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

Filter by
Sorted by
Tagged with
1 vote
0 answers
19 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 ...
  • 11
0 votes
1 answer
18 views

OLS with multiple indicator variables

My dataset contains two numerical variables (n1, n2) and six indicator variables. The first three indicator variables specify ...
  • 103
2 votes
1 answer
14 views

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 ...
5 votes
0 answers
47 views

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 ...
  • 253
4 votes
1 answer
32 views

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 ...
1 vote
0 answers
7 views

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 ...
1 vote
0 answers
20 views

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' ...
2 votes
0 answers
37 views

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 $\mu$ ...
0 votes
0 answers
30 views

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 ...
  • 1
0 votes
0 answers
8 views

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)=\...
  • 165
1 vote
1 answer
51 views

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,...
  • 25
-3 votes
1 answer
21 views

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 ...
1 vote
2 answers
26 views

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 ...
  • 181
2 votes
1 answer
34 views

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 ...
0 votes
0 answers
10 views

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 ...
  • 101
1 vote
1 answer
30 views

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 ...
  • 35
2 votes
1 answer
57 views

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 ...
1 vote
0 answers
29 views

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 ...
0 votes
1 answer
16 views

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 ...
  • 1
0 votes
1 answer
52 views

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 ...
  • 1
1 vote
1 answer
31 views

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 ...
  • 135
3 votes
1 answer
38 views

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 "[...] ...
0 votes
0 answers
12 views

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 "...
  • 193
1 vote
0 answers
5 views

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 ...
1 vote
0 answers
33 views

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}...
1 vote
0 answers
38 views

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 ...
  • 139
1 vote
1 answer
93 views

Pooled OLS, fixed effects and random effects yield very similar results

I have used pooled OLS, fixed effects and random effects to estimate a model and the results are as expected. I expected coefficients to differ quite significantly for the different techniques and ...
  • 11
2 votes
1 answer
69 views

Why did Heckman sample selection models fall out of fashion?

Nowadays most people run wage regressions conditional on being employed rather than using Heckman selection models. So what are its drawbacks and why did this approach fall out of fashion?
  • 1,266
0 votes
0 answers
37 views

Instrumental Variables - Exogeneity Tests using region characteristics

I am using IV methods to establish the causality, I want to run some exogeniety tests. I have been going over Woolridge (Econometric Analysis of Cross Section and Panel Data, 2010) and I am not ...
  • 21
1 vote
0 answers
22 views

Non-linear model like GMM for panel data with an interaction term

For my dissertation I am looking at regressing net capital outflows against financial openness and GDP per capita like in Reinhardt, Ricci and Tressel (2013). To deal with potential endogeneity in ...
  • 11
1 vote
1 answer
34 views

Cross validation as a means of validating fixed effects?

To test whether it is appropriate to even use certain types of fixed effects, would it ever be appropriate to use a cross-validation methodology? Let's say that I have this type of mental model: $$\...
  • 228
15 votes
2 answers
2k views

How much do second-hand good purchases affect first-hand demand?

For the purpose of this question, I'm only interested in relatively cheap goods (clothing, appliances, furniture, phones), not extremely substantial purchases like cars or houses. Proceeding from ...
  • 336
4 votes
1 answer
83 views

How to deal with multiplicatively constant and additively constant fixed effects?

From Nick Huntington-Klein, The Effect: Fixed effects is a method of controlling for all variables, whether they’re observed or not, as long as they stay constant within some larger category. How can ...
  • 228
0 votes
2 answers
42 views

What type of data we use to predict volatility of an asset with GARCH or ARCH models?

When we are trying to feed time-series data to a GARCH or ARCH model, what kind of data should we give the model? A: Absolute difference between daily prices over-time B: % of the difference between ...
  • 23
0 votes
0 answers
18 views

Clarifying the fixed effects being used in the DDD in a specific case?

I am following Borusyak, 2021 in examining triple difference. In a normal regression, he controls for unit and time fixed effect fe ( i t) where i and t are firms and years respectively. Therefore, ...
  • 1,000
0 votes
0 answers
8 views

Location changes in panel data

I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
  • 31
2 votes
1 answer
118 views

What are the defining characteristics of applied microeconomics papers?

I'm in bit of a fix. I'm trying to define my research interests and am confused whether or not to include applied microeconomics as one area. The way I see it is applied microeconomics is more of an ...
  • 185
1 vote
2 answers
98 views

What are the most used econometric methods in economics?

As the title says, I would like to know what methods are most often used in empirical economics. For example, are IVs used more than DiD? I would prefer to see some survey of different methods that ...
  • 2,220
0 votes
0 answers
43 views

Recent Research Topics in Macroeconomics (Hopefully Growth Theory)

Im in my last year as undergraduate and i have the opportunity to make a tesis, i have strong foundations in econometrics and macroeconomics but I don't know what the latest research on macroeconomics ...
3 votes
0 answers
17 views

How to combine labor market time series when there is a methodological change that creates a break?

Any suggestions on how to combine time series of labor market variables (such as, for example, labor force participation) when there is a methodological change in the way the variable is calculated by ...
5 votes
1 answer
99 views

Why does synthetic control not suffer from backdoor confounders?

From Scott Cunningham in Mixtape, on propensity score matching: propensity score matching has not seen as wide adoption among economists as in other non-experimental methods like regression ...
  • 228
2 votes
0 answers
58 views

Several questions on Simultaneous Equation Models

Question 1: Suppose I want to estimate the model $$ Y = \alpha_0 + \alpha_1 X_2 + \alpha_2 S + e $$ $$ S = \beta_1 X_1 + \beta_2 X_2 + e_s $$ where the $Y, S, X_2$ are endogenous. However, from what I ...
3 votes
2 answers
155 views

From conceptual framework to econometric estimation

When I run the following regression, I find that $\beta>0$ $$ y_i=\beta D_i+\varepsilon_i$$ To explain the finding, I wrote down a conceptual framework and I obtained the following prediction $$\...
  • 165
2 votes
0 answers
52 views

Clustering Standard Errors for Panel Data with multiple clusters

I have a Group-Firm-Year panel data set (i.e., multiple firms make up a group). Suppose I have exogenous variation at the group level over time. In a panel regression with firm and time fixed effects ...
0 votes
0 answers
20 views

Where can I find a scientific article that includes cross-sectional data and a multivariate linear regression model?

I need to write a smaller scientific article that consists of the following steps: Find a public database for cross-sectional data (eg data for counties in the same year) Find a scientific article ...
  • 101
2 votes
0 answers
44 views

Taylor rule estimation with OLS serial autocorrelation

I'm estimating the equation: $$i_{t}=\beta_0+\beta_1\tilde\pi_t+\beta_2\tilde y_t+\varepsilon_t$$ Where $\hat\pi_t=\pi_t-\pi^{target}$ and $\hat y=\ln y_t-\ln y^{\ast}$, are the inflation deviations ...
  • 717
1 vote
0 answers
13 views

Is there any good summary, lecture notes, textbook or videos that give overview of firm-level productivity models?

As the title says, I am looking for some tutorials/educational materials for firm-level productivity models. I am looking for some source that would cover the most commonly used models. Also, it is a ...
  • 2,220
1 vote
2 answers
50 views

Dynamic panel textbook

which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced. Thanks :)
  • 21
1 vote
0 answers
40 views

How to estimate the impact of college lockdown on students performance?

Some researchers have answered the question in their papers, but I was wondering how one would proceed to estimate the impact of college lockdown on undergrad 1st year students performance, if we ...
  • 11
0 votes
0 answers
6 views

STATA date conversion for calculation

I have two data sets, where in data set 2 the date is in following form "Friday, 10th January 2019". In data set 1 the date is given in the form "10 Aug 2019". I want to append ...

1
2 3 4 5 6