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
0 votes
0 answers
17 views

Multicollinearity with interaction term and fixed effects

I have the following regression including an interaction term and fixed effects ...
2 votes
1 answer
125 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 ...
1 vote
0 answers
32 views

How to find hourly wage when data only provide range?

I am trying to separate observations into two groups, people who earn below (treatment group) and above (control group) the minimum wage to perform a difference-in-differences. The data I'm using have ...
1 vote
1 answer
109 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 ...
2 votes
0 answers
31 views

What kind of econometric analysis can be used on Indian domestic petroleum sales 2008-2018? [closed]

I have data for sales of petroleum products across different states in India of both public sector and private sector companies for 10 years. Number of years: 2008 to 2018 monthly data (10 years) ...
0 votes
1 answer
74 views

Greene's Econometric Analysis (8th edition), Table 6.12, p.233

I tried, but without success so far, to reproduce Greenes' empirical results using his gasoline data available at: https://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm You will find the R-...
3 votes
3 answers
168 views

measuring the effect of attending a private school on the return to education

In my research methods course project, I'm investigating the impact of attending a private school during primary and secondary education on future wages, utilizing cross-sectional data. I've ...
1 vote
2 answers
32 views

Including Controls for Relevance Test in First Stage Regression of IV?

I am conducting an instrumental variable approach (IV) in my paper, and I am puzzled how to correctly test for the relevance / strength of the instrument assumption. I recently read in a paper by ...
1 vote
1 answer
40 views

Unit root tests in panel data

I'm currently engaged in a panel data analysis project in R, focusing on multiple economic variables (such as GDP, Gross Fixed Capital Formation, etc.) for EU27 countries spanning the period 1995-2015....
1 vote
0 answers
19 views

Calculate consumers WTP for product attributes

I have a large panel on the city level of how many cars of each {model, fueltype} combination were newly registered in each year. This panel also includes a large variety of characteristics for each ...
1 vote
1 answer
71 views

Diagnostic tests on models using panel data

I am trying to replicate Islam(1995) Convergence model for EU countries. I know that LSDV estimator is biased,however i have applied it in order to compare the results with other methods. My question ...
0 votes
0 answers
18 views

Suppose that you estimate the above model with the first difference estimation procedure in R. Will your estimator be consistent? Why?

$log(invest_{it})=\theta_t+z_{it}\gamma+\delta_1tax_{it}+\delta_2disaster_{it}+c_i+u_{it}$ is the model. And what about fixed effect and random effect? I went through the book and it gives the ...
1 vote
1 answer
40 views

What does it mean to "replace all variables with the residuals after projections on any additional exogenous regressors"

I am conducting IV Regression and to make sure that my instrument is not weak, I want to use Montiel Olea & Pflueger (2013) robustness test. (see: Paper by Montiel Olea & Plueger (2013) ). To ...
0 votes
0 answers
17 views

Regression discontinuity design

I have this setting: Where V is the running variable and M=1 if V>0. It is a sharp RDD. D is a set of period dummies and $\tau$ is the calendar year. Coefficients in vector $\beta$ capture the ...
1 vote
1 answer
151 views

Conditional Convergence

Lets assume that we have a theoretical model in this specification to test conditional convergence: \begin{equation} \frac{1}{T} \ln\left(\frac{y_{it}}{y_{it-1}}\right) = a - (1 - e^{-\beta T})\ln(y_{...
1 vote
0 answers
23 views

"On the causes and consequences of deviations from rational behaviour"

The title of this post is the title of a paper I am drawing inspiration from for my final year dissertation. If anyone has the time, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3623676, this ...
8 votes
3 answers
18k views

What does it mean to make an identification assumption?

Trying to understand this problem: Suppose you had access to a dataset that follows individuals from adolescence throughout adulthood. Each year, you observe earnings, educational attainment, ...
1 vote
2 answers
304 views

Absolute Convergence

I have noticed that some researchers in order to test convergence hypothesis apply a model in this form: $(1/T) \ln(y_{it}/y_{i,t-1}) = b_0 - b_1\ln(y_{i,t-1}) + u_{it} $ (Barro & Sala-I-Martin, ...
0 votes
0 answers
11 views

Ordered Logit Model: Marginal Effects Signs Opposite

I'm deeply stuck in an issue in my research paper's methodology. I'm getting the following disparate results for my marginal effects. In my Ordered Logit model, I have Y = Trust in banks (4-Max trust,...
10 votes
4 answers
1k 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
0 answers
22 views

Assessing stochastic dominance from samples? ...and is Kruskal-Wallis useful?

According to wikipedia and other scattered software documentation Kruskal Wallis tests assess "stochastic dominance". But the original paper doesn't mention "dominance". Nor does ...
1 vote
1 answer
30 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 ...
3 votes
1 answer
285 views

Log Transformation of Zeros (Slave Trade Data)

I am trying to log transform data on slave trade voyages from the Database by David Eltis,The Trans-Atlantic Slave Trade Database. The Problem I am facing: Many values are 0. My first idea was to ...
0 votes
0 answers
45 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 ...
1 vote
1 answer
53 views

Log of 0 Probelm in Acemoglu et al. 2002b

in Acemoglu et. al. 2002b, which is about European Growth and Atlantic Trade, they do a log transformation of the atlantic trade variable. Since there are many observations where trade is 0, they say ...
1 vote
0 answers
16 views

Difference between Quantile Regression and Endogenous Stratification

I have a question that stems from an ongoing experiment I'm conducting, focusing on treatment heterogeneity. Initially, my approach involved considering a beyond-mean analysis utilizing quantile ...
1 vote
1 answer
20 views

Considering employment when estimating treatment effect on wage RCT

Suppose I run a RCT where the treatment is educating high school students. Outcome variable of interest $y$ is the wage the student will earn after graduating from high school. Suppose there is no non-...
2 votes
2 answers
247 views

Solving stochastic difference equation in New Keynesian model (FTPL textbook derivation)

In Cochrane's "Fiscal Theory of the Price Level", I am struggling with the following derivation. Take the first line as given, where $\pi_t$ and $i_t$ are random processes adapted to $\...
0 votes
0 answers
17 views

Corporate finance thesis on financial constraints and investment

I am currently writing a masters thesis within corporate finance and am seeking help to understand some concepts and theories in regards to some regression results i have obtained through empirical ...
3 votes
1 answer
430 views

How is potential experience usually measured in the Mincer equation?

Wikipedia specifies the Mincer equation like this: $$\ln w = \ln w_0 + \rho s + \beta_1 x + \beta_2 x^2$$ and states that $w$ is wage, $s$ is years of schooling and $x$ is potential experience. ...
1 vote
1 answer
55 views

Regression Discontinuity Design equation

Dear all, I found this equation to estimate a RDD in a paper. $(f_i-f_z)$ is the running variable, hence $\alpha$ should be the slope to the left of the cutoff and $\lambda$ the variation in the slope ...
0 votes
0 answers
43 views

Relationship between Urbanization and GHG Emissions

I built a model to measure the impact of population, wealth, technology and urbanization on greenhouse gas emissions (as measured by $N_2O$ emissions) in my country, following the STIRPAT framework, ...
3 votes
0 answers
18 views

Is it possible to run a regression discontinuity design (RDD) with different treatment intensities?

My question arises from an arbitrary assignment rule which gives monetary transfers to cities in Colombia with a population of less than 25,000 inhabitants. However, the transfer varies between cities ...
2 votes
1 answer
57 views

Panel data with Sector year fixed effects on R

I am trying to replicate the following econometric equation from the paper "How do french manufacturing firms react to Energy shocks ?" s denotes sectors,i denotes firms, and t denotes year....
0 votes
0 answers
28 views

How to analyze the effect of a policy change?

I am currently analyzing the impact of a public policy change, specifically one that was introduced in 2018 but later changed in 2020, changed the eligible rules. While I have used DiD and Event-study ...
2 votes
2 answers
214 views

How to correct selection bias in an econometric analysis?

We know that selection bias occurs when the treatment and control groups are not comparable, leading to differences in the outcome that are not solely due to the treatment. How does one address the ...
0 votes
0 answers
64 views

How to estimate staggered difference in difference with continuous treatment?

I want to estimate a staggered difference in difference with continuous treatment. The data looks something like this: $$ \begin{array}{ccc} Individual & year & CT_{i,t} \\ \hline 1 & ...
1 vote
1 answer
132 views

When should I NOT control for unit-fixed effects?

I see most of the applied econometrics papers using the two-way fixed effects model, controlling for time and units fixed effects, so: $$y_{it}=\alpha_{i}+ \gamma_{t} +\beta x_{it} +\epsilon_{it}$$ I ...
5 votes
1 answer
66 views

IV Regression with More Observations for First Stage than Second Stage

This is a very basic question, but I need help. Imagine I have a dataset for variables y, x, and z. I am running an instrumental variable regression such that y is my main outcome variable. So I am ...
2 votes
0 answers
27 views

Every Submodular Valuation Can Be Represented as a Maximum of Additive Valuations

According to this paper, "every submodular function can be represented as a maximum of additive valuations." It gives an algebraic description as well, but I am having trouble internalizing ...
4 votes
2 answers
197 views

Applied financial econometrics textbook

I am looking for an applied financial econometrics textbook. There are plenty of textbooks that present time series models used in financial econometrics but few of them put any emphasis on ...
2 votes
0 answers
46 views

How do we choose appropriate moment conditions for GMM estimation?

In certain conditions, especially with just-identified models, the appropriate moment conditions are in some sense obvious. This is the case, for instance, when we recover parameters from the linear ...
2 votes
0 answers
26 views

Estimating excess probability

I have three players A,B,C, where C ideally functions as a baseline. They play different games (not against each other) and I can observe their win probability, for example P(A wins in game I) = 90%, ...
4 votes
1 answer
52 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
29 views

Short vs. long horizon event studies?

I am studying the impact of announcements by a Central Bank on a stock's returns. To measure these impacts, I employ an event study (where my event window is 10 days and my estimation window is 60 ...
2 votes
0 answers
86 views

How to read/estimate Demand System on data

I have difficulties understanding the concept of Almost Ideal Demand System or, most probably, I have a problem of how to perform microeconomic estimates from data, in general... So my data look like ...
2 votes
0 answers
31 views

Two-way fixed effects with two treatments and interaction between both treatments

I am interested in estimating the effect of two different treatments (T1 and T2) and the interaction of the two (T1 x T2) in a two-way fixed effects event-study design. Both T1 and T2 have a "...
1 vote
1 answer
156 views

Using price elasticity of demand to optimize price increases

I want to share some context with you I am working for a pharmaceutical company and the business side needed to update the price for some products once a year. So I thought to develop a model to ...
1 vote
1 answer
247 views

What is the difference between econometrics and statistics?

Is econometrics just statistics applied to economics or is there also some deeper difference?
6 votes
3 answers
208 views

Derivation of index decomposition analysis

I’m currently reading a paper on index decomposition. The paper is here for reference : https://www.sciencedirect.com/science/article/pii/S0140988315001772 The paper is setting out how it has gone ...

1
2 3 4 5
7