Questions tagged [empirical-methods]

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2
votes
1answer
23 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 ...
0
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1answer
54 views

Are there any papers which used the event study methodology NOT in a financial market context?

I was advised to implement an event study in the context of air pollution levels after an event had happened. Now my problem is, that I can not really find any introductory literature (or papers), ...
1
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1answer
117 views

Converting monthly data to quarterly

I have monthly shock series, which I want to convert to quarterly form. I have seen several methods like taking average of 3 months or summing 3 months for making a quarter. I would like to know how I ...
0
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0answers
56 views

Since Changes-in-Changes model is good, why do people hardly use it

I am a new master student who has just read Athey and Imbens (2006) "Identification and inference in nonlinear difference‐in‐differences models." They introduced the Changes-in-Changes (CIC) ...
7
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1answer
92 views

How to get this Production Function in Growth Rates

I'm struggling to understand how Khan & Reinhart (1990) go from the next production function. $$y=A f(K,L,Z)$$ Where $y$ is the production of the economy, $A$ is a variable which contains the ...
2
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1answer
45 views

Identifying Households in Panel Data

For my thesis, I'm working with a panel dataset that tracks individuals within households. To allow for merging, the dataset provides the household ID in the previous round for each individual. What I'...
2
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0answers
25 views

Methodology of Estimating Economic Costs?

To be specific, I am currently devising an honours thesis proposal to estimate the effects of a lack of competition in consumer electronic repair markets on variables such as firm profits, consumer ...
0
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1answer
24 views

The instrument in "The Colonial Origins of Comparative Development"

I am hoping to understand when an instrument is appropriate. For the purposes of this question, I'm considering a simplied version of the model in AJR (2000): $$\begin{aligned}\text{GDP} &\sim \...
0
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0answers
15 views

Estimating FAVAR model step by step

everyone. I want to estimate an FAVAR model step by step in python to better understand how the algorithm works. Here is my approach, kindly let me know if it makes sense. Step 1: Separate ...
1
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0answers
38 views

How did Bernanke et al obtained IRFs of variables not included in their baseline FAVAR model?

In the original FAVAR paper by Bernanke et al, how did the authors obtain the IRFs of industrial production (IP) and CPI in their baseline model (as shown in figure 1)? Their 'preferred' baseline ...
1
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1answer
83 views

How much can we trust macroeconometric analysis?

I am a student of economics in my masters and I have learned quite a lot about microeconometrics (I mean mainly quasi-experimental methods / causality determination). Here my current understanding is ...
4
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2answers
397 views

How to estimate if goods are complementary or substitutes when one good is always offered for free?

Usually whether two goods are complementary or substitutes can be measured by estimating cross-price elasticity of demand. If cross-price elasticity of demand is negative the two goods are ...
2
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1answer
24 views

Does anybody knows where I should look for a proxy for consumption to estimate a two factor C-CAPM?

Has anybody seen, any textbook recommendation that refers to the proper proxy for consumption. I am trying to estimate a two factor consumption CAPM, namely we I add a second factor apart from ...
1
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1answer
146 views

A question on the accuracy of economic forecasts

I apologise if thi's question appears dumb or boring, but I am asking it as a lay person. The context is that I am always arguing with friends that they should trust the economists view that Bexit (...
1
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2answers
46 views

Name of robustness check where you exclude individuals?

I have a panel dataset and to check the robustness of the results, I'm re-estimating the models with each panel unit excluded once. Does this robustness check habe a particular name?
2
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1answer
249 views

Minimum sample size for cross-sectional RDD

I haven't done a regression discontinuity design (RDD) before. I know it requires a large sample size for identification, thus I fear that my sample size is not large enough. The study is cross-...
3
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3answers
171 views

What is Q in the quantitative theory of money?

I am testing the quantitative theory of money for South Africa. QP = Mv. It is fairly clear what M and P are (broad money, or M1, price index, etc). But I am puzzled with Q. Is it GDP or does it ...
4
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2answers
134 views

Are there economic journals which are keen to publish puzzling empirical observations?

In his book "Patterns of Speculation: A Study in Observational Econophysics"(2002) Bertrand Roehner makes a bold assertion: Physical journals welcome all kinds of experimental observations, ...
3
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0answers
19 views

References for estimating lifetime earnings lost due to caregiving (health economics)

I am working on a project on the productivity costs for caregivers of people with Disease X, a degenerative disease that affects mobility over time. I am looking for references, either scholarly ...
1
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0answers
89 views

Bootstrapping from CPS with weights

I'm using CPS monthly individual data which comes with wtfinl as a float weight. I'm computing some annual statistic for unemployed. I do that by Sum up ...
5
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1answer
1k views

What are main methods for econometrics of Macroeconomics?

I have a background in Finance and have become pretty interested in Macroeconomics as a graduate student. However the time is limited and I want to focus on econometrics part of Macroeconomics. In ...
2
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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 ...
2
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1answer
122 views

Empirical set-up for measuring elasticity with respect to quality in an environment without price

I want to answer the broad question: In the absence of prices, how are decisions made? I have data on the determinants of market share in an environment without prices. So, imagine, person A chooses ...
5
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1answer
56 views

Why are pricing charts treated as continuous series?

I understand that prices are set by actors' offers to buy and sell within the market, however, when analyzing the data it seems to often be treated as though the price is continuously varying like ...
3
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1answer
77 views

How are working hours statistics computed?

In a recent conversation, I was suggested that national working hours aggregates, as provided by bureaus of statistics, are based on surveys on time use. Is that true? Can macro labor data, which is ...
5
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1answer
341 views

Housing Supply Elasticity: Proxy for Exogenous House Price Movements

Mian and Sufi (2014) say We use individual and zip code level data, and exploit cross-sectional variation in house price growth to estimate the impact of rising home values on borrowing and ...
2
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0answers
60 views

ICAPM when assets' mean returns and variance-covariance matrix are not constant over time

The intertemporal capital asset pricing model (ICAPM), under the usual assumptions, produces a multifactor pricing model like the one described in this question. When and how would it be possible to ...