Questions tagged [applied-econometrics]
Use this tag to discuss empirical papers and issues arising when applying theoretical models to data.
148
questions
0
votes
1answer
15 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
votes
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
votes
1answer
52 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
vote
2answers
24 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
vote
0answers
7 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
34 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
votes
0answers
20 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
26 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
votes
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
75 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
votes
0answers
38 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: $...
6
votes
1answer
129 views
Is there empirical evidence on usability of Cobb-Douglas production function?
This is my first question at Stack Exchange. I am trying to estimate simple Cobb-Douglas production function $Y=AL^{\alpha}K^{\beta}$
on US data and receive an unrealistic estimate of $\alpha$ and a ...
0
votes
0answers
21 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
votes
0answers
17 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
31 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
42 views
The Household Production Function
I was wondering whether someone can explain the household production function. Specifically, the variant presented in Patanayak et al 2005. The paper uses the HPF to determine household willingness to ...
0
votes
0answers
19 views
Performing good forecasts for the GDP
What forecasting models would you recommend to forecast the GDP?
Through a quick research I have found that VEC, VAR, SVAR models are the most common. Are they though good forecasters? Or are they ...
6
votes
2answers
307 views
Cobb-Douglas production function with expenditures rather than units
I want to estimate a standard Cobb-Douglas production function of the form
$ Y=AK^{\alpha}L^{\beta}$. However, I only have data on labour expenditures, not units of labour. I don't have data on the ...
0
votes
0answers
15 views
treatment of non-consecutive periods in panel and ʀ SFA
ɪ am estimating a Stochastic Frontier Analysis (SFA estimated by MʟE) model for a panel of seven periods. ɪ want to know if ɪ can use all the periods in the estimation procedure and how are they ...
2
votes
1answer
30 views
Is measurement error in self-reported health a problem in this scenario…?
I am running regressions to estimate the impact of health conditions on life satisfaction.
I have read a paper that showed that there is likely to be measurement error in the self-reported health ...
1
vote
1answer
58 views
What is the interpration of results if adding or subtracting a control variable effects the significance of explanotary variables?
I am conducting some regressions on economic growth determinants and I am disillusioned. Essentially by choosing what groups of variable to regress I can get the desired significance. What does this ...
2
votes
0answers
30 views
Regression analysis with interaction and decomposed main effect
I'm trying to figure out if I need to include the main effect in a regression analysis with an interaction if I am already including a decomposed version of the main effect.
For example, let:
...
1
vote
1answer
38 views
Building a time-series demand forecasting model
I am forecasting demand for certain types of goods and services, which I expect to be correlated to a sub-set of a basket of macroeconomic indicators (considering 15-20 indicators)
I do not know ...
2
votes
0answers
39 views
Estimating CES utility (not production) function parameters
The CES utility function has the form
\begin{equation}
u(x_1,\dots,x_n)=\left[\sum_{i=1}^n\alpha_ix_i^\rho\right]^{1/\rho},
\end{equation}
where $\alpha_i$ is the consumption share parameter and $\...
0
votes
1answer
40 views
is there a difference between E[e|x]=0 and E[e|d=1]-E[e|d=0] in continuous vs discrete case in regressions?
in the discrete case, if assignemt is random, then i can express E[y|d=1]-E[y|d=0] = B + E[e|d=1]-E[e|d=0], where the expectation of the errors are the same for both groups and become zero. Where I am ...
0
votes
0answers
30 views
Should I include lags in an LLC unit root test?
I have panel data (N = 10, T = 20), which I intend to run a series of regressions on. I first want to see if my data are stationary in levels or in differences. To do this, I have been performing ...
1
vote
1answer
36 views
How to predict income n years after graduation using income dataset with age, but not graduation year?
I'm trying to predict the income of graduates of certain Master's programs n years after graduation, using the American Community Survey individual level dataset to calibrate my equation. It gives me ...
0
votes
2answers
80 views
Why hasn't the huge increase in supply provided by Airbnb decreased prices?
Simple supply and demand economics would suggest that the huge increase in the supply of rooms to rent by Airbnb should have reduced the price of rental significantly in those cities where Airbnb is ...
0
votes
0answers
15 views
Engel’s Coefficient Data
Does anyone know of any good data sources where we can find Engel’s Coefficients by nation?
0
votes
0answers
25 views
Econometrics: Is it feasible to use the “effect of the treatment” estimations from a diff-in-diff as dependent variable?
Basically I have many treated units and I would like to estimate (by applying the Diff-in-Diff methodology) the effect of the treatment.
In my particular case it's very likely to observe certain ...
0
votes
0answers
31 views
Vector Autoregressions
Suppose running a VAR system featuring the central bank interest rate, inflation and GDP.
Start by estimating each equation by OLS. How should you interpret the OLS residuals to these equations?
My ...
0
votes
0answers
21 views
Mankiw, Romer & Weil: Estimating Implied Alpha & Beta
I am replicating Mankiw, Romer & Weil (1992) with data from 1995 through 2015, and I wondering how they estimated the implied alpha and beta.
Thank you,
For those curious, the paper can be found....
3
votes
1answer
678 views
What is a good proxy for government quality?
Is it ok to use corruption as a proxy for government quality?
-1
votes
1answer
50 views
When using OLS is it always necessary to drop the weak and insignificant variable? [closed]
Some of my variable shows weak collinear relationship on my dependent variable.. how should I address this?
0
votes
0answers
24 views
VAR model OLS line by line
I am estimating a VAR model line by line.
Lets say the conditional variances are correlated.
We would expect size distortion. So we would use another method, perhaps a HAC standard error to account ...
0
votes
0answers
31 views
How should I rebase my GDP?
I have a constant GDP data from 1988 to 2009 in constant 1985 prices and GDP data from 2009 to 2017 in constant 2000 prices. My question is how should I rebase my GDP?
Upon searching the web, i don'...
3
votes
1answer
101 views
Synthetic Control Method
I need to study Synthetic Control Method for my term paper. So can anyone suggest some book/literature from where I can study Synthetic Control Method on my own?.
0
votes
2answers
48 views
What is the tolerable level for multicollinearity? and possible remedial measures for it?
My data has issues of multicollinearity. Upon estimating, I found out that my data have high levels of VIF In however I was confused as to what level of VIF can I possibly ignore the issue of ...
0
votes
0answers
11 views
Transformation of cutpoints in Ordinal Probit/Logit regression
The likelihood for an ordinal probit/logit regression model is given as -
$f(y|\beta ,\gamma ,z ) = \prod_{1}^{n} \left [ \Phi (\gamma _{j} - x_{i}'\beta ) - \Phi (\gamma _{j-1} - x_{i}'\beta ) \...
1
vote
1answer
37 views
How do I fill gaps in my data?
In my study, I have 5 independent variables which contains 21 observation each. However one of my independent variables have 3 gaps. What should I do?
e,g
I would need to know the effect of ...
2
votes
0answers
32 views
How to control for population in Difference-in-Difference?
Random example, but let's say I'm examining the effect of a health program on influenza cases in India. They just randomly start the program in 7 of the 29 states. I have data on the number of flu ...
0
votes
0answers
23 views
Error Correction Model with two independent (control) variables [duplicate]
Is it possible to build an Error Correction Model with two independent ( control) variables? I mean with one dependent variable, and two independent variables.
If yes, what are the assumptions/...
0
votes
0answers
35 views
Error Correction Model with more than one independent variables
I was wondering if it is possible to set up an Error Correction Model with two independent variables (one dep var, and two indep vars)?
If yes, what are assumptions/conditions to be met?
In the ...
2
votes
0answers
60 views
Difference-in-differences with long time horizon and repeated treatments
I have a high-frequency panel dataset on the order of $i=150$ and $t=5000$. I am interested in studying the causal impact of a treatment with the following characteristics:
The same unit can be ...
1
vote
0answers
16 views
primary impact on real estate prices/taxes
Are my housing prices/taxes more influenced by the $40M beach house a few miles away from my home or those in the lower-class well beyond my county line?
Assuming a few basics:
there are differing ...
1
vote
1answer
31 views
Exchange rate volatility
Colleagues,
I have started an analysis on spatial econometrics models, and looking for data to compute an exchange rate volatility. My variables to construct the weight matrices are all bilateral ...
1
vote
0answers
16 views
To the following data, what kind of econometric analysis can be conducted/ or what type of relationship can be established? [closed]
I have data for sale in petroleum products across different states in India of both public sector and private sector companies for past 10 years.
No. of years - 2008 to 2018 monthly data for 10 years
...
1
vote
0answers
18 views
How do I measure effects over years in panel data with individuals?
I'm working with a longitudinal panel dataset that surveys the same few thousand individuals biennially and I have six years of this data. My dependent variable would be how much individuals spend on ...
1
vote
0answers
226 views
Coming up with a Research Topic for Undergraduate Paper
I am currently a senior in economics, and I have been pondering ideas for doing a research paper. Sometimes I go about thinking theory and trying to find applications I could apply it to empirically, ...
2
votes
1answer
77 views
Minimum sample size for cross-sectional RDD
I haven't done a regression discontinuity design (RDD) before. I know it requires a large sample size for identification, thus I fear that my sample size is not large enough.
The study is cross-...
