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
290
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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 ...
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Is the canonical two-way fixed effects model biased if treatment effects are heterogeneous across units?
I am trying to understand the key ideas from the recent diff-in-diff literature and get a mixed understanding from reading this review:
https://arxiv.org/abs/2201.01194
In pages 12-14, the authors ...
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2
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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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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:
$$
\begin{array}{ccc}
Individual & year & CT_{i,t} \\
\hline
1 & ...
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1
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36
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When should I NOT control for unit-fixed effects?
I see most of the applied econometrics papers using the two-way fixed effects model, controlling for time and units fixed effects, so:
$$y_{it}=\alpha_{i}+ \gamma_{t} +\beta x_{it} +\epsilon_{it}$$
I ...
- 169
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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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5
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1
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42
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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 ...
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30
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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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23
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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%, ...
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21
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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 ...
- 13
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21
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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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107
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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 ...
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0
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15
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Gologit vs series of binary logistic regressions
I have a dependent variable with four categories, I am running a gologit regression that has the next formulation:
and I have to explain the resulting coefficients in an intuitive manner (the ...
4
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2
answers
104
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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 ...
- 2,131
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117
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What is the difference between econometrics and statistics?
Is econometrics just statistics applied to economics or is there also some deeper difference?
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193
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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 ...
- 336
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82
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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 ...
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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
$$
or ...
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1
answer
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How is potential experience usually measured in the Mincer equation?
Wikipedia specifies the Mincer equation like this:
$$\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.
...
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14
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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):}$ ...
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2
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43
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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 ...
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1
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1
answer
27
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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...
...
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2
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23
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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 ...
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0
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25
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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 ...
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0
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49
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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 ...
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1
answer
23
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OLS with multiple indicator variables
My dataset contains two numerical variables (n1, n2) and six indicator variables. The first three indicator variables specify ...
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votes
1
answer
18
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Synthetic control method when treatment has an overflow effect on control group
Can I use a synthetic control method in the following settings:
Treatment on one aggregate unit causes some of the individuals in
that aggregate unit to migrate to the control unit
The individuals in ...
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5
votes
0
answers
59
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p-hacking vs. parameter calibration?
I'm currently tasked in my job to design a Prospect Theory (here CPT-)index as mentioned in Barberis, Mukherjee and Wang (2016): "Prospect Theory and Stock Returns: An Empirical Test", see ...
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4
votes
1
answer
48
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Resampling for a Probabilistic Model to Balance Outcomes
I wanted to construct a logit model for determining the probability a recession will be determined for any given month using the usual Macro indicators; however, I noticed that 90% of the months in my ...
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0
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7
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Can I perform magnitude analysis on margins?
I’m trying to find if there’s an asymmetric in my dummy variables. So after creating my regression I am looking at margins with all the variables held constant with the dummy=1,0.5 ( a pseudo result I ...
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conleyreg() for panel data
With panel data, how does conleyreg() correct for spatial correlation and autocorrelation within units over time? More specifically, why do my standard errors change when I specify 'unit' and 'time' ...
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58
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Is autocorrelation and the number of clusters related in an ergodic process
I' ve come across two notions for the condition of (mean-) ergodicity and wonder whether and how they relate.
(1) Let $ {X}_{t \ge 0} $ be a second order stationary process with (constant) mean $\mu$ ...
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40
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Hemi-continuity of demand and supply correspondence
Suppose a scenario in which the production set of each firm is compact and convex. How can we prove that each firm's profit function is continuous and supply correspondence can be proved to be upper ...
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14
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Estimating elasticity between variables using fractional variables
It is well-known that the elasticity of $y$ with respect to $x$ can be obtained as $\beta_1$ from the following regression if the error term is uncorrelated with the independent variable
$$ln(y_i)=\...
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Can I instrument an endogenous variable and its quadratic form with the instrument and its quadratic form?
I have the following problem, where I would like to have an advise or a reference:
I'm estimating a model which usually (in other papers) only includes the explanatory variable in its linear form, but,...
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1
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How to interpret the significance of estimates if it differs between regression models? [duplicate]
I am trying to analyse the impact of experiencing a certain incident on the pro-unification opinion of people. If the incident occurs, they can occur in solely 3 different types: A, B and C. We assume ...
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2
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Comparing incomes across regions within a country
When looking at spatial disparities across regions within a country the standard approach that I have seen is to look at differences in incomes across regions.
However, this doesn’t control for the ...
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1
answer
55
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Difference-in-difference robust to heterogeneous treatment effect - Gendron-Carrier et al. specification
I am trying to extend the results of Gendron-Carrier et al. (2022) article published in the American Economic Journal : Applied Economics which is about the effect of subway opening on pollution.
I ...
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0
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12
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Is there some standard way to diagnose a structural time series model (also called simple unobserved components model)?
I am dealing with a structural time series model (also called simple unobserved components model), and I wonder if there is some standard way to diagnose this sort of models. In most reference books ...
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31
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How to estimate a subclass effect of fixed effect model?
i need help with an econometric question.
I have a panel data of stock analysts and their associated investment returns by following their investment recommendations of buy/hold/sell. The data is at ...
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2
votes
1
answer
73
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Difference in differences with one post and two treatment variables
I want to test the following hypotheses with a difference in differences (DiD) OLS model: 1. The post grant effect on the dependent variable is stronger for patents with at least one rejection than ...
- 123
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0
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29
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On adding fixed effects
Let $Y_{ijst}$ be some outcome variable of firm $i$ of industry $j$, located in state $s$, at time $t$. Normally, if we want to run any differences-in-differences specification where treatment varies ...
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1
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Regression equation to test state variation
I'm an undergraduate student writing up a research proposal for a reserach-based class. I'm testing how LGBTQ discrimination in the labor market might vary in each state in the US (that's my research ...
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54
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When can I assume that a variable is exogenous?
I'm looking for the effect of nutritional coffee breaks on MBA performance, and I found that the change to a healthier catering increased the performance of MBA students. Additionally, I want to see ...
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What does it mean to control for a variable?
Let's say I want to see the effect of having a pool on the price of properties in a city. What does it really mean to control for zipcodes?
And does this answer the crucial question that I want to ...
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78
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Difference between M-estimators and Minimum Distance estimators
I was reading Chapter 22 of Hansen's Econometrics on M-estimators and he lists OLS, Non-linear LS and Maximum Likelihood as examples of M estimators. After a few paragraphs, he also writes "[...] ...
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12
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Labor economics / econometric survey on employee satisfaction surveys
I'm a neophyte to the domain, so I would like to learn from survey-type resources that focus on labor economic / econometric analyses of "employee satisfaction surveys."
Quotations for "...
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Where to find Index Entries on CRSP (WRDS)
I am trying to find index entries (not delisting data) on CRSP (i.e., where a specific stock with a PERMNO/CUSIP enters the S&P500), but despite trawling through the documentation I am unable to ...
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37
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Wald Statistic with heteroskedasticity on asymptotic inference vs exact inference
I was working on the following proof but I got stuck.
I'm trying to show that the next equality holds:
$$(X'X)^{-1}X'\mathbb{E}_n[\varepsilon\varepsilon']X(X'X)^{-1} = \mathbb{E}_n[XX']^{-1}\mathbb{E}...
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47
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Data-driven vs. theory-driven demand system estimation
Context:
When one wants to study consumer demand based on observational data (e.g. household survey data), imposing theoretical restrictions on the coefficients of the demand model seems to be a good ...
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