Questions tagged [applied-econometrics]
Use this tag to discuss empirical papers and issues arising when applying theoretical models to data.
172
questions
0
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4answers
52 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 ...
0
votes
0answers
19 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'...
4
votes
1answer
43 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} +\...
1
vote
1answer
33 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 ...
1
vote
1answer
34 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 ...
6
votes
3answers
114 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 ...
0
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1answer
26 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.
0
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0answers
25 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
votes
1answer
70 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
votes
1answer
24 views
Using margins after probit estimation to equal probabilities between almost identical individuals
I'm consideringĀ 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
votes
0answers
22 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?
3
votes
2answers
104 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 ...
0
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0answers
10 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
votes
1answer
32 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 ...
1
vote
1answer
22 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 ...
-1
votes
1answer
21 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 ...
3
votes
1answer
23 views
In a binary-dependent variable model (logic) will the inclusion of a scale introduce endogeneity?
This question is somewhat related to my previous question, see here: https://stats.stackexchange.com/questions/463221/why-when-do-attitudinal-scales-introduce-endogeneity
I wonder why a scale as an ...
0
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0answers
33 views
Empirical Bayes Estimation
I would be greatful if You can give some advise regarding the following problems:
As I reviewed some empirical papers, I learnt that most of them using relatively small number of observations for ...
0
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0answers
10 views
Social-Network Peer Effect Regression Analysis
I have locally transformed model from BramoullƩ 2009 to be estimated for regression estimation $\begin{equation}
( \mathrm{{I}} - {G}_{l}^{*}){y}_{l} = \beta_2( \mathrm{{I}} - {G}_{l}^{*}) {G}_{l}^...
2
votes
0answers
25 views
Recovering information on Prices from Expenditure data
this is more of a "Research Based" Question where the answer may be open ended and really am wondering from all the experts here. Feel free to hammer me on this as I'm not 100% confident, my data work ...
0
votes
2answers
67 views
Dif in Dif on countries, is it necessary to cluster by country?
I have a question regarding Dif-in-Dif (DD) studies. If I want to compare a policy that is implemented differently in three different countries - thus three different treatment groups - using a DD ...
1
vote
1answer
28 views
Estimating a difference-in-differences with multiple time periods: why do margins results change when you simply change the base period?
My understanding of margins results is that they should not be sensitive to the base period chosen for a categorical time variable. However, I find that they are.
...
1
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0answers
12 views
Cagan Model of Hyper Inflation: Zimbabwe Data Request
Cagan Model of Hyperinflation
Could anyone guide me where I could find the data for Zimbabwe that would allow me to estimate the Beta parameters. Also, what regression method would be most suitable (...
0
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0answers
22 views
Applying Econometrics to Monetary Economics
I've been given a problem in which I am told that GDP is a function of the supply of money, prices and demand,
$$Y = (M/P)^\delta$$
Taking logs, $$\log(Y) = \alpha + \beta \log(m - p) +u$$
...
0
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0answers
12 views
If I want to add fixed effects for a difference-in-differences analysis, do I have to do a Hausman test first?
For my diff-in-diff specification, which is looking at whether a certain environmental regulation has an effect on exported goods, I was thinking of adding industry fixed effects to my equation. ...
0
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0answers
39 views
2x2 Factorial Design - Sample Allocation based on Variance Minimization
In the following I will first explain the problem and derive some solutions needed for the actual question. The actual question can be found approx. at the end of this post in bold.
I have a 2x2 ...
2
votes
1answer
39 views
Within-Cluster Correlation
I figured this would be more appropriate on this forum. I came across the following slides after a Google search of cluster-robust uncertainty estimators. On slide 10 the author attempts to ...
0
votes
1answer
58 views
How to determine price per unit and quantity sold of product from financial statement
Situation
I hope I'm asking in the right place. I'm writing a paper on the application of quadratic functions in economics and intend to use the Total Revenue function as well as the Profit function ...
0
votes
0answers
29 views
Forecasting integrated variables in a macroeconomic setting
I am trying to measure the effects of restrictions on immigration to a specific country on both real estate rental indices and real estate property price indices during the next 3 to 5 years. As a ...
3
votes
0answers
33 views
comparison of micro production functions
There are many different production function estimation methods, relevant for micro and firm data. For example Olley-Pakes, Levinsohn-Petrin, Ackerberg et al., Wooldridge etc.
But does anyone know of ...
1
vote
1answer
43 views
Identification strategy for measuring impact of employee turnover on project quality
I am seeking help with identification strategy for figuring out causal direction in the following context:
There is a company where project managers (PM) rotate every 3-7 years across the country/...
1
vote
3answers
54 views
What is the optimal forecast for the following moving average model?
Suppose that we have an MA(1) model where $y_t=\epsilon_t-\frac 1 2 \epsilon_{t-1}$ and $\epsilon_t$ are i.i.d.
I want to find an optimal forecast of $y_{T+1}$ in the form of $Cy_T$ where C is a ...
2
votes
1answer
275 views
How does one deal with trending variables in Linear Regression?
I have a linear regression model with two independent variables that takes the form:
$$y_{it} = \beta_{0} + \beta_{1}x_{it} + \beta_{2}z_{it} + u_{it}$$
where $u_{it}$ is the error structure.
I want ...
0
votes
0answers
30 views
Cointegration but no Granger causality
Suppose I have two variables - $y_t$ and $x_t$ - which are cointegrated. I believe that (i) $y_t$ responds to deviations from the long-run equilibrium, (ii) the long-run elasticity of $y_t$ with ...
0
votes
1answer
18 views
Annual Fraud Recovery Over Time: Should I adjust for inflation?
I have a dataset of the total amount the U.S. Department of Justice obtained annually in settlements/judgments of government fraud cases from fiscal years 1988-2019. There's a lot of variation, but ...
0
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0answers
11 views
Where to find a list of U.S. policy changes for causal studies?
I'm currently trying to figure how the topic of my paper, which is supposed to be related to policy evaluation (causal inference). I thought it would be great if I could first obtain a list of recent ...
0
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1answer
65 views
Questions about the future of macroeconomic modeling and the role of simultaneous equation systems
I started to study about macroeconomic modeling and I am interested in the following questions. I understand that there are no definite answers to these questions. But I am interested in the opinion ...
1
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2answers
28 views
Can you take the moving average of quarterly data of an explanatory variable in a regression to smoothen noise and get more accurate coefficients?
I'm trying to use acceleration of quarterly data on household debt (the difference in the difference in debt) in a regression on unemployment (only concerned with correlation) but quarterly data is ...
1
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0answers
8 views
Evaluating the impact of US federal grants
There are a number of challenges with evaluating the impact/effectiveness of federal grants in the U.S.
In particular, it's easy to obtain a (somewhat comprehensive) record of transactions between ...
0
votes
1answer
37 views
Why are the same set of controls used for both OLS and 2SLS?
I have been reading several papers that use 2SLS. These papers usually also show the OLS regression results. I noticed that when authors report results for 2SLS, they also include control variables ...
0
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0answers
21 views
A question about independence of LATE framework (IV)
I came across the assumption of independence of the LATE in 2SLS:
My first reaction is, why D1i and D0i are independent of the instrument Zi? Shouldn't the treatment and IV be correlated for the IV ...
1
vote
1answer
31 views
Negative correlation conditional variance and return
I've estimated a GARCH for S&P 500, Nikkei and DAX index.
The model for the return of S&P 500, the results indicate the return of DAX has an negative effect on the S&P 500 conditional ...
0
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0answers
8 views
Is there a specific test for this procedure? (NKPC and coefficient stability)
I'm running a GMM regression in order to estimate a New Keynesian Phillips Curve, with forecasting purpose, and i want to know if there is a testing procedure for the following problem:
(i) First i ...
0
votes
1answer
107 views
Econometrics: why the i.i.d assumption and weak exogeneity assumption imply strict exogeneity?
The proposition is from lecture notes of advanced econometrics of Yongmiao Hong:
A1: $\{Y_t,X_t'\}_{t=1}^n$ is an i.i.d. random sample.
A2: $E(\varepsilon_t|X_t)=0$ almost surely with $E(\...
0
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0answers
165 views
Interpretation of coefficients in ECM for consumption
Say that we are regressing consumption $C_t$ on time $Y_t$. Furthermore, suppose that both series are $I(1)$ and are co-integrated.
Given this, we set up the error correction model (ECM) as follows: $...
7
votes
1answer
205 views
Is there empirical evidence on usability of Cobb-Douglas production function?
I am trying to estimate a simple Cobb-Douglas production function $Y=AL^{\alpha}K^{\beta}$
on US data and get an unrealistic estimate of $\alpha$ and a high p-value for $\beta$.
Structure of ...
0
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0answers
26 views
How to run Panel data analysis when data on the dependent variable is on a 5 year interval basis and that on independent variable is on yearly basis?
I am reading a paper which empirically tests if primary exports affect education attainment in LAC countries over the period 1965 to 2010. It uses percentage of secondary school enrollment as ...
0
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0answers
27 views
What are the statistical tests I need to perform before I regress GDP on multiple variables?
I'm using data over 10 countries for the period 1975 to 2010. My objective is to check if the chosen regressors have significant effect on GDP.
I have very basic knowledge of econometrics which I ...
0
votes
2answers
39 views
what can be the proxy variable for measure of product innovation?
My objective is to prove that international trade leads human capital formation which leads to economic growth. I am regressing GDP on multiple variables among which Human capital is one. According to ...
2
votes
1answer
64 views
The Household Production Function
I was wondering whether someone can explain the household production function (HPF). Specifically, the variant presented in Patanayak et al (2005). The paper uses the HPF to determine household ...
