# 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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### How accurate is duality?

In economic theory we know that with the use of some calculus, Hotellings Lemma and Sheppards lemma we can derive a given firms supply function and in term its Profit function. With data of a given ...
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### 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 ...
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### What are some good repositories for economic data

Economic data is a very broad concept. It can include discrete preference relation data-sets as well as extensive time series data. But it is important that theories are tested against data, and the ...
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### Problems with Representative Sampling

I am curious: what exactly are the problems caused by using representative sampling rather than random sampling whenever creating a subsample of large dataset for nonexperimental analysis. Further, ...
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### 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 ...
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### 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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### The Econometrics of the Stone Geary Production function

The Stone-Gerry production function generally takes a form of: $$f(x_{i})=\prod_{i=1}^n(x_{i}-a_{i})^{\gamma_i}$$ where $x_i$ represents all inputs in the model, $a_i$ is a constant representing the ...
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### How to interpret "scale efficiency" in DEA?

I am reading the book Benchmarking with DEA, SFA, and R by Bogetoft and Otto. In Section 4.8 they discuss the concept of scale efficiency, and I am having trouble interpreting this concept. The ...
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### 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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### To use seasonally adjusted data or not seasonally adjust data?

Im currently doing research using some macroeconomic data. I just want to know what are the pros and cons of using seasonally adjusted/non-seasonally adjusted data in terms of forecasting.
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### Bayesian vs. Frequentist Approach

I hope this question is not too general in nature; I just wanted to ask the members of this community their opinion on the following question: How can one choose between the Bayesian approach and the ...
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### 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 ...
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### 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 ...
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### Demand function estimation

The model specification is: $$D_{ij} = A + aP_{ij} + bY_{ij} + cN_{ij} + e_{ij}$$ where: $i, j$ = $i$-th year, $j$-th month, $D$= demand (outgoing minutes) $P$ = average price of call, $Y$ = ...
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### 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 ...
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### 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 ...
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### The Household Production Function

I was wondering whether someone can explain the household production function (HPF). Specifically, the variant presented in Patanayak et al (2005). The paper uses the HPF to determine household ...
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### Random Utility Model Multiple Choice Question. Which one is correct?

In this random utility model, which of the five statements is true? I've been thinking about this question ever since the exam... I said (B).
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### Controlling for interaction effects

In a recent paper, Edelman et al. examine (amongst other things) how discrimination on AirBnB varies with the characteristics of hosts. First, they conduct a field experiment which involves sending a ...
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### 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 ...
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### How to econometrically identify perfect complements in production?

The production $$f(x_i,...,x_n)=\min\{x_i,...,x_n\}$$ is pretty straight forward and usually with smaller size data sets and can usually be picked up on rather quickly in an intuitive sense. ...
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### R reproducible example, restrictions on cointegrating equations

The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). ...
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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 \...