Questions tagged [applied-econometrics]

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

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2
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2answers
98 views

Interpretation of regression coefficients with and without logs

Say you want to estimate return to education. Model 1 (no log): assume the DGP is: $$w_{i} = \alpha + \beta x_{i} + \zeta_{i} + e_{i}$$ where $x$ is years of schooling, $\zeta_{i}$ is unobserved ...
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2answers
3k views

Why does slowly decaying ACF indicate that a time series is non-stationary?

I am a student studying time series econometric online and looking for help talking around some of the principles. There is one point I am trying to understand better. I've come across some ...
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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 ...
6
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1answer
387 views

Omitted variables in gravity model

I'm trying to construct a gravity model for EU trade flows using a panel dataset, but am suffering from what appears to be a persistent omitted variable problem. My residuals display a queer log-like, ...
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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 ...
1
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1answer
127 views

Endogeneity and Partial effect interpretation of coefficients

Is it possible to preserve the partial effect interpretation of the coefficients/parameters, when in the presence of endogeneity? I don't see how it's possible with the 2SLS... Wooldridge, in his ...
6
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1answer
391 views

Errata for Wooldridge graduate econometrics book

Does anyone know where I can find an errata to the 2nd edition (2010) of «Econometric Analysis of Cross-Section and Panel Data» by Wooldridge? I've tried the accompanying website, but I could not find ...
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1answer
46 views

Which elements to forecast/estimate Oil/Pretroleum derivatives, would you consider?

I mean, if you had to forecast the price or production volumes of polyethylene or polyurethane, for example, which elements would you include to the model, in addition to oil crude prices/volumes? ...
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0answers
97 views

Interpretation of Incidence Rate Ratio for a Poisson Regression With a Non-Binomial Dependent Variable

Well, the name pretty much says it all. I have searched high and low, but I cannot find a concrete answer to the following question(s): How would one interpret the incidence rate ratio for a poisson ...
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 ...
6
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2answers
145 views

Using another person's guess as an IV

In Estimates of the Economic Return to Schooling from a New Sample of Twins by Orley Ashenfelter and Alan Krueger, they correct sampling error with an IV. They claim that their results imply a larger ...
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1answer
1k views

What statistical techniques can be used for measuring price elasticity

I know that linear regression is used for calculating price elasticity. If my objective is to estimate the parameters of a causal relationship, can i use machine learning techniques like Random Forest ...
3
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2answers
140 views

What is the reason why ARIMA(0,1,0) on $y_t$ and ARIMA(0,0,0) on diff($y_t$) are not identical time-series models?

I studied at BA level, that ARIMA(0,1,0) on $y_t$ and ARIMA(0,0,0) on diff($y_t$) are the same models. I am doing the Box–Jenkins model estimation on the historic data of US unemployment rate. My ...
4
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1answer
183 views

Is a hedonic regression a reduced-form?

If house prices are a function of location, physical characteristics and an error term i.e. house_price = f (location, physical, e) And I estimate a regression with the log of house price as my ...
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1answer
348 views

Which regression technique is used for calculating price elasticity in practice

Since we need to consider 'Endogeneity' between price and quantity while calculating price elasticity and since linear regression cannot handle the phenomenon of endogeneity if objective of the model ...
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1answer
221 views

Price Optimization from Data

How can I find the optimal price that maximizes profits, given past sales data? I thought I could do this, but I've been running into problems. Data: ...
1
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1answer
653 views

Price elasticity when relationship between sales, price and other factors is not linear

For commercial deployment, price elasticity is calculated through linear regression which assumes that there is a linear relationship between price and sales. I have a)price and b)social media ratings ...
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3answers
11k views

What does it mean to make an identification assumption?

Trying to understand this problem: Suppose you had access to a dataset that follows individuals from adolescence throughout adulthood. Each year, you observe earnings, educational attainment, ...
3
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2answers
179 views

Forecasting vs econometrics, how is regression used differently?

I have this homework question: Q: Suppose that a marketing company is seeking to identify customers interested in their product. They regress the number of sales in an area on the average ...
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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) ...
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0answers
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 ...
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1answer
44 views

MLE estimation with serially correlated errors

I want to estimate the parameters of $a_t = a_{t-1}+\theta+\epsilon_t$ using MLE. Assume errors $\epsilon_t$ are serially correlated, then how would I choose the likelihood function?
2
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2answers
123 views

How to find price elasticity in the following demand system?

We assume that the logarithmic function of $p_i$ equals the coefficients of the demand equation $w_i$. I have the following demand system: $$ w_{a}=-0.03-0.01 \ \ nk +0.02 \ lcons $$ $$ w_{b}=-0.26-0....
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1answer
3k views

Interpretation of ACF and PACF

First, I am a French student, so forgive me for my English which can be not clear at all. I have to analyze a financial series. I have some difficulties to make the second part of the work which ...
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1answer
45 views

Co-integration in stationary series

I am analysing a time series and all the variables are stationary using augmented Dickey–Fuller test (ADF). Does it make sense to test for co-integration in stationary series?
3
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1answer
125 views

Papers with insignificant results

There are a few papers that I have seen that publish insiginficant results, such as responses (see Easterly's response published in the AER to Burnside and Dollars World Bank paper titled 'Aid, ...
2
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1answer
53 views

Group contamination in Regression Discontinuity

I'm an undergraduate student I have an empirical question regarding Regression Discontinuity and Diff-in-Diff methods. I'm currently evaluating the impact on fertility of a Conditional Cash Transfer ...
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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 ...
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0answers
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). ...
4
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2answers
543 views

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 ...
0
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1answer
148 views

Test: Part-time Workers Effect on Unemployment Rate

I want to test the causality of part-time workers on unemployment rate. Should i use part-time workers as a share of total employment or total labour force? If I run a regression of part-time workers ...
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-...
8
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1answer
4k views

How should one determine the proper number of lags in a time series regression?

I am using time series data in economic model estimation. I want determine proper lag for Error Correcting Model (ECM) model for example. I can check AIC, SC and HQ criterion for determine proper lag. ...
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1answer
683 views

BLP using micro data

I am currious to know if there has been any work of estimating the BLP model with micro data. Could you give me a reference list.
3
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1answer
6k views

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 ...
0
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1answer
61 views

Isolating single campaign effects over a sales series

I'm trying to wrap my head around the concept of advertising effectiveness and hit a wall when I tried to measure the quantitative effect of an advertising campaign on the sales tendency of a business....
11
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4answers
520 views

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 ...
3
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2answers
247 views

How to detect if Ergodicity, Stationarity and Martingale. dif. sequence are satisfied?

I'm not sure, but I think I've read somewhere that because the Classical Linear Regression model assumes to have a random sample, when researchers think they might not be in presence of a sample with ...
6
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2answers
164 views

Are there conventions in economics for coding the distance between states?

I know there are lots of gravity models in economics that take as an input distance between countries. My understanding is distance is typically coded based on the distance between capital cities, ...
2
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1answer
33 views

Ratios to determine company's current purchasing power

what are the parameters which will affect a company ability to buy a new product based on its current financial situation. Is there any metrics or ratios which will tell the current company ...
10
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2answers
4k views

Difference-in-differences in 2SLS regression

Usually when we do a difference-in-differences estimation, we do it in a OLS reduced form as follows: $$ Y_{it}=\alpha After_t+\gamma Treatment_i+\delta After*Treatment_{i,t}+X_{it}\beta+\epsilon_{i,...
4
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1answer
82 views

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, $Y$ = ...
5
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2answers
648 views

Dealing with Missing Data when Testing the CAPM

Question How should I deal with missing data when trying to test the CAPM? Specifically, there are some stocks that are newly listed and/or delisted at any time. I don't want to exclude assets for ...