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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4 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-\...
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1answer
27 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/ ...
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Can one do post identification in SVAR models?

Let say you have price and quantity data ($P, Q$) and you want to examine how Q responds to a shock to P. If you are certain Q is either demand or supply, you can impose some sign restrictions. But if ...
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1answer
16 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 ...
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1answer
18 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 ...
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1answer
47 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 ...
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1answer
24 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 ...
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29 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 ...
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1answer
34 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 ...
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1answer
35 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 ...
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1answer
41 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 ...
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1answer
33 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 ...
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1answer
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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 ...
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1answer
50 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 ...
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1answer
45 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 ...
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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?
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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 ...
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30 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 ...
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1answer
34 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 ...
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2answers
48 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-...
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9 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 ...
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1answer
26 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 ...
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52 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 $$\frac{b_j-\beta_j}{s\sqrt{a_{jj}}}$$ ...
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15 views

Is it okay to difference data with different time intervals?

I have a question that is from an old project and that I want to clarify purely for future research. The question is, if you have a time-series that occurs at intermittent intervals, say once ever 4, ...
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19 views

Triple Difference model using Repeated cross-sectional data

I have a repeated cross-sectional data from the Demographic and Health Surveys. And I want to run a triple difference model, along the lines of Yelowitz (1995). My identification strategy is such that ...
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1answer
50 views

Show that conditional variance of error in linear probability model is heteroskedastic?

I have a problem that asks me the following: " Consider the linear probability model, in which we specify the regression equation to be linear in X, E(Y |X = x) = Pr(Y = 1|X = x) = x'β We can ...
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1answer
47 views

Rule of thumb for confidence level

Typically in statistical software, the default confidence level is 95%. The higher the better, I suppose. But this is still not a rule of thumb, right? In Stock and Watson's paper (https://www.aeaweb....
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1answer
30 views

Substitute a continuos variable with a categorical one in Linear regression

I am pretty new to econometrics, and I am thinking about substituting a continuous variable (say assets for a company) with a categorical one containing a number based on which quintile the continuos ...
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1answer
33 views

Which econometric test applied here?

I have been reading an article about the Phillips Curve. But I got stuck in a part of econometric analysis. I am not good at econometric. Therefore I need help here. In this link you can read the ...
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1answer
39 views

How were unit labor costs estimated by Gali and Gertler (1999)?

I am trying to estimate a NKPC like the one Gali & Gerter, 1999 and Gali &Gerter, 2001 estimated. I am having trouble with understangind how they calculated the marginal cost, i.e., which time ...
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1answer
37 views

Impact evaluation of a policy when different individuals adopt the policy at different times

Let there be a policy $T$ which can either be implemented or not implemented by an organisation. Suppose there are $n$ organisations and the outcome variable $Y$. The policy is not centrally imposed- ...
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2answers
70 views

What does it mean if the controls in my IV model are correlated with my instrument?

I am seeking to understand what it means for my 2SLS IV model if my controls are correlated with my instrument (such that when I add additional controls to my model that are positively correlated with ...
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12 views

Random Effects Model with Only Time-variant Independent variable

I'm trying to estimate a panel with random effects where the dependent variable depends on time and id; and the independent variable depends only on id. However, the results that I'm getting are ...
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2answers
157 views

Dummy Variables in Panel data

I am building a regression model on some panel data of sales and I am rather new to econometrics. I was thinking of introducing some indipendent variables built as Dummy1*Dummy2 . Is this new ...
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4answers
58 views

How do I test if a given policy was successful?

I have some data for medical R&D and sales, my professor has asked me to check if a policy implemented in 2016 has made any effects on R&D and R&D/Sales data. I tried to plot growth rates ...
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24 views

law of diminishing marginal returns and regression on the factors of production

Does it make any sense to create an equation with Profit ~ Production factor1 + Production factor1 ^ 2 + Production factor2 + Production factor2 ^ 2 to explain how much the increase of 1 in a company'...
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1answer
109 views

How to interpret coefficients in a dynamic OLS model?

I am trying to understand how to interpret the dynamic and static effect from coefficients in regression models. $GDP\_growth\_rate_{t,i} = \beta_1GCF_{t,i} +\beta_2GCF_{t-1,i}+\beta_3GCF_{t-2,i} +\...
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1answer
41 views

A Special Case of Difference-in-Differences

I remember reading a paper where the Difference-in-Differences was a bit special, but I had forgotten the details. My recollection was Two time periods, specifically one time period before treatment ...
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1answer
35 views

How do you utilize event studies in policy research?

I apologize if this isn't exactly the right forum to pose this question. I am trying to use an event study to evaluate the adoption of a specific policy in several different states that happen at ...
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3answers
825 views

Identifying assumption meaning

I am hoping to get a good explanation regarding what is meant by an identifying assumption. In many articles, under empirical strategy, authors state that: we exploit firm level variation to identify ...
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1answer
27 views

markov-switching model and stationarity [closed]

To test the structural breaks and to perform markov-switching model in time series data, should i have stationary data. Thank you in advance.
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27 views

How to choose the autocorrelation type ? MA(q)^2 or AR(1)

I have heteroskedastic and serrialy correlated (autocorrelated) panel data. I want to test it with both dynamic and static models. For the dynamic test, I use GMM and the results of GMM is parallel to ...
6
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1answer
96 views

How to evaluate whether the synthetic control is good enough

I'm using the synthetic control method to evaluate a state-level policy (using synth package in Stata). I've read the seminal ADH papers on CA tobacco & Germany reunification, but I still don't ...
3
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1answer
25 views

Using margins after probit estimation to equal probabilities between almost identical individuals

I'm considering a Probit model for the probability that a student will finish the course based on their hours of study, age, sex, origin, how they passed the previous course and labor market situation ...
2
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0answers
23 views

Non random matrix as instrument: consistency and bias

Where can I find references to see what happens theoretically if I want to use a non random matrix as instrument in terms of consistency and bias?
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2answers
148 views

Why GDP series always has an unit root problem?

In one of the lecture slides of class that I am currently taking our professor mentioned that when it comes to the GDP is it safe to always assume it has unit root and testing for it is just ...
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0answers
15 views

Entropy Balancing or Propensity Score matching in an Experiment (that needed Intention to Treatment instrumental variable IV approach)

I did an experiment with random assignment to two treatment groups and one control group. I had problems to encourage participation in one treatment (treatment 1), so at the end, I had to randomly ...
2
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1answer
35 views

Estimation of point-identified Dynamic Discrete Choice models with moment inequalities

I'm trying to understand and implement in code the method in Bajari, Benkard, Levin (2007). The first stage is clear to me, as well as how to forward-simulate to obtain an estimate of the value ...
3
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1answer
36 views

Acessible sources for Hierarchical Bayes?

I am trying to learn how to build hierarchical bayesian model, I can find some papers online on the topic but I am looking for some textbook or some treatment that is more student friendly than ...
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1answer
22 views

Demand-side effects meaning

I found the term of demand-side effects in the abstract of the following paper: journals-sagepub-com/ DOI/abs/10.1177/0974930619872083 . What does that mean? Can you explain it to me please? I need ...

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