthetic controls for state-city level data where a policy is implemented on the state level. The treated group will be the cities of the state that had a policy implemented and the ...
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
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1answer
72 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 =...
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0answers
12 views

How to combine a business' output metrics

I run an online bookstore and I want to get a good idea of my output. Some days I get many orders from different customers but they all order one book. Other days I receive one order for many books. ...
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0answers
11 views

How to analyse consumption variation

I have a panel dataset for water consumption for a given population. I would like to estimate whether there is enough variation in water consumption by area to determine whether there were many water ...
2
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0answers
36 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
43 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 ...
0
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0answers
42 views

Understanding New Keynesian Phillips Curve

In the framework of NKPC, do these equations have sense: \begin{equation} \Delta w_t = b_1\pi_{t-1} - b_2(w - pr - p - b_3u)_{t-1} \end{equation} \begin{equation} \pi_t = b_3\...
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0answers
48 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-...
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2answers
88 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?
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1answer
102 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{...
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1answer
55 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\...
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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
71 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 ...
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0answers
25 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. ...
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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. ...
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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
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1answer
108 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
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1answer
373 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
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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
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0answers
34 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
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2answers
114 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 ...
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2answers
28 views

Producer Econometrics: Univariate modelling with missing data

Im interested in forecasting revenue for 2018. ...
3
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1answer
91 views

Consumer Econometrics: Identifying nature of goods

I have some data on household income and goods purchased. The first three columns and rows are: ...
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0answers
29 views

ARMA GARCH estimation gauss

I am trying to estimate the parameters of an ARMA-GARCH (p,q,P,Q) model. According to the literature I have read. I used the following formulas: $ \left\{ \begin{array}{lll} X_t - c_0 = \sum_{i=1}^P ...
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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 $ ...