# 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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### What are the true normalized cointegration vectors in R (ca.jo, cajorls and VECM functions) and how to interpret them?

I'm struggling with understand the difference between (and why there is this difference) the normalized cointegration vectors provided by the ca.jo function and the ...
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### Aggregate Demand and Aggregate Supply

Suppose the economy is at full employment and aggregate demand falls. Show the effects on output and prices in the short-run. Also, show how the Keynesian aggregate supply adjusts over time to bring ...
33 views

### Is there any downside to synthetic control compared to differences-in-differences model?

Synthetic control seems to me to be simply a version of differences-in-differences model, where the assumption of parallel trends is satisfied by construction, since the synthetic control to the ...
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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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### 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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1 vote
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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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### 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-...
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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....
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### 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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1 vote
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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 ...
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### 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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### 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 ...
64 views

### 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 ...
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### 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%, ...
1 vote
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### 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 ...
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### 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 "...
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### 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 ...
225 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 ...
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1 vote