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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422 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
253 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: ...
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1answer
775 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
16k 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, ...
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2answers
344 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
31 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
150 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
45 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?
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2answers
140 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
50 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?
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1answer
141 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, ...
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1answer
58 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
3k 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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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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2answers
605 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 ...
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1answer
153 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 ...
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0answers
214 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-...
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1answer
5k 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
920 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.
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1answer
8k 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 ...
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1answer
63 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....
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4answers
866 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 ...
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2answers
308 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 ...
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2answers
169 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, ...
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1answer
37 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 ...
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2answers
6k 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,...
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1answer
100 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, $Y$ = ...
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2answers
926 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 ...

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