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
223
questions
0
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0answers
3 views
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 ...
0
votes
1answer
33 views
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 ...
3
votes
1answer
28 views
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 ...
1
vote
1answer
23 views
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. ...
1
vote
0answers
11 views
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 ...
5
votes
1answer
84 views
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 ...
0
votes
1answer
22 views
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
...
0
votes
1answer
54 views
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), ...
3
votes
1answer
41 views
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 ($i_t$) ...
1
vote
2answers
49 views
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 ...
3
votes
1answer
45 views
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 $...
1
vote
1answer
92 views
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 ...
3
votes
2answers
71 views
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 ...
2
votes
2answers
58 views
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?
0
votes
1answer
25 views
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-...
0
votes
0answers
34 views
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 ...
2
votes
1answer
681 views
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 ...
4
votes
2answers
664 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 ...
1
vote
0answers
10 views
Can I test Granger causality in cyclical components?
I want to test Granger causality test in cyclical components of GDP and private credit, obtained with Christiano-Fitzgerald filter in annual growth rates of quarterly data. The main purpose is to find ...
3
votes
1answer
472 views
What are the main differences among xtreg, areg, reghdfe?
Normally, when I run regressions for panel data in Stata using these three commands (xtreg,areg, ...
1
vote
0answers
16 views
Question on the choice of boundary in the CUSUM test when we make some resampling
Question on the choice of boundary in the CUSUM test when we make some resampling
We are considering to make a CUSUM test for some economical time series $𝑋=(𝑥_1,..,x_n)$. Suppose 𝑋 contains many ...
1
vote
2answers
52 views
Examples of the use of Vector Autoregressive Models
I am self-learning Vector Autoregressive Models currently, and have practiced on a few datasets. But I wanted to read some actual research papers that use VAR, so that I get an idea of the level of ...
1
vote
0answers
19 views
What is the most important factor in sample selection for time series models?
Is there some convention in sample selection for time series analysis? And what is the most important factor in this regard?
I mean, I have seen Kónya, I. (2018) use annual data from 1995–2016 to ...
2
votes
2answers
63 views
Difference-inDifference model with Discontinued Treatment
I have a situation where I observe two groups A and B for three years. Group A never received any treatment. Whereas group B received treatment in year 2 only. I can estimate the impact of the ...
3
votes
1answer
66 views
Annual Data and Heteroscedasticity (Engle's ARCH test)
GARCH models are often applied to financial time series (daily, weekly or monthly stock returns). What about lower frequency such as quarterly and annual time series? This could include macroeconomic ...
8
votes
3answers
1k views
Citing non-economics studies in an economics research paper
I am currently working on a paper in economics that has some dimensions that discuss women's social value. As is the case in developing countries a lot of economic studies do not exist whereas there ...
7
votes
1answer
121 views
Replicate Blundell and Bond (2000) results using R
I want to replicate Blundell and Bond (2000) Table III in R. I'm using the function pgmm from package plm, which (apparently) ...
1
vote
0answers
54 views
Percent change vs difference in logs: Which to prefer when forcasting non-stationary series with rare large excursions?
One of the most common ways to convert a non-stationary time series into a stationary one is to take the difference in logs. This is approximately equal to the percentage change for small changes, and ...
2
votes
0answers
30 views
Do you know how to compute the IRF of a GARCH (1,1)
We have the following model (GARCH (1,1) )
$y_t=\sigma_t\epsilon_t$
$\sigma_t^2 = \omega + \beta*\sigma_{t-1}^2 + \gamma*y_{t-1}^2$
Note that we can rewrite the latter as:
$\sigma_t^2=\frac{\omega}{1-\...
2
votes
1answer
42 views
Econometric analysis of mergers from a company's point of view
I am learning about financial analysis of mergers and acquisitions: most of the models are based on accounting principles and simple assumptions.
I wanted to delve deeper into more statistical/ ...
0
votes
1answer
23 views
What's the minimum number of datapoints in order to run a diff-in-diff?
I was thinking about running a diff-in-diff with fixed effect in order to deal with a panel data experiment. The problem is that I don't know how many datapoints I need in order to the experiment be ...
0
votes
1answer
35 views
Creating a pragmatic, useable (not theory heavy) proxy for a currency basket for a set of economies
This is currently, a gedanken experiment, but may well form the basis of a whitepaper - or better still, an actual project.
I am trying to come up with a practical way of creating a "currency ...
2
votes
1answer
52 views
Interacting covariates with the instrument in the first stage
If I want to run a 2 stage least squares (2SLS) regression with:
Relationship of interest: $Y = \alpha + \beta X + \varepsilon $, where $X$ is the endogenous explanatory variable of interest.
If I ...
3
votes
1answer
68 views
Do I have to bootstrap the dummy variables used for event dates in an event study?
I am doing a project where i am trying to estimate the effect of the inclusion of a stock in an ETF on its returns, meaning that i am trying to see how the inclusion of a stock in a given ETF affects ...
0
votes
0answers
30 views
Behavioral responses of tax policy on labour supply ( first time doing Difference in Differences)
I am trying to estimate the causal effects of the The Working Income Tax Benefit (WITB) on the labour supply of married women in Canada. The WITB is essentially equivalent to the EITC.
I am looking at ...
0
votes
1answer
48 views
Structural shocks in economic models are unobservable and country-specific?
Let's consider an exogenous oil price shock ($e_t$) as an example in the following equation $oil_t = \rho \; oil_{t-1} + e_t$, where $oil_t$ is one variable in a VAR system. We normally want to ...
4
votes
1answer
61 views
Choice between dummy variables and Likert scale in Linear Regression
I want to run a linear regression based on the data gathered using a questionnaire. Several of the questions have the following form:
How much do you spend on xyz in a month?
a. Less than \$50
b. \$50 ...
1
vote
1answer
42 views
Making sure the p-values of my OLS estimates are correct
I have learned the basics of the Classical Linear Regression Model and also various diagnostic tests to check if the assumptions of the CLRM are met, such as homoskedadticity, absence of near perfect ...
0
votes
1answer
38 views
Help interpreting standard deviation
I am looking at the 1979 cohort of the National Longitudinal Survey of Youth from the BLS. See here : https://www.bls.gov/nls/nlsy79.htm
I am just having some trouble interpreting the values for ...
3
votes
1answer
49 views
Why N>T is required on system GMM estimations?
My question is why N>T is required when working with dynamic panel estimations based on system GMM, such as xtdpdsys at stata. Is that based on the potential lost of information due to orthogonal ...
1
vote
1answer
64 views
Cointegration in stock market between different market places
Hi guys im interested in cointegration in stock market between Brazil, USA, London, China, India, Argentina and Hong Kong.
Since I want to compare each country’s index to the BR index, how do i do to ...
1
vote
1answer
265 views
Annual data VS Monthly data VS Quarterly data for a VAR model
I have read blogs posts that say one should use monthly, quarterly or annual data depending on whether you want to predict monthly, quarterly or annual outcome respectively.
So I guess the same ...
2
votes
1answer
25 views
How can I compare degree of stability (or persistency) in two dynamic systems/models?
Let's say I have two dynamic VAR models for two countries. What is the best way to compare persistency or degree of stability in the two models. Use eigenvalues of the two systems?
1
vote
0answers
13 views
Is unobserved heterogenity in mixed logit models variable specific?
I have a mixed logit model with travel cost, travel time, and mode constants. If I only randomize travel cost and keep fixed coefficients for travel time and mode constants, will the model capture ...
0
votes
0answers
35 views
Practical guide to Structural Equation Modeling
I am currently self-learning Structural Equation Modeling. I have studied some theory and also a bit about the software implementation, but not enough to practically conduct an SEM study.
I wanted to ...
4
votes
1answer
37 views
Many or few variables when testing for Granger causality?
I am reading Levendis "Time Series Econometrics: Learning Through Replication" (2018) and there are two statements about Granger causality that kinda confuses me. The statements themselves ...
3
votes
2answers
57 views
Applying ensemble modelling to VAR models
It is ok to apply ensemble modeling to VAR models? I mean, using several specifications of the VAR model instead of just one specification. So, for example, if you want to check that $x_{t-1},...,x_{t-...
0
votes
0answers
10 views
Diff-in-Diff framework where treatment time is not fixed and multiple treatment group with sub level of treatment
The study is analyze a data for 30 yrs time period with two treatment group denoted T_1 & T_2 and a control group. Treatment ...
1
vote
1answer
47 views
Should one remove trend from time series before testing for cointegration?
Should one remove trend from time-series before testing for cointegration? I guess no, but I couldn't find any answers yet.
Also is it necessary to remove trend before estimating a VAR model if the ...
2
votes
0answers
53 views
t test and F test are equivalent under single restriction case
In Classic linear regression model, under the single restriction
$$y=X\beta +u$$
$$H_0: \beta_j=0$$
If I apply t test, then the t statistic is derived as follows
$$\frac{b_j-\beta_j}{s\sqrt{a_{jj}}}$$
...