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
311
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What is the difference between econometrics and statistics?
Is econometrics just statistics applied to economics or is there also some deeper difference?
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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 ...
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Heterogeneity of time invariant characteristic in event study model
I am trying to estimate the impact that the onset of a medical disease has on a number of outcomes, call them $O$. To do this, I am using an event study model with individual and time fixed effects...
...
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How to show SSR of the residual vector from regression of y on X1 and X2 is equal to SSR of y on X1 and X2
What I mean in the title is that when we regress $y$ on $X_1$ and by using projection matrix $M_{X1}$
how can I proceed with that:
the model is
$$
y = X_1 \cdot \beta_1 + X_2 \cdot \beta_2 + u
$$
or ...
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Difference-in-difference robust to heterogeneous treatment effect - Gendron-Carrier et al. specification
I am trying to extend the results of Gendron-Carrier et al. (2022) article published in the American Economic Journal : Applied Economics which is about the effect of subway opening on pollution.
I ...
CommunityBot
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Understanding how to estimate the model of Fung and Hsieh (2001) for the hedge funds risk factors
There is an old paper about the risk of hedge fund strategies that it gathers its focus in the trend followers. This is the Fung and Hsieh (2001) paper.
$\textbf{Definition of Trend Followers (TFs):}$ ...
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59
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Meaning of a statistically significant constant in a regression and more
I am running a regression the following way on stata: reg death_rate CPI HDI
Where death_rate is the mortality rate of COVID-19 in 2021 (measured as a %), HDI is ...
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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), ...
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2
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38
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Why is Stata omitting some of my variables and mfx not working?
I'm trying to do a probit regression with some categorical and continuous variables but Stata keeps omitting certain variables and even claiming that some can't be used to to collinearity problems (I ...
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Statistic to best summarize changing price level over an interval?
You are told that in a given week 4 of a given good are sold at a price of 100 and 6 of the ...
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Fixed effect model: different estimation approaches with R - how to demean variables - unbalanced panel
I want to use R to estimate a fixed effects model using different estimation approaches (e.g. replicating xtreg from Stata). Note that I am using an unbalanced panel.
The easiest way to do this is ...
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When can I assume that a variable is exogenous?
I'm looking for the effect of nutritional coffee breaks on MBA performance, and I found that the change to a healthier catering increased the performance of MBA students. Additionally, I want to see ...
CommunityBot
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OLS with multiple indicator variables
My dataset contains two numerical variables (n1, n2) and six indicator variables. The first three indicator variables specify ...
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1
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Synthetic control method when treatment has an overflow effect on control group
Can I use a synthetic control method in the following settings:
Treatment on one aggregate unit causes some of the individuals in
that aggregate unit to migrate to the control unit
The individuals in ...
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0
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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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Can I perform magnitude analysis on margins?
I’m trying to find if there’s an asymmetric in my dummy variables. So after creating my regression I am looking at margins with all the variables held constant with the dummy=1,0.5 ( a pseudo result I ...
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Is autocorrelation and the number of clusters related in an ergodic process
I' ve come across two notions for the condition of (mean-) ergodicity and wonder whether and how they relate.
(1) Let $ {X}_{t \ge 0} $ be a second order stationary process with (constant) mean $\mu$ ...
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conleyreg() for panel data
With panel data, how does conleyreg() correct for spatial correlation and autocorrelation within units over time? More specifically, why do my standard errors change when I specify 'unit' and 'time' ...
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342
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Can I instrument an endogenous variable and its quadratic form with the instrument and its quadratic form?
I have the following problem, where I would like to have an advise or a reference:
I'm estimating a model which usually (in other papers) only includes the explanatory variable in its linear form, but,...
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How to interpret the significance of estimates if it differs between regression models? [duplicate]
I am trying to analyse the impact of experiencing a certain incident on the pro-unification opinion of people. If the incident occurs, they can occur in solely 3 different types: A, B and C. We assume ...
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2
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Comparing incomes across regions within a country
When looking at spatial disparities across regions within a country the standard approach that I have seen is to look at differences in incomes across regions.
However, this doesn’t control for the ...
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1
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How to estimate a subclass effect of fixed effect model?
i need help with an econometric question.
I have a panel data of stock analysts and their associated investment returns by following their investment recommendations of buy/hold/sell. The data is at ...
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1
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Difference in differences with one post and two treatment variables
I want to test the following hypotheses with a difference in differences (DiD) OLS model: 1. The post grant effect on the dependent variable is stronger for patents with at least one rejection than ...
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On adding fixed effects
Let $Y_{ijst}$ be some outcome variable of firm $i$ of industry $j$, located in state $s$, at time $t$. Normally, if we want to run any differences-in-differences specification where treatment varies ...
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Regression equation to test state variation
I'm an undergraduate student writing up a research proposal for a reserach-based class. I'm testing how LGBTQ discrimination in the labor market might vary in each state in the US (that's my research ...
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1
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228
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Difference between M-estimators and Minimum Distance estimators
I was reading Chapter 22 of Hansen's Econometrics on M-estimators and he lists OLS, Non-linear LS and Maximum Likelihood as examples of M estimators. After a few paragraphs, he also writes "[...] ...
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1
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What does it mean to control for a variable?
Let's say I want to see the effect of having a pool on the price of properties in a city. What does it really mean to control for zipcodes?
And does this answer the crucial question that I want to ...
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Where to find Index Entries on CRSP (WRDS)
I am trying to find index entries (not delisting data) on CRSP (i.e., where a specific stock with a PERMNO/CUSIP enters the S&P500), but despite trawling through the documentation I am unable to ...
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Wald Statistic with heteroskedasticity on asymptotic inference vs exact inference
I was working on the following proof but I got stuck.
I'm trying to show that the next equality holds:
$$(X'X)^{-1}X'\mathbb{E}_n[\varepsilon\varepsilon']X(X'X)^{-1} = \mathbb{E}_n[XX']^{-1}\mathbb{E}...
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Why did Heckman sample selection models fall out of fashion?
Nowadays most people run wage regressions conditional on being employed rather than using Heckman selection models. So what are its drawbacks and why did this approach fall out of fashion?
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Pooled OLS, fixed effects and random effects yield very similar results
I have used pooled OLS, fixed effects and random effects to estimate a model and the results are as expected. I expected coefficients to differ quite significantly for the different techniques and ...
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Data-driven vs. theory-driven demand system estimation
Context:
When one wants to study consumer demand based on observational data (e.g. household survey data), imposing theoretical restrictions on the coefficients of the demand model seems to be a good ...
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Instrumental Variables - Exogeneity Tests using region characteristics
I am using IV methods to establish the causality, I want to run some exogeniety tests. I have been going over Woolridge (Econometric Analysis of Cross Section and Panel Data, 2010) and I am not ...
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Non-linear model like GMM for panel data with an interaction term
For my dissertation I am looking at regressing net capital outflows against financial openness and GDP per capita like in Reinhardt, Ricci and Tressel (2013). To deal with potential endogeneity in ...
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Cross validation as a means of validating fixed effects?
To test whether it is appropriate to even use certain types of fixed effects, would it ever be appropriate to use a cross-validation methodology? Let's say that I have this type of mental model:
$$\...
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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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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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2
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What type of data we use to predict volatility of an asset with GARCH or ARCH models?
When we are trying to feed time-series data to a GARCH or ARCH model, what kind of data should we give the model?
A: Absolute difference between daily prices over-time
B: % of the difference between ...
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What are the defining characteristics of applied microeconomics papers?
I'm in bit of a fix. I'm trying to define my research interests and am confused whether or not to include applied microeconomics as one area. The way I see it is applied microeconomics is more of an ...
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What are the most used econometric methods in economics?
As the title says, I would like to know what methods are most often used in empirical economics. For example, are IVs used more than DiD?
I would prefer to see some survey of different methods that ...
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Recent Research Topics in Macroeconomics (Hopefully Growth Theory)
Im in my last year as undergraduate and i have the opportunity to make a tesis, i have strong foundations in econometrics and macroeconomics but I don't know what the latest research on macroeconomics ...
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How to combine labor market time series when there is a methodological change that creates a break?
Any suggestions on how to combine time series of labor market variables (such as, for example, labor force participation) when there is a methodological change in the way the variable is calculated by ...
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Why does synthetic control not suffer from backdoor confounders?
From Scott Cunningham in Mixtape, on propensity score matching:
propensity score matching has not seen as wide adoption among
economists as in other non-experimental methods like regression
...
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How to estimate loss of customers due to customer support inefficiency?
I have a data about customers and their activity on a website for a two-year period. Also, I have a customer support work evaluation data for a shorter period of that two-year period. The question is:
...
CommunityBot
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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
$$
xb_j =...
CommunityBot
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Several questions on Simultaneous Equation Models
Question 1:
Suppose I want to estimate the model
$$ Y = \alpha_0 + \alpha_1 X_2 + \alpha_2 S + e $$
$$ S = \beta_1 X_1 + \beta_2 X_2 + e_s $$
where the $Y, S, X_2$ are endogenous. However, from what I ...
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From conceptual framework to econometric estimation
When I run the following regression, I find that $\beta>0$
$$ y_i=\beta D_i+\varepsilon_i$$
To explain the finding, I wrote down a conceptual framework and I obtained the following prediction
$$\...
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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 ...
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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 ...
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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 ...
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