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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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 ...
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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 ...
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3 votes
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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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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 ...
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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-...
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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 $\...
Econ's user avatar
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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 ...
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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 ...
Pythonnoob's user avatar
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1 answer
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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 ...
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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 ...
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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, ...
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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 ...
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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
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2 votes
1 answer
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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
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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 ...
Claudia_ECON's user avatar
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 ...
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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 & ...
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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
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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 ...
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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 ...
Student in need's user avatar
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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
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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%, ...
ProGeologist's user avatar
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 ...
angelavtc's user avatar
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 "...
aeiz's user avatar
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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 ...
robson shimada's user avatar
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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 ...
Santiago Valdivieso's user avatar
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 ...
Richard Hardy's user avatar
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?
Ezekiel's user avatar
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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 ...
hmmmm's user avatar
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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 ...
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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 ...
Tatanik501's user avatar
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. ...
Ishan Kashyap Hazarika's user avatar
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. $\textbf{Definition of Trend Followers (TFs):}$ ...
Oliver Queen's user avatar
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 ...
Coco Garazzo's user avatar
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... ...
salve_regina's user avatar
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 ...
metrics.queen1's user avatar
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 ...
oolveea's user avatar
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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 ...
shazz's user avatar
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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 ...
NC520's user avatar
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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 ...
Ilango G M's user avatar
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 ...
T123's user avatar
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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 ...
Forgot the Jacobian's user avatar
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 ...
Aaron Aiden's user avatar
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' ...
Internet person's user avatar
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 $\mu$ ...
user3072048's user avatar
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,...
Nacho's user avatar
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-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 ...
randomname's user avatar
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 ...
hmmmm's user avatar
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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 ...
Galactus's user avatar
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 ...
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