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

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47 views

Where we call GDP aggregate demand or aggregate supply in VAR models is our choice?

In the attached picture below, shocks associated with GDP are demand shocks and shocks associated with inflation are supply shocks. Here, shocks associated with GDP are rather supply shocks, and ...
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1answer
44 views

Including an endogenous covariate in a regression model as a control to estimate the effect of another variable of interest

I am interested in the effect of an independent variable $x$ on a dependent variable $y$, like so $$ y = \beta_0 + \beta_1 x + e $$ where $e$ is the error term. Now $x$ includes two effects $z_1$ and $...
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1answer
91 views

Finding consistent but inefficient GMM estimate

Consider the following linear model $$y_t = x_t' \beta +u_t$$ where $t =1,...,T$ and $x_t = (x_{1t} x_{2t} ... x_{kt})'$ , $ \beta$ is $k \times 1$ vector of unknown coefficients, $u_t$ is an iid ...
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2answers
66 views

In VAR models, do variations in the variables come solely from shocks?

In DSGE models, if you shut all shocks to zero, then the variables have zero variations. Thus, they just equal their steady-state values for all periods. So the series for all variables are just flat ...
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2answers
47 views

Which software can be used to estimate a non-recursive SVAR?

Which software can be used to estimate a non-recursive SVAR? Not sure though if this question belongs here but I found nothing so far on google. Or researchers using them do it manually?
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1answer
24 views

Is there any special reason to use the character “k” standing for the “early”?

From the paper of Bacon,2018, p.5, I saw a paragraph as below The simplest way to illustrate how treatment timing works is to consider a balanced panel dataset with 𝑇 periods (𝑡) and 𝑁 cross-...
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0answers
34 views

An ambiguous description in Dasgupta, 2019 regarding the coefficients and choosing baseline specification

Regarding the result table of Dasgupta, 2019, table 3, p.2601, where they examine the impact of anticollusion on asset growth However, they describe that The dependent variable is the annual asset ...
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1answer
672 views

Why the larger the sample, the lower standard deviation?

I concern about why country-level variables normally have higher standard deviation compared to that in firm-level variables. Today, my senior friend told me that it seems to be because the firm-level ...
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2answers
655 views

Why we need at least 40 groups to be properly clustered?

From this discussion, I deem that we need approximately 40 groups for clustering. For example, if we want to clustered by industry, we need at least 40 industries, or if we want to cluster by year, we ...
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0answers
10 views

Can I test Granger causality in cyclical components?

I want to test Granger causality test in cyclical components of GDP and private credit, obtained with Christiano-Fitzgerald filter in annual growth rates of quarterly data. The main purpose is to find ...
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1answer
152 views

What are the main differences among xtreg, areg, reghdfe?

Normally, when I run regressions for panel data in Stata using these three commands (xtreg,areg, ...
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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 ...
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2answers
51 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 ...
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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 ...
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2answers
61 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
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1answer
56 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 ...
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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
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1answer
103 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) ...
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0answers
47 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 ...
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0answers
29 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-\...
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1answer
36 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/ ...
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1answer
20 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 ...
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1answer
34 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
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1answer
52 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 ...
3
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1answer
62 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 ...
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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 ...
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1answer
45 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
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1answer
49 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 ...
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1answer
42 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 ...
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1answer
38 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
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1answer
48 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
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1answer
59 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 ...
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1answer
200 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
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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?
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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 ...
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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
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1answer
37 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
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2answers
53 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-...
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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
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1answer
34 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
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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 $$\frac{b_j-\beta_j}{s\sqrt{a_{jj}}}$$ ...
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0answers
23 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, ...
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0answers
24 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
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1answer
84 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
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1answer
49 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....
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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 ...
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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 ...
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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
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1answer
39 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- ...
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2answers
97 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 ...

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