# 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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### How to classify sample by time-variant index?

In finance paper, we have a famous index representing for law is WGI (World Governance Index). I am wondering how we classify countries by this time-variant index as this paper below. It is easy to ...
658 views

### Why we need at least 40 groups to be properly clustered?

From this discussion, I deem that we need approximately 40 groups for clustering. For example, if we want to clustered by industry, we need at least 40 industries, or if we want to cluster by year, we ...
343 views

### What are the main differences among xtreg, areg, reghdfe?

Normally, when I run regressions for panel data in Stata using these three commands (xtreg,areg, ...
43 views

### When we should use $R^2$ instead of adjusted $R^2$?

Following this topic, adjusted $R^2$ has been widely used to validate the trustable explanation adding of the additional independent variables. I am wondering when we should use $R^2$ instead of ...
113 views

### Why standard errors in country-level variables are higher than that in firm-level variables?

From this dicussion, the commentor said Lastly, firm fixed effects may absorb more variation and likely reduced the size of their standard errors. In practice, I also mainly see that the standard ...
38 views

### What is the "dummy variable trap"?

I saw an interesting Economics post yesterday with the long comment. I post the regression result of the OP here I saw @chan1142 stated that Thanks. I see the _cons row. That's the intercept; the ...
82 views

### Why excluding intercept is dangerous if there is no literature back up in DID setting?

Recently, I run the regression for the generalised DID following this paper: $Y_{it}$ = $\alpha$ + $\beta$ $(Leniency Law)_{kt}$ + $\delta$$X_{ikt} + \theta$$_t$ + $\gamma$$_i +\epsilon$$_{it}$ (1)...
131 views

### A revisit to simple DID and Generalised DID

After a couple of questions being asked, I am curious about the inclusion of Post and Treat variable in a simple DID (two groups two-time period). We mainly know there are mainly two types of DID ...
23 views

### What does "dependent and independent variables only vary at the ($g,t$) level mean?

From de Chaisemartin and D'Haultfoeuille 2020, p.2969 I saw an equation $D_{g,t}$ $=$ $\alpha$ + $\gamma_g$ + $\delta_t$ + $\epsilon_{g,t}$ $D_{g,t}$ is the treatment in group $g$ at period $t$ They ...
696 views

### What is the difference between ATE and ATT?

I saw ATE and ATT in some discussions regarding DID settings recently. ATE is the Average Treatment Effect while ATT is Average Treatment Effects on Treated. I am wondering the difference between ...
95 views

### What are the meanings of "difference-in-differences" and "causal estimand"?

In one discussion, I saw the answer containing two words that I think can be used interchangeably, but I am not sure if it's the case. I simply state in other posts that the "generalized" **...
94 views

### What does "Difference-in-Diffrence" models with heterogeneous effects" mean?

Today, when reading this paper, page 3, I saw a sentence By decomposing the DD estimator into its sources of variation (the 2x2 DD’s) and providing an explicit interpretation of the weights in terms ...
17 views

### can i treat panel data as pooled data?

I'm working with panel data on Stata. However, I want to perform the ROC analysis and for what I know it is way simpler using the "logit" command instead of "xtlogit". Thus, my ...
29 views

### Asking for the exception of unparallel trend in DID testing

When reading this paper, The Common Trends Assuption section, p.457, I saw a paragraph: Researchers, however, must also think carefully about the conceptual reasons for which the common trends ...
64 views

### Why we need to add firm and year relating independent variables in two-way fixed effect model?

From what I know, these terms are very basic in econometrics but I still not yet fully got it. To me, year fixed effect is to control time-variant omitted variables and firm fixed effect is to control ...