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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On adding fixed effects

Let $Y_{ijst}$ be some outcome variable of firm $i$ of industry $j$, located in state $s$, at time $t$. Normally, if we want to run any differences-in-differences specification where treatment varies ...
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Regression equation to test state variation

I'm an undergraduate student writing up a research proposal for a reserach-based class. I'm testing how LGBTQ discrimination in the labor market might vary in each state in the US (that's my research ...
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When can I assume that a variable is exogenous?

I'm looking for the effect of nutritional coffee breaks on MBA performance, and I found that the change to a healthier catering increased the performance of MBA students. Additionally, I want to see ...
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What does it mean to control for a variable?

Let's say I want to see the effect of having a pool on the price of properties in a city. What does it really mean to control for zipcodes? And does this answer the crucial question that I want to ...
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Difference between M-estimators and Minimum Distance estimators

I was reading Chapter 22 of Hansen's Econometrics on M-estimators and he lists OLS, Non-linear LS and Maximum Likelihood as examples of M estimators. After a few paragraphs, he also writes "[...] ...
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Labor economics / econometric survey on employee satisfaction surveys

I'm a neophyte to the domain, so I would like to learn from survey-type resources that focus on labor economic / econometric analyses of "employee satisfaction surveys." Quotations for "...
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Where to find Index Entries on CRSP (WRDS)

I am trying to find index entries (not delisting data) on CRSP (i.e., where a specific stock with a PERMNO/CUSIP enters the S&P500), but despite trawling through the documentation I am unable to ...
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Wald Statistic with heteroskedasticity on asymptotic inference vs exact inference

I was working on the following proof but I got stuck. I'm trying to show that the next equality holds: $$(X'X)^{-1}X'\mathbb{E}_n[\varepsilon\varepsilon']X(X'X)^{-1} = \mathbb{E}_n[XX']^{-1}\mathbb{E}...
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Data-driven vs. theory-driven demand system estimation

Context: When one wants to study consumer demand based on observational data (e.g. household survey data), imposing theoretical restrictions on the coefficients of the demand model seems to be a good ...
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Pooled OLS, fixed effects and random effects yield very similar results

I have used pooled OLS, fixed effects and random effects to estimate a model and the results are as expected. I expected coefficients to differ quite significantly for the different techniques and ...
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Why did Heckman sample selection models fall out of fashion?

Nowadays most people run wage regressions conditional on being employed rather than using Heckman selection models. So what are its drawbacks and why did this approach fall out of fashion?
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Instrumental Variables - Exogeneity Tests using region characteristics

I am using IV methods to establish the causality, I want to run some exogeniety tests. I have been going over Woolridge (Econometric Analysis of Cross Section and Panel Data, 2010) and I am not ...
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Non-linear model like GMM for panel data with an interaction term

For my dissertation I am looking at regressing net capital outflows against financial openness and GDP per capita like in Reinhardt, Ricci and Tressel (2013). To deal with potential endogeneity in ...
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Cross validation as a means of validating fixed effects?

To test whether it is appropriate to even use certain types of fixed effects, would it ever be appropriate to use a cross-validation methodology? Let's say that I have this type of mental model: $$\...
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How much do second-hand good purchases affect first-hand demand?

For the purpose of this question, I'm only interested in relatively cheap goods (clothing, appliances, furniture, phones), not extremely substantial purchases like cars or houses. Proceeding from ...
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How to deal with multiplicatively constant and additively constant fixed effects?

From Nick Huntington-Klein, The Effect: Fixed effects is a method of controlling for all variables, whether they’re observed or not, as long as they stay constant within some larger category. How can ...
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What type of data we use to predict volatility of an asset with GARCH or ARCH models?

When we are trying to feed time-series data to a GARCH or ARCH model, what kind of data should we give the model? A: Absolute difference between daily prices over-time B: % of the difference between ...
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Clarifying the fixed effects being used in the DDD in a specific case?

I am following Borusyak, 2021 in examining triple difference. In a normal regression, he controls for unit and time fixed effect fe ( i t) where i and t are firms and years respectively. Therefore, ...
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Location changes in panel data

I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
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What are the defining characteristics of applied microeconomics papers?

I'm in bit of a fix. I'm trying to define my research interests and am confused whether or not to include applied microeconomics as one area. The way I see it is applied microeconomics is more of an ...
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What are the most used econometric methods in economics?

As the title says, I would like to know what methods are most often used in empirical economics. For example, are IVs used more than DiD? I would prefer to see some survey of different methods that ...
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Recent Research Topics in Macroeconomics (Hopefully Growth Theory)

Im in my last year as undergraduate and i have the opportunity to make a tesis, i have strong foundations in econometrics and macroeconomics but I don't know what the latest research on macroeconomics ...
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How to combine labor market time series when there is a methodological change that creates a break?

Any suggestions on how to combine time series of labor market variables (such as, for example, labor force participation) when there is a methodological change in the way the variable is calculated by ...
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5 votes
1 answer
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Why does synthetic control not suffer from backdoor confounders?

From Scott Cunningham in Mixtape, on propensity score matching: propensity score matching has not seen as wide adoption among economists as in other non-experimental methods like regression ...
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Several questions on Simultaneous Equation Models

Question 1: Suppose I want to estimate the model $$ Y = \alpha_0 + \alpha_1 X_2 + \alpha_2 S + e $$ $$ S = \beta_1 X_1 + \beta_2 X_2 + e_s $$ where the $Y, S, X_2$ are endogenous. However, from what I ...
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From conceptual framework to econometric estimation

When I run the following regression, I find that $\beta>0$ $$ y_i=\beta D_i+\varepsilon_i$$ To explain the finding, I wrote down a conceptual framework and I obtained the following prediction $$\...
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Clustering Standard Errors for Panel Data with multiple clusters

I have a Group-Firm-Year panel data set (i.e., multiple firms make up a group). Suppose I have exogenous variation at the group level over time. In a panel regression with firm and time fixed effects ...
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Where can I find a scientific article that includes cross-sectional data and a multivariate linear regression model?

I need to write a smaller scientific article that consists of the following steps: Find a public database for cross-sectional data (eg data for counties in the same year) Find a scientific article ...
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Taylor rule estimation with OLS serial autocorrelation

I'm estimating the equation: $$i_{t}=\beta_0+\beta_1\tilde\pi_t+\beta_2\tilde y_t+\varepsilon_t$$ Where $\hat\pi_t=\pi_t-\pi^{target}$ and $\hat y=\ln y_t-\ln y^{\ast}$, are the inflation deviations ...
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Is there any good summary, lecture notes, textbook or videos that give overview of firm-level productivity models?

As the title says, I am looking for some tutorials/educational materials for firm-level productivity models. I am looking for some source that would cover the most commonly used models. Also, it is a ...
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2 answers
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Dynamic panel textbook

which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced. Thanks :)
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How to estimate the impact of college lockdown on students performance?

Some researchers have answered the question in their papers, but I was wondering how one would proceed to estimate the impact of college lockdown on undergrad 1st year students performance, if we ...
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STATA date conversion for calculation

I have two data sets, where in data set 2 the date is in following form "Friday, 10th January 2019". In data set 1 the date is given in the form "10 Aug 2019". I want to append ...
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1 answer
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Why there is only one value of confidence interval?

As we know, we can calculate the confidence interval relating to standard errors and coefficients by that to get the high CIs and low CIs at 95% confidence interval Confident interval +/- standard ...
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3 votes
1 answer
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How does counterfactual for continuous variables work?

It is clear to me what counterfactual is and how it works for binary variables. However, I'm confused about how it works for continuous variables. For example, we are trying to estimate the effect of ...
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1 answer
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Filling gap in data with correlated series

I have two time series, of different length. A time series is GDP growth. The gdp growth is the series I need, and it is also the longer series, but it has two gaps in two periods one after the other. ...
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How to combine two different populations from two different surveys?

I have 2 surveys, each is representative of different populations living in the same country: Survey 1 – Survey of Peruvians living in Peru Survey 2- Survey of Venezuelans living in Peru. Each survey ...
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5 votes
1 answer
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Variance Decomposition of Wage Equation

I am reading two recent papers studying between-firm and within-firm wage inequality, Barth et al 2016 (hereafter BBDF) and Song et al 2019 (hereafter SPGBV). I am confused by the different variance ...
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Why joint null test have less power when there are more coefficients involve?

From a description of DiD method of Borusyak,2020 , I saw that pretrends(integer): if some value k>0 is specified, the command will performs a test for parallel trends, by a separate regression on ...
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1 answer
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Are there any papers which used the event study methodology NOT in a financial market context?

I was advised to implement an event study in the context of air pollution levels after an event had happened. Now my problem is, that I can not really find any introductory literature (or papers), ...
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3 votes
1 answer
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Is there an empirical model for studying contemporaneous feedback relationships?

In a DSGE model, monetary policy shock (Taylor rule style) increases interest rate. So output and inflation falls, which feedback contemporaneously to the interest rate. Thus, interest rate ($i_t$) ...
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1 vote
2 answers
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Where we call GDP aggregate demand or aggregate supply in VAR models is our choice?

In the attached picture below, shocks associated with GDP are demand shocks and shocks associated with inflation are supply shocks. Here, shocks associated with GDP are rather supply shocks, and ...
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3 votes
1 answer
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Including an endogenous covariate in a regression model as a control to estimate the effect of another variable of interest

I am interested in the effect of an independent variable $x$ on a dependent variable $y$, like so $$ y = \beta_0 + \beta_1 x + e $$ where $e$ is the error term. Now $x$ includes two effects $z_1$ and $...
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1 vote
1 answer
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Finding consistent but inefficient GMM estimate

Consider the following linear model $$y_t = x_t' \beta +u_t$$ where $t =1,...,T$ and $x_t = (x_{1t} x_{2t} ... x_{kt})'$ , $ \beta$ is $k \times 1$ vector of unknown coefficients, $u_t$ is an iid ...
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In VAR models, do variations in the variables come solely from shocks?

In DSGE models, if you shut all shocks to zero, then the variables have zero variations. Thus, they just equal their steady-state values for all periods. So the series for all variables are just flat ...
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2 votes
2 answers
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Which software can be used to estimate a non-recursive SVAR?

Which software can be used to estimate a non-recursive SVAR? Not sure though if this question belongs here but I found nothing so far on google. Or researchers using them do it manually?
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1 answer
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Is there any special reason to use the character "k" standing for the "early"?

From the paper of Bacon,2018, p.5, I saw a paragraph as below The simplest way to illustrate how treatment timing works is to consider a balanced panel dataset with 𝑇 periods (𝑡) and 𝑁 cross-...
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An ambiguous description in Dasgupta, 2019 regarding the coefficients and choosing baseline specification

Regarding the result table of Dasgupta, 2019, table 3, p.2601, where they examine the impact of anticollusion on asset growth However, they describe that The dependent variable is the annual asset ...
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2 votes
1 answer
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Why the larger the sample, the lower standard deviation?

I concern about why country-level variables normally have higher standard deviation compared to that in firm-level variables. Today, my senior friend told me that it seems to be because the firm-level ...
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4 votes
2 answers
686 views

Why we need at least 40 groups to be properly clustered?

From this discussion, I deem that we need approximately 40 groups for clustering. For example, if we want to clustered by industry, we need at least 40 industries, or if we want to cluster by year, we ...
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