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
208
questions
1
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0answers
16 views
Question on the choice of boundary in the CUSUM test when we make some resampling
Question on the choice of boundary in the CUSUM test when we make some resampling
We are considering to make a CUSUM test for some economical time series $𝑋=(𝑥_1,..,x_n)$. Suppose 𝑋 contains many ...
1
vote
2answers
47 views
Examples of the use of Vector Autoregressive Models
I am self-learning Vector Autoregressive Models currently, and have practiced on a few datasets. But I wanted to read some actual research papers that use VAR, so that I get an idea of the level of ...
1
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0answers
19 views
What is the most important factor in sample selection for time series models?
Is there some convention in sample selection for time series analysis? And what is the most important factor in this regard?
I mean, I have seen Kónya, I. (2018) use annual data from 1995–2016 to ...
1
vote
1answer
40 views
Difference-inDifference model with Discontinued Treatment
I have a situation where I observe two groups A and B for three years. Group A never received any treatment. Whereas group B received treatment in year 2 only. I can estimate the impact of the ...
3
votes
1answer
46 views
Annual Data and Heteroscedasticity (Engle's ARCH test)
GARCH models are often applied to financial time series (daily, weekly or monthly stock returns). What about lower frequency such as quarterly and annual time series? This could include macroeconomic ...
8
votes
3answers
1k views
Citing non-economics studies in an economics research paper
I am currently working on a paper in economics that has some dimensions that discuss women's social value. As is the case in developing countries a lot of economic studies do not exist whereas there ...
7
votes
1answer
93 views
Replicate Blundell and Bond (2000) results using R
I want to replicate Blundell and Bond (2000) Table III in R. I'm using the function pgmm from package plm, which (apparently) ...
1
vote
0answers
33 views
Percent change vs difference in logs: Which to prefer when forcasting non-stationary series with rare large excursions?
One of the most common ways to convert a non-stationary time series into a stationary one is to take the difference in logs. This is approximately equal to the percentage change for small changes, and ...
2
votes
0answers
26 views
Do you know how to compute the IRF of a GARCH (1,1)
We have the following model (GARCH (1,1) )
$y_t=\sigma_t\epsilon_t$
$\sigma_t^2 = \omega + \beta*\sigma_{t-1}^2 + \gamma*y_{t-1}^2$
Note that we can rewrite the latter as:
$\sigma_t^2=\frac{\omega}{1-\...
2
votes
1answer
34 views
Econometric analysis of mergers from a company's point of view
I am learning about financial analysis of mergers and acquisitions: most of the models are based on accounting principles and simple assumptions.
I wanted to delve deeper into more statistical/ ...
0
votes
1answer
18 views
What's the minimum number of datapoints in order to run a diff-in-diff?
I was thinking about running a diff-in-diff with fixed effect in order to deal with a panel data experiment. The problem is that I don't know how many datapoints I need in order to the experiment be ...
0
votes
1answer
28 views
Creating a pragmatic, useable (not theory heavy) proxy for a currency basket for a set of economies
This is currently, a gedanken experiment, but may well form the basis of a whitepaper - or better still, an actual project.
I am trying to come up with a practical way of creating a "currency ...
2
votes
1answer
51 views
Interacting covariates with the instrument in the first stage
If I want to run a 2 stage least squares (2SLS) regression with:
Relationship of interest: $Y = \alpha + \beta X + \varepsilon $, where $X$ is the endogenous explanatory variable of interest.
If I ...
2
votes
1answer
43 views
Do I have to bootstrap the dummy variables used for event dates in an event study?
I am doing a project where i am trying to estimate the effect of the inclusion of a stock in an ETF on its returns, meaning that i am trying to see how the inclusion of a stock in a given ETF affects ...
0
votes
0answers
29 views
Behavioral responses of tax policy on labour supply ( first time doing Difference in Differences)
I am trying to estimate the causal effects of the The Working Income Tax Benefit (WITB) on the labour supply of married women in Canada. The WITB is essentially equivalent to the EITC.
I am looking at ...
0
votes
1answer
39 views
Structural shocks in economic models are unobservable and country-specific?
Let's consider an exogenous oil price shock ($e_t$) as an example in the following equation $oil_t = \rho \; oil_{t-1} + e_t$, where $oil_t$ is one variable in a VAR system. We normally want to ...
4
votes
1answer
37 views
Choice between dummy variables and Likert scale in Linear Regression
I want to run a linear regression based on the data gathered using a questionnaire. Several of the questions have the following form:
How much do you spend on xyz in a month?
a. Less than \$50
b. \$50 ...
1
vote
1answer
41 views
Making sure the p-values of my OLS estimates are correct
I have learned the basics of the Classical Linear Regression Model and also various diagnostic tests to check if the assumptions of the CLRM are met, such as homoskedadticity, absence of near perfect ...
0
votes
1answer
34 views
Help interpreting standard deviation
I am looking at the 1979 cohort of the National Longitudinal Survey of Youth from the BLS. See here : https://www.bls.gov/nls/nlsy79.htm
I am just having some trouble interpreting the values for ...
3
votes
1answer
46 views
Why N>T is required on system GMM estimations?
My question is why N>T is required when working with dynamic panel estimations based on system GMM, such as xtdpdsys at stata. Is that based on the potential lost of information due to orthogonal ...
1
vote
1answer
51 views
Cointegration in stock market between different market places
Hi guys im interested in cointegration in stock market between Brazil, USA, London, China, India, Argentina and Hong Kong.
Since I want to compare each country’s index to the BR index, how do i do to ...
1
vote
1answer
101 views
Annual data VS Monthly data VS Quarterly data for a VAR model
I have read blogs posts that say one should use monthly, quarterly or annual data depending on whether you want to predict monthly, quarterly or annual outcome respectively.
So I guess the same ...
2
votes
1answer
25 views
How can I compare degree of stability (or persistency) in two dynamic systems/models?
Let's say I have two dynamic VAR models for two countries. What is the best way to compare persistency or degree of stability in the two models. Use eigenvalues of the two systems?
1
vote
0answers
13 views
Is unobserved heterogenity in mixed logit models variable specific?
I have a mixed logit model with travel cost, travel time, and mode constants. If I only randomize travel cost and keep fixed coefficients for travel time and mode constants, will the model capture ...
0
votes
0answers
33 views
Practical guide to Structural Equation Modeling
I am currently self-learning Structural Equation Modeling. I have studied some theory and also a bit about the software implementation, but not enough to practically conduct an SEM study.
I wanted to ...
4
votes
1answer
35 views
Many or few variables when testing for Granger causality?
I am reading Levendis "Time Series Econometrics: Learning Through Replication" (2018) and there are two statements about Granger causality that kinda confuses me. The statements themselves ...
3
votes
2answers
51 views
Applying ensemble modelling to VAR models
It is ok to apply ensemble modeling to VAR models? I mean, using several specifications of the VAR model instead of just one specification. So, for example, if you want to check that $x_{t-1},...,x_{t-...
0
votes
0answers
10 views
Diff-in-Diff framework where treatment time is not fixed and multiple treatment group with sub level of treatment
The study is analyze a data for 30 yrs time period with two treatment group denoted T_1 & T_2 and a control group. Treatment ...
1
vote
1answer
31 views
Should one remove trend from time series before testing for cointegration?
Should one remove trend from time-series before testing for cointegration? I guess no, but I couldn't find any answers yet.
Also is it necessary to remove trend before estimating a VAR model if the ...
2
votes
0answers
52 views
t test and F test are equivalent under single restriction case
In Classic linear regression model, under the single restriction
$$y=X\beta +u$$
$$H_0: \beta_j=0$$
If I apply t test, then the t statistic is derived as follows
$$\frac{b_j-\beta_j}{s\sqrt{a_{jj}}}$$
...
0
votes
0answers
18 views
Is it okay to difference data with different time intervals?
I have a question that is from an old project and that I want to clarify purely for future research.
The question is, if you have a time-series that occurs at intermittent intervals, say once ever 4, ...
0
votes
0answers
22 views
Triple Difference model using Repeated cross-sectional data
I have a repeated cross-sectional data from the Demographic and Health Surveys. And I want to run a triple difference model, along the lines of Yelowitz (1995). My identification strategy is such that ...
1
vote
1answer
77 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
48 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
31 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
vote
1answer
41 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
38 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
87 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
13 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
192 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
58 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
24 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
127 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
50 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
35 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 ...
7
votes
3answers
1k 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 ...
1
vote
1answer
28 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
votes
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
118 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 ...
