Questions tagged [applied-econometrics]
Use this tag to discuss empirical papers and issues arising when applying theoretical models to data.
179
questions
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1answer
33 views
Show that conditional variance of error in linear probability model is heteroskedastic?
I have a problem that asks me the following:
" Consider the linear probability model, in which we specify the
regression equation to be linear in X,
E(Y |X = x) = Pr(Y = 1|X = x) = x'β
We can ...
3
votes
1answer
41 views
Rule of thumb for confidence level
Typically in statistical software, the default confidence level is 95%. The higher the better, I suppose. But this is still not a rule of thumb, right? In Stock and Watson's paper (https://www.aeaweb....
1
vote
1answer
28 views
Substitute a continuos variable with a categorical one in Linear regression
I am pretty new to econometrics, and I am thinking about substituting a continuous variable (say assets for a company) with a categorical one containing a number based on which quintile the continuos ...
1
vote
1answer
33 views
Which econometric test applied here?
I have been reading an article about the Phillips Curve. But I got stuck in a part of econometric analysis. I am not good at econometric. Therefore I need help here. In this link you can read the ...
1
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1answer
38 views
How were unit labor costs estimated by Gali and Gertler (1999)?
I am trying to estimate a NKPC like the one
Gali & Gerter, 1999 and Gali &Gerter, 2001 estimated. I am having trouble with understangind how they calculated the marginal cost, i.e., which time ...
1
vote
1answer
34 views
Impact evaluation of a policy when different individuals adopt the policy at different times
Let there be a policy $T$ which can either be implemented or not implemented by an organisation. Suppose there are $n$ organisations and the outcome variable $Y$.
The policy is not centrally imposed- ...
2
votes
2answers
58 views
What does it mean if the controls in my IV model are correlated with my instrument?
I am seeking to understand what it means for my 2SLS IV model if my controls are correlated with my instrument (such that when I add additional controls to my model that are positively correlated with ...
0
votes
0answers
7 views
Random Effects Model with Only Time-variant Independent variable
I'm trying to estimate a panel with random effects where the dependent variable depends on time and id; and the independent variable depends only on id. However, the results that I'm getting are ...
2
votes
2answers
119 views
Dummy Variables in Panel data
I am building a regression model on some panel data of sales and I am rather new to econometrics. I was thinking of introducing some indipendent variables built as Dummy1*Dummy2 . Is this new ...
0
votes
4answers
53 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
23 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
67 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
35 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
393 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
27 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
27 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
78 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 considering 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
119 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
votes
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
34 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 ...
3
votes
1answer
30 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
votes
0answers
10 views
Social-Network Peer Effect Regression Analysis
I have locally transformed model from Bramoullé 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
26 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
70 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
29 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
13 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
24 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
votes
0answers
40 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
40 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
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1answer
103 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
30 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
56 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
303 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
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
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1answer
67 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
38 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 ...
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 ...
