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Questions tagged [applied-econometrics]

Use this tag to discuss empirical papers and issues arising when applying theoretical models to data.

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13
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0answers
270 views

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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1answer
86 views

Insignificant Interaction effect in applied econometrics (multinomial logit regression)

I'm currently writing my master's thesis where I'm applying a multinomial logit regression with interactions effect. The model I'm using is $$ P(y=j) = exp(xb_j)/(1+∑exp(xb_h)) $$ where $$ xb_j =...
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59 views

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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72 views

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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131 views

Structural estimation

My understanding of structural estimation follows the lines beautifully lectured by Christophe Taber (U. of Wisconsin): Identify the policy question to be answered Write down a model that can ...
3
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0answers
208 views

Estimation technique: Independent variable (taxation) unknown

I am trying to estimate $\lambda$ from this equation: $(1+ t_t) = \left(\dfrac{C_t}{Y_t}\right)^{\frac{1-\lambda}{\lambda}}$ After taking logs and approximations, I get: $t_t \approx \left( \frac{1-...
2
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1answer
42 views

The Household Production Function

I was wondering whether someone can explain the household production function. Specifically, the variant presented in Patanayak et al 2005. The paper uses the HPF to determine household willingness to ...
2
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0answers
29 views

Regression analysis with interaction and decomposed main effect

I'm trying to figure out if I need to include the main effect in a regression analysis with an interaction if I am already including a decomposed version of the main effect. For example, let: ...
2
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0answers
33 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 $\...
2
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0answers
31 views

How to control for population in Difference-in-Difference?

Random example, but let's say I'm examining the effect of a health program on influenza cases in India. They just randomly start the program in 7 of the 29 states. I have data on the number of flu ...
2
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0answers
51 views

Difference-in-differences with long time horizon and repeated treatments

I have a high-frequency panel dataset on the order of $i=150$ and $t=5000$. I am interested in studying the causal impact of a treatment with the following characteristics: The same unit can be ...
2
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39 views

Any examples of non-parallelism making Diff-in-Diff estimation biased?

The key assumption in a Differences in Differences design is that both the control and the treatment group have parallel tendencies, that is, they'd follow similar paths over time if there was no ...
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56 views

Static and Dynamic models: Testing the Quantity Theory of Money

The quantity theory of money is stated as a simple equation which states that the general price level of goods and services is directly proportional to the amount of money in circulation. This is ...
2
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27 views

modelling Inconsistent production functions

last year I asked How do we estimate production functions?. That answer provided was insightful from an econometric perspective and has helped me in applying such an understanding to the workplace. ...
2
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0answers
42 views

Using Stata to perform power calculations

I want to use simulation in Stata to help me determine whether or not I will have sufficient statistical power to detect meaningful effects (should they exist) in a given data set using generalized ...
2
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0answers
281 views

Christiano Fitzgerald filtering process

I'm trying to compare the results of Christiano Fitzgerald bandpass filter with wavelets. I'm familiar with wavelet decompositions in general, but I'm rather new with Christiano Fitzgerald (CF). So ...
2
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0answers
104 views

Accounting for Fixed Effects

I am an undergraduate student working on environmental economics research. The econometric specification I am using is the following: ln(Per.Capita.Dollars) = ln(Per.Capita.Dollars.lag) + Average....
2
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0answers
28 views

How to overcome measurement error in variable for immigration year?

I'm using the Current Population Survey and studying immigration. There's a variable: Year of Entry into the United States for the Foreign Born. The survey is administered to a representative sample ...
1
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1answer
36 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
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0answers
16 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 ...
1
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0answers
18 views

How do I measure effects over years in panel data with individuals?

I'm working with a longitudinal panel dataset that surveys the same few thousand individuals biennially and I have six years of this data. My dependent variable would be how much individuals spend on ...
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0answers
225 views

Coming up with a Research Topic for Undergraduate Paper

I am currently a senior in economics, and I have been pondering ideas for doing a research paper. Sometimes I go about thinking theory and trying to find applications I could apply it to empirically, ...
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19 views

Empirical implementation of Milbourne et al's 2003 model of growth for time series data

I'm interested in testing the relationship of public investment in human capital and infrastructure, and the rate of growth of the GDP for Colombia, during a 20 years period. Given that I'm only an ...
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38 views

How are rotation matrices used in structural VAR identification through sign restrictions?

I saw this identification method is used in several working papers but to me it is impossible to understand how it works by simply reading them. I have searched many books and lecture notes in order ...
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0answers
391 views

Difference between multinomial logit and conditional logit

I'm trying to decide whether to run a multinomial logit or a conditonal logit (McFadden, 1973). I have data from a choice-based conjoint study in which each of the respondent's choices was between a ...
1
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0answers
44 views

Discrete choice model without outside option?

In most empirical studies of discrete choice, the presence of an outside good is assumed. Can you give an example of a (well published) empirical paper, where there is no outside good and thus ...
1
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0answers
57 views

Panel econometrics for marketing mix analysis: how to include spending that affects all the individuals of a panel?

Dear stack exchangers, in the course of an internship at a microfinance bank in Tajikistan, I have been tasked with assessing the efficiency of different marketing expenses. I will try to expose the ...
1
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0answers
175 views

Dynamic factor model for inflation (UIG)

I'm trying to replicate some results of Fed Underlying Inflation Gauge (UIG) model, which is a dynamic factor model to capture inflation trend. https://www.newyorkfed.org/research/policy/underlying-...
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0answers
12 views

Impact on grant on firm survival

I am trying to estimate the impact of a grant on firm survival using the first propensity score matching to create a matched sample of similar organisations along a wide range of observables. Then I ...
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0answers
82 views

VAR/VECM Fitted/Predicted values (BEER model)

I am running a BEER model (Behavioral Equilibrium Exchange Rate Model) and using VAR/VECM and Johansen method to estimate the equation. For context, I am looking at the XR of Czech crown and the euro. ...
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0answers
137 views

Difference in Regression Discontinuity Estimates

Suppose I run a regression discontinuity design (RDD) for two different samples - say, separately for regions A and B of the same country. I get RDD estimates that are statistically significant in ...
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0answers
75 views

Motivation for use of GLS instead of System OLS

In Wooldridge's graduate book, 2nd edition, page 174, he states «The usual motivation for the GLS estimator is to transform a system of equations where the error has a nonscalar variance-covariance ...
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0answers
18 views

A game plan for Cross-Section modelling

Imagine we have already built our linear regression model, with a certain dataset. Which order of tests would you follow to be sure that whatever conclusions you may want to extract are correct. For ...
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0answers
30 views

Attribution Modeling

My problem involves measuring the impact of four activities undertaken by a population of 1,000 individuals that is attempting to lose weight. The four activities are: (a) Eating healthy food; (b) ...
1
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0answers
2k views

Variance of a dummy variable

I have always thought that variation in regressors are a good thing. In fact, one can show that the precision of the estimated coefficients is increasing in the variance of the regessors. I have also ...
1
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1answer
452 views

Should I deflate a nominal variable when forecasting it?

Say I have a structural equation that is forecasting Y. Y is a nominal financial variable that grows with time due to inflation. I have an economic determinant that is a rate and therefore does not ...
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0answers
11 views

A question about independence of LATE framework (IV)

I came across the assumption of independence of the LATE in 2SLS: My first reaction is, why D1i and D0i are independent of the instrument Zi? Shouldn't the treatment and IV be correlated for the IV ...
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8 views

Is there a specific test for this procedure? (NKPC and coefficient stability)

I'm running a GMM regression in order to estimate a New Keynesian Phillips Curve, with forecasting purpose, and i want to know if there is a testing procedure for the following problem: (i) First i ...
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0answers
31 views

Interpretation of coefficients in ECM for consumption

Say that we are regressing consumption $C_t$ on time $Y_t$. Furthermore, suppose that both series are $I(1)$ and are co-integrated. Given this, we set up the error correction model (ECM) as follows: $...
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0answers
20 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 ...
0
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17 views

What are the statistical tests I need to perform before I regress GDP on multiple variables?

I'm using data over 10 countries for the period 1975 to 2010. My objective is to check if the chosen regressors have significant effect on GDP. I have very basic knowledge of econometrics which I ...
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0answers
19 views

Performing good forecasts for the GDP

What forecasting models would you recommend to forecast the GDP? Through a quick research I have found that VEC, VAR, SVAR models are the most common. Are they though good forecasters? Or are they ...
0
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0answers
15 views

treatment of non-consecutive periods in panel and ʀ SFA

ɪ am estimating a Stochastic Frontier Analysis (SFA estimated by MʟE) model for a panel of seven periods. ɪ want to know if ɪ can use all the periods in the estimation procedure and how are they ...
0
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1answer
28 views

Building a time-series demand forecasting model

I am forecasting demand for certain types of goods and services, which I expect to be correlated to a sub-set of a basket of macroeconomic indicators (considering 15-20 indicators) I do not know ...
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0answers
27 views

Should I include lags in an LLC unit root test?

I have panel data (N = 10, T = 20), which I intend to run a series of regressions on. I first want to see if my data are stationary in levels or in differences. To do this, I have been performing ...
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0answers
13 views

Engel’s Coefficient Data

Does anyone know of any good data sources where we can find Engel’s Coefficients by nation?
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25 views

Econometrics: Is it feasible to use the “effect of the treatment” estimations from a diff-in-diff as dependent variable?

Basically I have many treated units and I would like to estimate (by applying the Diff-in-Diff methodology) the effect of the treatment. In my particular case it's very likely to observe certain ...
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0answers
31 views

Vector Autoregressions

Suppose running a VAR system featuring the central bank interest rate, inflation and GDP. Start by estimating each equation by OLS. How should you interpret the OLS residuals to these equations? My ...
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0answers
21 views

Mankiw, Romer & Weil: Estimating Implied Alpha & Beta

I am replicating Mankiw, Romer & Weil (1992) with data from 1995 through 2015, and I wondering how they estimated the implied alpha and beta. Thank you, For those curious, the paper can be found....
0
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0answers
24 views

VAR model OLS line by line

I am estimating a VAR model line by line. Lets say the conditional variances are correlated. We would expect size distortion. So we would use another method, perhaps a HAC standard error to account ...