Questions tagged [econometrics]

Econometrics is the application of statistical methods to economic data for various purposes such as of testing hypotheses, infering causal relationships and forecasting future trends. Only use this tag for questions relating to the theoretical aspect of an econometric technique.

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DSGE: Difference between Goods Market Clearing Condition and Resources Constraint

I’m currently reading about DSGE models and I’m little bit confused about the difference between the resources constraint and the goods market clearing condition. Are they the same? If not, how is ...
Goldman Clarck's user avatar
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How is the tax gap estimated?

I am looking at various definition of the tax gap. For instance the IRS: "The gross tax gap is the difference between true tax liability for a given tax year and the amount that is paid on time&...
pinpon's user avatar
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Errors in variable, statistics/econometrics, measurement error

I didn't understand the deduction involving Plim. Why do the Plim of the terms on the left translate as variance in the first two cases? here is the continuation of the print. were i have the question
badanomics's user avatar
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131 views

Regression Discontinuity in Time (RDiT)

Is it correct to specify an RD model where time is the running variable but the data is not measured at the time the running variable is referencing to? Let's say I want to estimate the impact of a ...
GuestUser's user avatar
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Running vector autoregressions with non-stationary data

I am reading Diego Kaenzig "The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements". I have a question about the baseline specification and in particular the ...
SandPadres's user avatar
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Econometrics especially with regard to OLS estimators!

I am solving a problem below and also having a hard time. Could you give me a help me with it? Which of the following can cause OLS estimators to be biased? Which of the following do not cause the ...
berrystraw's user avatar
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Econ literature recommendations on Health Policy Evaluation

I am writing a methodological paper on public policy evaluation in the context of child health outcomes. Particularly in Africa, multiple policies are launched simultaneously trying to improve child ...
Lorien's user avatar
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2 votes
1 answer
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Which sample size would be best to investigate effects of War in Ukraine on volatility of stock prices using GARCH models?

I am planning to investigate the effect of the war in Ukraine on the stock market prices by including in a GARCH model a dummy identifying the burst of the war. I am wondering if I should strictly use ...
Gian's user avatar
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Relationship between Urbanization and GHG Emissions

I built a model to measure the impact of population, wealth, technology and urbanization on greenhouse gas emissions (as measured by $N_2O$ emissions) in my country, following the STIRPAT framework, ...
Saïd Maanan's user avatar
3 votes
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Is it possible to run a regression discontinuity design (RDD) with different treatment intensities?

My question arises from an arbitrary assignment rule which gives monetary transfers to cities in Colombia with a population of less than 25,000 inhabitants. However, the transfer varies between cities ...
Luis Felipe Gaviria's user avatar
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How is QoQ and YoY inflation calculated from data in the table below

I am confused about reference point for both QoQ and YoY. Is for Q1 is it (Q1 - 0)/0 * 100?
Aka Lama's user avatar
1 vote
1 answer
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Free representative datasets that I can use to provide examples of econometrics

I have been writing some lecture notes about basic concepts of econometrics for a group of engineers. I would like to use free data sources where I could use without a specific permission but only ...
DanielTheRocketMan's user avatar
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1 answer
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Appropriate niveau of econometric model for bachelor thesis

I am writing my bachelorthesis on "Is Bitcoin under theoretical and empirical aspects money?". As you can see I have an econometrics related part in my thesis. I want to look at the classic ...
BlankerHans's user avatar
3 votes
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39 views

Do t-stats created with robust standard errors follow a t-distribution in finite samples?

I am creating econometrics notes and proved that, with normally distributed errors, homoskedasticity, and no serial correlation, t-stats based on baseline OLS standard errors do in fact follow a t-...
Michael Gmeiner's user avatar
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Johansen Test Results: highest eigenvalues equal to 0, lower higher than 0

Suppose that we perfrom a Johansen test over three I(1) variables that give us these results through the maximum eigenvalues statistic: as you can see, we accept the null hypothesis in the first step,...
Mauro's user avatar
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Measuring value added per capita technique (Macroeconomics)

I am reading this paper, and in the methods section, the authors define manufacturing value added per capita as, "For example, manufacturing value added per capita is equivalent to manufacturing ...
maldini1990's user avatar
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Greene's Econometric Analysis (8th edition), Table 6.12, p.233

I tried, but without success so far, to reproduce Greenes' empirical results using his gasoline data available at: https://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm You will find the R-...
Bertrand's user avatar
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Research in Applications of Machine Learning Techniques to Economics

I am a new graduate student in economics, and my advisor has recently focused on applying machine learning techniques to economics. It seems natural for me to take up this area, but I heard the rumors ...
zyy's user avatar
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Solve long run production function of a firm using technical rate of substitution

I don't understand the solution to a question which deals with the long run production function of a firm. The question is: Suppose a firm has a production function $f(x_1, x_1) = x_1^{0.5}x_2^{0.5}$, ...
juliusphysics's user avatar
2 votes
1 answer
188 views

How to read this regression table?

The image is from Abhijit Banerjee's Legacy of Colonial Land Tenure Systems
Nemi's user avatar
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How do I set up a staggered difference-in-differences design in R?

I have data which looks like this: ...
econdid's user avatar
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Confusion in and Justification for calculating propensity score for unit-level

Propensity Matching Score has been used widely, however, the way to match firm by firm in PSM in panel data still a mysterious to me. Background: Using pre-treatment covariates to match Problem: Any ...
Phil Nguyen's user avatar
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Should we matching propensity score for whole sample or only pre-event?

When doing propensity matching score (PSM), for the frther analysis in Difference-in-Differences, there is a question about whether we should match characteristics of firms before event date or we ...
Phil Nguyen's user avatar
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3 votes
1 answer
424 views

How to deal with "outcome does not vary in any group" when dealing with xtlogit

In my case, I am finding pscore for doing PSM. To get there, I need to run the logistic regression to get the pscore.In my setting, I have 7 countries, all firms in country A have the "treatment&...
Phil Nguyen's user avatar
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What is the difference between these two regression formulations?

I am trying to look at the impact of flooding risk on property values. I am using a repeated sales method for property transactions to control for time invariant characterestics. Assume I control for ...
MathNoob205's user avatar
2 votes
1 answer
58 views

Panel data with Sector year fixed effects on R

I am trying to replicate the following econometric equation from the paper "How do french manufacturing firms react to Energy shocks ?" s denotes sectors,i denotes firms, and t denotes year....
BAL's user avatar
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1 answer
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Trying to figure out multiple regression analysis progressive taxation

I am trying to figure out how to run a multiple regression analysis with gini index as the dependent variable. Originally I planned to use top income tax rates (individual and corporate) as ...
JewJitsu11B's user avatar
2 votes
0 answers
87 views

Regression OLS estimator with $x_t=1/t$

I found some questions in a book and wanted to train for my upcoming exam (expect to see some more posts from me idk), anyhow this is the question. To solve point A I rewrote the whole equation in ...
Blipo's user avatar
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1 vote
1 answer
56 views

What is the difference between fixed effect regression and (panel) fixed effect regression?

What's the difference between fixed effect regression and (panel) fixed effect regression?
desi arthshastri's user avatar
2 votes
2 answers
247 views

How to correct selection bias in an econometric analysis?

We know that selection bias occurs when the treatment and control groups are not comparable, leading to differences in the outcome that are not solely due to the treatment. How does one address the ...
funcard's user avatar
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0 answers
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How to estimate staggered difference in difference with continuous treatment?

I want to estimate a staggered difference in difference with continuous treatment. The data looks something like this: $$ \begin{array}{ccc} Individual & year & CT_{i,t} \\ \hline 1 & ...
TeTs's user avatar
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The derivation of the distribution of F-statistics in Hansen's textbook

In Hansen's Econometrics textbook chapter 5 on normal regression model, he claims that $$\textbf{e}'(\textbf{M}_1 - \textbf{M})\textbf{e} \sim \chi^2_q$$. How to derive this result?
Mondayisgood's user avatar
2 votes
1 answer
76 views

Confusing in explanation of results of t-test

When reading a paper of Fan, 2021, I found two things that I feel it is strange They conducted a t-test and they argue the results as below Simply speaking, Econ, Soci, Ecol, and Util are four ...
Phil Nguyen's user avatar
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0 votes
1 answer
36 views

Assumptions of Logistic Regression Cathegorical predictors only

I have a logit model predicting the outcome 1 or 0. My predictors are sociodemographics such as gender, income - intervals into categories like a: 1000-5000 usd, b:5000-15000 usd. etc, having a car, ...
vojta9's user avatar
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1 vote
0 answers
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Is there anyway to conduct propensity matching score (by using psmatch2 or teffects psmatch) for panel data?

I am trying to do PSM then DiD for panel data. However, when searching online, I mostly see the example for cross-sectional data using psmatch2 or teffects psmatch. I used to proposed to my professors ...
Phil Nguyen's user avatar
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1 vote
1 answer
37 views

Results Chi square test vs binomial logit

my data looks like this: I have two groups of people - Students and the elderly. 59 out of 266 students said "YES" 23 out of 127 elderly people said "YES" The rest said "no&...
vojta9's user avatar
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1 vote
0 answers
15 views

Estimating Share Coefficients of Utility Function for a Calibrated CGE

Been reading The Textbook of Computable General Equilibrium (CGE) by Hosoe et al as a bit of side interest later in life. Much of the book (and the CGE set-up generally) obviously follows naturally ...
EB3112's user avatar
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1 vote
1 answer
192 views

When should I NOT control for unit-fixed effects?

I see most of the applied econometrics papers using the two-way fixed effects model, controlling for time and units fixed effects, so: $$y_{it}=\alpha_{i}+ \gamma_{t} +\beta x_{it} +\epsilon_{it}$$ I ...
Oalvinegro's user avatar
2 votes
0 answers
54 views

Time series question from book (ma)

I'm trying to understand this subject and I'm stuck in a question found in a book. I understand white noise characterization, but I'm having some problems with this... maybe it's too much theory? I ...
Blipo's user avatar
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2 votes
1 answer
54 views

Is it possible to integrate propensity score (weighting or matching) and synthetic control method?

I apologise in advance because I'm obviously new both to causal inference and to this community. I would like to estimate the impact of a treatment on firms' behavior. I'm considering using the ...
ansk's user avatar
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1 vote
1 answer
53 views

The definition of control variables

My professor provided the following when introducing control variables Suppose we have the causal model Y = Beta_0 + Beta_1*D + U Suppose E[UD] not 0 then, if we have extra observable characteristics ...
Nick's user avatar
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5 votes
1 answer
71 views

IV Regression with More Observations for First Stage than Second Stage

This is a very basic question, but I need help. Imagine I have a dataset for variables y, x, and z. I am running an instrumental variable regression such that y is my main outcome variable. So I am ...
Student in need's user avatar
2 votes
0 answers
49 views

How do we choose appropriate moment conditions for GMM estimation?

In certain conditions, especially with just-identified models, the appropriate moment conditions are in some sense obvious. This is the case, for instance, when we recover parameters from the linear ...
Yashaswi Mohanty's user avatar
3 votes
1 answer
74 views

Misspecification bias

I'm thinking about the following problem: Suppose we have the equation that describes the true beta parameter for $y^{*}$ $$z=\beta_{0}+\beta_{1}y^{*}+\epsilon$$ But instead, we only can only use $y$ ...
Martin 's user avatar
1 vote
1 answer
54 views

How to construct an actual instrument?

I was taught in my first econometrics course that if I have a model $y_i = \beta_0 + \beta_1 X_i + \epsilon_i$, but it had an endogeneity problem, i.e. $E(\epsilon_i | X_i) \neq 0$, I could solve it ...
Nicolas Torres's user avatar
2 votes
0 answers
40 views

Examples of instrumental variables for business problems (not rainfall!)

I have been learning about IV as a non-economist and I think I understand the examples I've seen which used rainfall as an IV for modeling the sales of crops or fish at an outdoor market. However, for ...
Arthur's user avatar
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2 votes
1 answer
66 views

Which covariates can I include in my fixed-effects regression?

I am doing a difference-in-difference analysis of an event that affected several states in the US. I am interested to understand the effects of this event on state-level unemployment rates. I have ...
funcard's user avatar
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0 votes
1 answer
80 views

The Interpretation of the VAR Impulse Response Functions

When you output IRFs to a monetary shock using a VAR, are IRFs to one standard deviation monetary shock just differences between path of y with a one-time shock and and path of y without the shock? ...
EHMJ's user avatar
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1 vote
0 answers
29 views

Short vs. long horizon event studies?

I am studying the impact of announcements by a Central Bank on a stock's returns. To measure these impacts, I employ an event study (where my event window is 10 days and my estimation window is 60 ...
angelavtc's user avatar
1 vote
1 answer
127 views

Can I use negative binomial regression to estimate amount of money type data?

I know that the negative binomial regression is for count variables - can the amount of money be considered as count data? There is a paper on which I have to extend upon, where the authors are ...
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