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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Multicollinearity with interaction term and fixed effects

I have the following regression including an interaction term and fixed effects ...
metricshelpr's user avatar
1 vote
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How to find hourly wage when data only provide range?

I am trying to separate observations into two groups, people who earn below (treatment group) and above (control group) the minimum wage to perform a difference-in-differences. The data I'm using have ...
asdf's user avatar
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3 votes
3 answers
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measuring the effect of attending a private school on the return to education

In my research methods course project, I'm investigating the impact of attending a private school during primary and secondary education on future wages, utilizing cross-sectional data. I've ...
baker M's user avatar
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1 answer
40 views

Unit root tests in panel data

I'm currently engaged in a panel data analysis project in R, focusing on multiple economic variables (such as GDP, Gross Fixed Capital Formation, etc.) for EU27 countries spanning the period 1995-2015....
kostas2323's user avatar
1 vote
0 answers
19 views

Calculate consumers WTP for product attributes

I have a large panel on the city level of how many cars of each {model, fueltype} combination were newly registered in each year. This panel also includes a large variety of characteristics for each ...
rösti23's user avatar
1 vote
1 answer
71 views

Diagnostic tests on models using panel data

I am trying to replicate Islam(1995) Convergence model for EU countries. I know that LSDV estimator is biased,however i have applied it in order to compare the results with other methods. My question ...
kostas2323's user avatar
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Suppose that you estimate the above model with the first difference estimation procedure in R. Will your estimator be consistent? Why?

$log(invest_{it})=\theta_t+z_{it}\gamma+\delta_1tax_{it}+\delta_2disaster_{it}+c_i+u_{it}$ is the model. And what about fixed effect and random effect? I went through the book and it gives the ...
Dick Donington's user avatar
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Regression discontinuity design

I have this setting: Where V is the running variable and M=1 if V>0. It is a sharp RDD. D is a set of period dummies and $\tau$ is the calendar year. Coefficients in vector $\beta$ capture the ...
userF's user avatar
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"On the causes and consequences of deviations from rational behaviour"

The title of this post is the title of a paper I am drawing inspiration from for my final year dissertation. If anyone has the time, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3623676, this ...
Han's user avatar
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1 answer
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Conditional Convergence

Lets assume that we have a theoretical model in this specification to test conditional convergence: \begin{equation} \frac{1}{T} \ln\left(\frac{y_{it}}{y_{it-1}}\right) = a - (1 - e^{-\beta T})\ln(y_{...
kostas2323's user avatar
1 vote
2 answers
304 views

Absolute Convergence

I have noticed that some researchers in order to test convergence hypothesis apply a model in this form: $(1/T) \ln(y_{it}/y_{i,t-1}) = b_0 - b_1\ln(y_{i,t-1}) + u_{it} $ (Barro & Sala-I-Martin, ...
kostas2323's user avatar
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Ordered Logit Model: Marginal Effects Signs Opposite

I'm deeply stuck in an issue in my research paper's methodology. I'm getting the following disparate results for my marginal effects. In my Ordered Logit model, I have Y = Trust in banks (4-Max trust,...
Fasih's user avatar
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Assessing stochastic dominance from samples? ...and is Kruskal-Wallis useful?

According to wikipedia and other scattered software documentation Kruskal Wallis tests assess "stochastic dominance". But the original paper doesn't mention "dominance". Nor does ...
JRC's user avatar
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1 answer
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Log of 0 Probelm in Acemoglu et al. 2002b

in Acemoglu et. al. 2002b, which is about European Growth and Atlantic Trade, they do a log transformation of the atlantic trade variable. Since there are many observations where trade is 0, they say ...
Pajul's user avatar
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3 votes
1 answer
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Log Transformation of Zeros (Slave Trade Data)

I am trying to log transform data on slave trade voyages from the Database by David Eltis,The Trans-Atlantic Slave Trade Database. The Problem I am facing: Many values are 0. My first idea was to ...
Pajul's user avatar
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1 vote
0 answers
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Difference between Quantile Regression and Endogenous Stratification

I have a question that stems from an ongoing experiment I'm conducting, focusing on treatment heterogeneity. Initially, my approach involved considering a beyond-mean analysis utilizing quantile ...
Nacho's user avatar
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1 vote
1 answer
20 views

Considering employment when estimating treatment effect on wage RCT

Suppose I run a RCT where the treatment is educating high school students. Outcome variable of interest $y$ is the wage the student will earn after graduating from high school. Suppose there is no non-...
Hosea's user avatar
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2 votes
2 answers
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Solving stochastic difference equation in New Keynesian model (FTPL textbook derivation)

In Cochrane's "Fiscal Theory of the Price Level", I am struggling with the following derivation. Take the first line as given, where $\pi_t$ and $i_t$ are random processes adapted to $\...
Econ's user avatar
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1 vote
2 answers
32 views

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 ...
Susn's user avatar
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0 answers
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Corporate finance thesis on financial constraints and investment

I am currently writing a masters thesis within corporate finance and am seeking help to understand some concepts and theories in regards to some regression results i have obtained through empirical ...
Pythonnoob's user avatar
1 vote
1 answer
40 views

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 ...
Susn's user avatar
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1 vote
1 answer
55 views

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 ...
userF's user avatar
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0 answers
43 views

Relationship between Urbanization and GHG Emissions

I built a model to measure the impact of population, wealth, technology and urbanization on greenhouse gas emissions (as measured by $N_2O$ emissions) in my country, following the STIRPAT framework, ...
Saïd Maanan's user avatar
3 votes
0 answers
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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 ...
Luis Felipe Gaviria's user avatar
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1 answer
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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-...
Bertrand's user avatar
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2 votes
1 answer
57 views

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....
BAL's user avatar
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28 views

How to analyze the effect of a policy change?

I am currently analyzing the impact of a public policy change, specifically one that was introduced in 2018 but later changed in 2020, changed the eligible rules. While I have used DiD and Event-study ...
Claudia_ECON's user avatar
2 votes
2 answers
214 views

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 ...
funcard's user avatar
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0 answers
64 views

How to estimate staggered difference in difference with continuous treatment?

I want to estimate a staggered difference in difference with continuous treatment. The data looks something like this: $$ \begin{array}{ccc} Individual & year & CT_{i,t} \\ \hline 1 & ...
TeTs's user avatar
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1 answer
132 views

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 ...
Oalvinegro's user avatar
2 votes
0 answers
27 views

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 ...
user10478's user avatar
  • 423
5 votes
1 answer
66 views

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 ...
Student in need's user avatar
2 votes
0 answers
46 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 ...
Yashaswi Mohanty's user avatar
2 votes
0 answers
26 views

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%, ...
ProGeologist's user avatar
1 vote
0 answers
29 views

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 ...
angelavtc's user avatar
2 votes
0 answers
31 views

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 "...
aeiz's user avatar
  • 21
1 vote
1 answer
156 views

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 ...
robson shimada's user avatar
4 votes
2 answers
197 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 ...
Richard Hardy's user avatar
1 vote
1 answer
247 views

What is the difference between econometrics and statistics?

Is econometrics just statistics applied to economics or is there also some deeper difference?
Ezekiel's user avatar
  • 507
6 votes
3 answers
208 views

Derivation of index decomposition analysis

I’m currently reading a paper on index decomposition. The paper is here for reference : https://www.sciencedirect.com/science/article/pii/S0140988315001772 The paper is setting out how it has gone ...
hmmmm's user avatar
  • 366
2 votes
0 answers
86 views

How to read/estimate Demand System on data

I have difficulties understanding the concept of Almost Ideal Demand System or, most probably, I have a problem of how to perform microeconomic estimates from data, in general... So my data look like ...
Athaeneus's user avatar
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0 votes
0 answers
81 views

How to show SSR of the residual vector from regression of y on X1 and X2 is equal to SSR of y on X1 and X2

What I mean in the title is that when we regress $y$ on $X_1$ and by using projection matrix $M_{X1}$ how can I proceed with that: the model is $$ y = X_1 \cdot \beta_1 + X_2 \cdot \beta_2 + u $$ or ...
Tatanik501's user avatar
3 votes
1 answer
430 views

How is potential experience usually measured in the Mincer equation?

Wikipedia specifies the Mincer equation like this: $$\ln w = \ln w_0 + \rho s + \beta_1 x + \beta_2 x^2$$ and states that $w$ is wage, $s$ is years of schooling and $x$ is potential experience. ...
Ishan Kashyap Hazarika's user avatar
1 vote
0 answers
49 views

Understanding how to estimate the model of Fung and Hsieh (2001) for the hedge funds risk factors

There is an old paper about the risk of hedge fund strategies that it gathers its focus in the trend followers. This is the Fung and Hsieh (2001) paper. $\textbf{Definition of Trend Followers (TFs):}$ ...
Oliver Queen's user avatar
1 vote
2 answers
56 views

Meaning of a statistically significant constant in a regression and more

I am running a regression the following way on stata: reg death_rate CPI HDI Where death_rate is the mortality rate of COVID-19 in 2021 (measured as a %), HDI is ...
Coco Garazzo's user avatar
1 vote
1 answer
29 views

Heterogeneity of time invariant characteristic in event study model

I am trying to estimate the impact that the onset of a medical disease has on a number of outcomes, call them $O$. To do this, I am using an event study model with individual and time fixed effects... ...
salve_regina's user avatar
1 vote
2 answers
34 views

Why is Stata omitting some of my variables and mfx not working?

I'm trying to do a probit regression with some categorical and continuous variables but Stata keeps omitting certain variables and even claiming that some can't be used to to collinearity problems (I ...
metrics.queen1's user avatar
1 vote
0 answers
26 views

Statistic to best summarize changing price level over an interval?

You are told that in a given week 4 of a given good are sold at a price of 100 and 6 of the ...
oolveea's user avatar
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1 vote
0 answers
71 views

Fixed effect model: different estimation approaches with R - how to demean variables - unbalanced panel

I want to use R to estimate a fixed effects model using different estimation approaches (e.g. replicating xtreg from Stata). Note that I am using an unbalanced panel. The easiest way to do this is ...
shazz's user avatar
  • 11
0 votes
1 answer
30 views

OLS with multiple indicator variables

My dataset contains two numerical variables (n1, n2) and six indicator variables. The first three indicator variables specify ...
NC520's user avatar
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