# 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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### 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 ...
18 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 ...
34 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 ...
9 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 ...
36 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 :)
31 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 ...
4 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 ...
37 views

### Why there is only one value of confidence interval?

As we know, we can calculate the confidence interval relating to standard errors and coefficients by that to get the high CIs and low CIs at 95% confidence interval Confident interval +/- standard ...
30 views

### How does counterfactual for continuous variables work?

It is clear to me what counterfactual is and how it works for binary variables. However, I'm confused about how it works for continuous variables. For example, we are trying to estimate the effect of ...
26 views

### Filling gap in data with correlated series

I have two time series, of different length. A time series is GDP growth. The gdp growth is the series I need, and it is also the longer series, but it has two gaps in two periods one after the other. ...
11 views

### How to combine two different populations from two different surveys?

I have 2 surveys, each is representative of different populations living in the same country: Survey 1 – Survey of Peruvians living in Peru Survey 2- Survey of Venezuelans living in Peru. Each survey ...
86 views

### Variance Decomposition of Wage Equation

I am reading two recent papers studying between-firm and within-firm wage inequality, Barth et al 2016 (hereafter BBDF) and Song et al 2019 (hereafter SPGBV). I am confused by the different variance ...
22 views

### Why joint null test have less power when there are more coefficients involve?

From a description of DiD method of Borusyak,2020 , I saw that pretrends(integer): if some value k>0 is specified, the command will performs a test for parallel trends, by a separate regression on ...
54 views

### Are there any papers which used the event study methodology NOT in a financial market context?

I was advised to implement an event study in the context of air pollution levels after an event had happened. Now my problem is, that I can not really find any introductory literature (or papers), ...
42 views

### Is there an empirical model for studying contemporaneous feedback relationships?

In a DSGE model, monetary policy shock (Taylor rule style) increases interest rate. So output and inflation falls, which feedback contemporaneously to the interest rate. Thus, interest rate ($i_t$) ...
49 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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### 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/ ...
23 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 ...
36 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 ...
53 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 ...
72 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 ...
30 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 ...
49 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 ...
69 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 ...
44 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 ...
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 ...
49 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 ...
64 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 ...
292 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 ...