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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Difference between "cohort fixed effects and state fixed effects" and "cohort and state fixed effects"?

This question is based on an earlier question of mine given here i refer to the same paper as above: Card and Krueger (1992) I have understood the rationale for use of "cohort and state fixed ...
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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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DAG for Difference in Difference Studies

I have been looking for DAGs to represent diff-in-diff research designs but did not come across any. How do you represent state/time fixed effects and time-varying effects on a DAG?
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20 views

Interpretation of an Interactive Dummy variable

I have the following regression, where I regress the consumption of gasoline on logarithmic variables. Meaning of the variables is: pnc=price index for cars pg=price index for gasoline, puc=price ...
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1answer
414 views

Serial correlation and clustered correlation in FE and FD estimators

I'm running a regression on panel data, one time with Fixed Effects and one time with First Differences. The estimators are really different (the FE estimator is statistically significant and the FD ...
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At what level should I cluster my standard errors and why?

I have a yearly panel data in which each observation is a pair of monitoring stations (stations measuring water quality in rivers) one located upstream and the other downstream, each station in the ...
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4answers
563 views

P-value hacking

P-value hacking is the "art" of looking at different outcomes and specifications until you get a "false positive", i.e. a p value under, say, 0.05, which only noise and not true under the data ...
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1answer
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Computing expectation of logit error conditional on choice

Consider a standard multinomial logit choice model. A consumer chooses a good $j$ from a choice set $J$ by choosing the good with the highest realized utility where the utility of good $j$ is given by ...
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Infering instrinic product value from historical price-demand data

This question is somewhat vague : Say we have 100 varieties of apples, each sold in exactly one of 100 marketplaces which are identical (in size, customer budgets, preferences etc) and independently ...
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1answer
33 views

Cholesky Identification in Structural VAR

Can you suggest me a framework in macroeconomics or finance where identification of a Structural VAR model through Cholesky ordering is still considered credible (in your opinion)? I'm looking for a ...
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Choosing of an independent variable

I'm working on an estimation of the natural rate and I have as a dependent variable the long term rates and as independent variable the Inflation rate, a dummy variable for the entrance of a country ...
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Consistent estimation of fixed effects

Estimating firm fixed effects is very popular in labor economics. I wonder why this is legit? The estimates shouldn't be consistent, the more firms we have the more parameters we have to estimate.
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Test which functional form that best explains data

Tried asking this on Math Stack Exchange. Got no answer after a week, so trying here. I had this question in an exam lately and I was not sure how to answer it. Now the exam is done, and I can't go ...
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Lasso Double Selection Stata Commands

The Belloni et al. 2014 paper develops the theory of Lasso in post-double selection. There are two commands that appear to me to perform this function: $dsregress$ and $pdslasso$. The $dsregress$ ...
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Where can I find a scientific article that includes cross-sectional data and a multivariate linear regression model?

I need to write a smaller scientific article that consists of the following steps: Find a public database for cross-sectional data (eg data for counties in the same year) Find a scientific article ...
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How can I add distance variable to panel data?

I'm working on a gravity model with a panel data. However, the distance variable for this model is a time-fixed effect so it doesn't seem possible to run the model with it. What can I do to add this ...
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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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What are the values in brackets under the estimators value representing?

Please, can you explain me what are these values in red circles representing?
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Panel estimation coefficient

I'm running both a panel analysis (the first I ever run, to be fair) and a time series analysis over a period of 50 years for twelve countries. In my estimation, one variable has a positive ...
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1answer
64 views

How can I control for trade between UK and Australia in my difference-in-difference trade model?

I am doing a report on whether environmental regulation has an impact on trade, using a difference-in-difference model and seeing whether the EU Industrial Emissions Directive had an effect on UK ...
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Dummy variables are removed when estimating first-differences

I am currently getting ready for Econometrics 1 exam and I have some problems deriving the FD estimator sometimes. Lets say we have a data set with the following observations: $FoodAS_{it}$ = food ...
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1answer
48 views

No statistical significance of the TFP growth

I'm conducting an econometric analysis of the natural rate of interest in the euro-area countries using the following variables: as dependent variable I'm using the long term nominal interest rates (i....
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Identify time vaying variables in VAR

I am having a panel VAR and would like to identify which varaibles remain constant and which vary over time. I have added time varition in the model. I would like to avoid to use bayesian approarch . ...
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What are claims on a central government?

I downloaded some data from the World Bank's World Development Indicators database. I found a time series called Claims on central government, etc (% of GDP) with code ...
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Measuring Aid dependency

I am writing a paper regarding foreign aid dependency, and I would like to classify countries as being aid dependent or independent. Is there any criteria in the literature that can be used to ...
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1answer
54 views

Why when a variable $x$ is small, $\log (1+ x) = x$?

I see a conversation here that @dm63 mention that when Age is small, log(1+Age)=Age I am wondering how can it happen. For example, when saying Age is small, I chose Age =1 or 2 Age =1 => log(1+1)=...
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2answers
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Dynamic panel textbook

which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced. Thanks :)
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How can we choose the appropriate significance level to interpret based on sample sizes?

With the large sample size, I deem that we can somehow interpret the coefficient significant at 10%, but in the small sample size, we normally ignore the 10% significant level. The issue is that, with ...
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1answer
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Why p-value of coefficients of each variable are insignificant but the overall F is significant is a indicator of multicollinearity?

Today I read a document about multicollinearity here. In the first page, the author runs a simple regression that $y = \beta_1x1+ \beta_2x2$ the p-value( or t-statistic) of coefficients of $x1$ and $...
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What is difference between Interrupted Time Series (ITS) and Regression Discontinuity in Time(RDiT) analysis?

Can anyone give some details on the difference between Interrupted Time Series (ITS) and Regression Discontinuity in Time(RDiT) analysis? How to choose between them? which one is more robust? Or some ...
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1answer
50 views

Reference on nonparametric econometrics

I am looking for a fairly recent treatment of non parametric econometric methods. Something which can help me make sense of, for instance Hausman Newey Econometrica 2016 I did find some references on ...
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1answer
83 views

How to predict income n years after graduation using income dataset with age, but not graduation year?

I'm trying to predict the income of graduates of certain Master's programs n years after graduation, using the American Community Survey individual level dataset to calibrate my equation. It gives me ...
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0answers
31 views

How to estimate the impact of college lockdown on students performance?

Some researchers have answered the question in their papers, but I was wondering how one would proceed to estimate the impact of college lockdown on undergrad 1st year students performance, if we ...
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3answers
64 views

When do the sign and magnitude of coefficient of variable of interest matter if it is insignificant?

I am wondering when the sign and magnitude of coefficients of a variable of interest matter if it is statistically insignificant. Normally, I am concerning a coefficient of variable if it is ...
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2answers
103 views

What percentage of utils do the top 1% pay in tax

A commonly cited statistic in American politics is the top 1% of Americans earn 20% of all income, but may 40% of all income taxes. This is measured in dollars, however, and a dollar is worth more to ...
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1answer
49 views

What does chi p(q) mean?

It is a beginner question but I did not find a good explanation so I am asking here. Hope that I received the help from the community. Today I run a joint null test individually like that ...
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50 views

The quadratic form of variance and covariance components

I am reading Kline, Saggio, Solvsten 2020 and am confused about some basic econometric stuffs in this paper. They begin their introduction as below: """ Consider the linear model $$y_{i}...
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What is the reference for excluding a covariate if there is many missing observation?

Normally, I exclude a covariate out of the regression equation if there are many missing observations, let's say it is one-fifth less observation compared to other variables' observations in general (...
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How to justify the result of anticipation effect assumption test?

Regarding Difference-in-Difference, the main assumption is the parallel trend satisfication. Regarding the parallel trend test, just simply prove the joint null test of leads coefficients equalling to ...
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1answer
28 views

Should we test for an anticipation effect in difference-in-differences when a natural event occurs?

Normally, we test for anticipation effects as an assumption when using difference-in-differences. However, it seems that it is necessary for examining the impact of laws on firms' behaviour. For ...
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How to test anticipation effect in Diff-in-Diff following Borusyak, 2021?

In general, two most important assumptions that all Difference-in-Differences must satisfy are "no anticipation effects" and "parallel trend". The parallel trend is tested by ...
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What does no anticipation following Athey, 2021?

From a paper of Athey, 2021, Journal of Econometrics, I saw the assumption of no anticipation effect is Assumption 2: For all units i, all time periods t , and for all adoption dates $\alpha$ , such ...
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1answer
64 views

Cointegration in stock market between different market places

Hi guys im interested in cointegration in stock market between Brazil, USA, London, China, India, Argentina and Hong Kong. Since I want to compare each country’s index to the BR index, how do i do to ...
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STATA date conversion for calculation

I have two data sets, where in data set 2 the date is in following form "Friday, 10th January 2019". In data set 1 the date is given in the form "10 Aug 2019". I want to append ...
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2answers
37 views

intuitively explain the equation of $Var(b_1)$ in OLS model

Above is the capture from the Econometrics slide from "Hill,Griths and Lim (2018) Principles of Econometrics". I have no problem the see the blue font sentence separately, it's all about the ...
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2answers
87 views

What happens if you regress the residuals on the regressor itself? [closed]

Suppose e hat is the OLS residual of a regression of Y on X. If not we regress e hat on X, what would the OLS coefficient be?
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GMM Estimation with HAC Weight Matrix in R

I am currently working on my econometrics assignment regarding a seminal paper of John Taylor (1993) and really got stuck during the last days with one specific question. I am supposed to set up a GMM ...
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11 views

What is the compositional effect in panel data?

The definition of compositional effect is The term “compositional effects” is used here to refer to a range of observations about how using group averages can paint a misleading picture about how ...
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31 views

Using FWL theorem to calculate OLS coefficients (equations) [closed]

I have a model of the following form $Y_i = X_{i1}B_ 1 + X_{i2}B_ 2 + X_{i3}B_ 3 + e_i$ and using Frish-Waugh-Lovell Theorem I need to figure out a way to estimate each of the three beta coefficients. ...
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1answer
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Does money hidden in "Moneyland" (offshore etc) get included in money supply and savings ratio statistics?

The recent Pandora Papers fuss has prompted me to ask a question that has been on my mind for a while. Does money hidden in offshore trusts, nominee companies and the various other Moneyland ...

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