Questions tagged [applied-econometrics]

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

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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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1answer
42 views

Is health care equal in the emergancy room? [closed]

How does financial status dictate the level of care differ? Where can you find the best healthcare income to medical service rendered? I understand that health care differs depending on a ...
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0answers
382 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 ...
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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 ...
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56 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 ...
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2answers
133 views

Research at the county-level: Macro or Micro?

Is research at the county-level considered applied micro or applied micro? The standard undergrad definitions ("micro" = "individual", "macro" = "nation") are of no help with units of measurement ...
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1answer
101 views

Why can't we control for squares and quadratics of predicted values in regression?

If my goal were prediction (e.g. of propensity scores), why couldn't I control for higher order terms of the model equation? For example, why not estimate the model and then control for squares and ...
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1answer
63 views

What type of graph can be hepful to explain the type of errors that should be used?

I have a regression of wage on several variables, such as education, marriage and so on. I want to explain that it would be a better idea to use cluster errors, since we expect the wage to be ...
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1answer
69 views

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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1answer
57 views

Do I need to log transform these two kinds of variables?

Before regression (like fixed-effects, random-effects), for these two kinds of variables: 1) Price levels (e.g. price level of capital formation) They are usually ratios like 0.987, 1.022..., based ...
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1answer
73 views

Estimating production functions with time series data

A while back I asked How do we estimate production functions? The answers given address cases when dealing with cross-sectional data, However most of the data I've been seeing is given by a time ...
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2answers
87 views

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: ...
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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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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 ...
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1answer
64 views

Aggregate production function, factor shares and cointegration

When estimating an aggregate production function you fit your data to a selected functional form of the production function, derive the parameters and inference from there. My question is, is there ...
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0answers
172 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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2answers
173 views

Macroeconometrics:How to measure capital depreciation?

In an econometric sense, how do macroeconomists measure capital depreciation $\delta$ in the formula $K_{t+1}=K_t(1-\delta)+I_{t+1}$. What data would I need and what kind of regression would I run?
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1answer
110 views

Variance of $\hat{\beta _0}$ in case of homoskedasticity

Stock and Watson express the variance of $\hat{\beta _0}$ like $\hat{\sigma }^2_\hat{\beta _0}=\frac{E({X_{i}}^{2})}{n\sigma _{X}^{2}}\sigma ^{2}$, but starting from variance of $\hat{\beta _1}=\frac{...
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1answer
66 views

Why $v_i=(X_i-\mu _X)u_i$ is i.i.d?

I don't understand. Ok, we have $\beta_1-\hat{\beta }_1=\frac{\frac{1}{n}\sum_{i=1}^{n}v_i}{(\frac{n-1}{n}){s_{X}}^{2}}$. So, for the first OLS assumption results that $E(v_i)=E((X_i-\bar{X})u_i\...
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1answer
55 views

Difference between $x$ and $X$

Sorry for my bad english, i'll try to explain my difficulty. 1° Question In the last exam an exercise asked to derivate OLS estimators and calculate their value with the data provided (ex.: $\sum ...
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1answer
90 views

testing the relationship between stock price and macroeconomic variables

I'm in the midst of preparing data to test the relationship between stock index and macroeconomic variables. The variables include m1, cpi, ipi, interest rate, exchange rate. I have some question ...
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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. ...
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0answers
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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31 views

How does the bank of Canada define “output”

Im trying to replicate the forecasts of this VECM model presented by the bank of canada in The M1 Vector-Error-Correction Model: Some Extensions and Applications Context (from page 24 in the pdf). ...
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1answer
389 views

Testing the long run phillips curve / Contradicting empirical results?

I've been working with some historical macroeconomic data of the Canadian economy and am having difficulty empirically testing the Phillips curve long run and short run versions. I got the data from ...
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1answer
763 views

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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1answer
57 views

When first differences contradict a regular regression regarding Investment vs Output relationship

Im doing some research with some panel data I have on firm output and investment. I ran two equations. $$y=\beta_0+\beta_1x+\beta_2x^2+\mu$$ $$\Delta y=\alpha_0+\Delta\alpha_1x+\epsilon$$ in R ...
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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 ...
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2answers
125 views

Interpretation of a differenced regression

I'm experimenting with some data in R and I've found that though there is statistical significance between two variables, however their changes are not statistically significant. I first ran a ...
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2answers
30 views

Producer Econometrics: Univariate modelling with missing data

Im interested in forecasting revenue for 2018. ...
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1answer
112 views

Consumer Econometrics: Identifying nature of goods

I have some data on household income and goods purchased. The first three columns and rows are: ...
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2answers
58 views

Expected Value of a Infinite Process

Assume $x_t$ is an unit root process. Write first difference of $x_t$ as $\Delta x_t$ =$\rho$ $\Delta x_{t-1}$+ $\epsilon_t$ Where $\epsilon_t$ is a white noise process. How can we calculate $ ...
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1answer
59 views

When estimating VAR(1) by OLS, I get transpose of AR matrix. Why?

Model: $y_t = \Phi y_{t-1} + (\mathbb{I_n}-\Phi)\mu + \Sigma \varepsilon_t$ s.t. $y_t$ is a $(n \times 1)$ vector, and $\varepsilon_t \sim N(\vec{0},\mathbb{I}_n)$. $\mathbb{I}$ is the identity matrix....
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1answer
148 views

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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2answers
371 views

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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268 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
451 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
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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3answers
317 views

Detecting the presence of measurement error

When can I know that I'm in the presence of measurement errors? i.e., when can I know that I should use a measurement error model(error-in-variables model)? Are there any statistical tests for ...
3
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1answer
76 views

Specifying a Diff-In-Diff with multiple treated groups over multiple years

Suppose I have a group of 100 counties. Further suppose that the state decides to allocate a lump sum amount of money to some counties each year to boost spending on education in that county (until, ...
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0answers
279 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 ...
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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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1answer
198 views

How do we estimate utility functions?

Throughout the course load of an economics student's undergrad we are exposed to the concept of cardinal utility via utility functions which give us a specific quantifiable number of "utilis" as a ...
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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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1answer
90 views

How can trailing and forward P/E ratio of main stock markets show such huge difference

I've recently found this web page, listing the average P/E Ratios of main stock markets: http://www.zutosmoney.com/ Here I reproduce just a small extract: INDEX - Country - Trailing PER - Forward ...
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2answers
275 views

How do we estimate production functions?

In a standard economics education we learn about production functions, indicating an output as a function of a given input of capital and labour. An average model looks like this: (1) $F(L,K)=L^{...
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2answers
2k views

Averaging data over 5 years with Stata or Excel

I need Stata commands or Excel function to calculate the average over 5 years groups of the values in a panel dataset. In particular, this procedure as to take into account the presence of possible ...
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2answers
8k views

Two-way clustering in Stata

I have a panel dataset and I would like to estimate a linear equation in a fixed effects framework. My question is: how should I implement a two-way clustering? Stata syntax and/or .ado file necessary ...
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0answers
368 views

Best way to learn econometrics for application? [closed]

I am very interested in the subject, but want to gain understanding on application that can be useful on the job.
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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....