# 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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### An ambiguous description in Dasgupta, 2019 regarding the coefficients and choosing baseline specification

Regarding the result table of Dasgupta, 2019, table 3, p.2601, where they examine the impact of anticollusion on asset growth However, they describe that The dependent variable is the annual asset ...
655 views

### Why the larger the sample, the lower standard deviation?

I concern about why country-level variables normally have higher standard deviation compared to that in firm-level variables. Today, my senior friend told me that it seems to be because the firm-level ...
638 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 ...
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### Can I test Granger causality in cyclical components?

I want to test Granger causality test in cyclical components of GDP and private credit, obtained with Christiano-Fitzgerald filter in annual growth rates of quarterly data. The main purpose is to find ...
67 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, ...
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### Question on the choice of boundary in the CUSUM test when we make some resampling

Question on the choice of boundary in the CUSUM test when we make some resampling We are considering to make a CUSUM test for some economical time series $𝑋=(𝑥_1,..,x_n)$. Suppose 𝑋 contains many ...
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### Examples of the use of Vector Autoregressive Models

I am self-learning Vector Autoregressive Models currently, and have practiced on a few datasets. But I wanted to read some actual research papers that use VAR, so that I get an idea of the level of ...
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### What is the most important factor in sample selection for time series models?

Is there some convention in sample selection for time series analysis? And what is the most important factor in this regard? I mean, I have seen Kónya, I. (2018) use annual data from 1995–2016 to ...
60 views

### Difference-inDifference model with Discontinued Treatment

I have a situation where I observe two groups A and B for three years. Group A never received any treatment. Whereas group B received treatment in year 2 only. I can estimate the impact of the ...
55 views

### Annual Data and Heteroscedasticity (Engle's ARCH test)

GARCH models are often applied to financial time series (daily, weekly or monthly stock returns). What about lower frequency such as quarterly and annual time series? This could include macroeconomic ...
1k views

### Citing non-economics studies in an economics research paper

I am currently working on a paper in economics that has some dimensions that discuss women's social value. As is the case in developing countries a lot of economic studies do not exist whereas there ...
100 views

### Replicate Blundell and Bond (2000) results using R

I want to replicate Blundell and Bond (2000) Table III in R. I'm using the function pgmm from package plm, which (apparently) ...
38 views

### Percent change vs difference in logs: Which to prefer when forcasting non-stationary series with rare large excursions?

One of the most common ways to convert a non-stationary time series into a stationary one is to take the difference in logs. This is approximately equal to the percentage change for small changes, and ...
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### Diff-in-Diff framework where treatment time is not fixed and multiple treatment group with sub level of treatment

The study is analyze a data for 30 yrs time period with two treatment group denoted T_1 & T_2 and a control group. Treatment ...
33 views

### Should one remove trend from time series before testing for cointegration?

Should one remove trend from time-series before testing for cointegration? I guess no, but I couldn't find any answers yet. Also is it necessary to remove trend before estimating a VAR model if the ...
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### t test and F test are equivalent under single restriction case

In Classic linear regression model, under the single restriction $$y=X\beta +u$$ $$H_0: \beta_j=0$$ If I apply t test, then the t statistic is derived as follows $$\frac{b_j-\beta_j}{s\sqrt{a_{jj}}}$$ ...
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### Is it okay to difference data with different time intervals?

I have a question that is from an old project and that I want to clarify purely for future research. The question is, if you have a time-series that occurs at intermittent intervals, say once ever 4, ...
23 views

### Triple Difference model using Repeated cross-sectional data

I have a repeated cross-sectional data from the Demographic and Health Surveys. And I want to run a triple difference model, along the lines of Yelowitz (1995). My identification strategy is such that ...
79 views

### Show that conditional variance of error in linear probability model is heteroskedastic?

I have a problem that asks me the following: " Consider the linear probability model, in which we specify the regression equation to be linear in X, E(Y |X = x) = Pr(Y = 1|X = x) = x'β We can ...
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### Rule of thumb for confidence level

Typically in statistical software, the default confidence level is 95%. The higher the better, I suppose. But this is still not a rule of thumb, right? In Stock and Watson's paper (https://www.aeaweb....
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### Substitute a continuos variable with a categorical one in Linear regression

I am pretty new to econometrics, and I am thinking about substituting a continuous variable (say assets for a company) with a categorical one containing a number based on which quintile the continuos ...
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### Which econometric test applied here?

I have been reading an article about the Phillips Curve. But I got stuck in a part of econometric analysis. I am not good at econometric. Therefore I need help here. In this link you can read the ...
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### How were unit labor costs estimated by Gali and Gertler (1999)?

I am trying to estimate a NKPC like the one Gali & Gerter, 1999 and Gali &Gerter, 2001 estimated. I am having trouble with understangind how they calculated the marginal cost, i.e., which time ...
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### Impact evaluation of a policy when different individuals adopt the policy at different times

Let there be a policy $T$ which can either be implemented or not implemented by an organisation. Suppose there are $n$ organisations and the outcome variable $Y$. The policy is not centrally imposed- ...
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### What does it mean if the controls in my IV model are correlated with my instrument?

I am seeking to understand what it means for my 2SLS IV model if my controls are correlated with my instrument (such that when I add additional controls to my model that are positively correlated with ...
14 views

### Random Effects Model with Only Time-variant Independent variable

I'm trying to estimate a panel with random effects where the dependent variable depends on time and id; and the independent variable depends only on id. However, the results that I'm getting are ...
207 views

### Dummy Variables in Panel data

I am building a regression model on some panel data of sales and I am rather new to econometrics. I was thinking of introducing some indipendent variables built as Dummy1*Dummy2 . Is this new ...
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### How do I test if a given policy was successful?

I have some data for medical R&D and sales, my professor has asked me to check if a policy implemented in 2016 has made any effects on R&D and R&D/Sales data. I tried to plot growth rates ...
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### law of diminishing marginal returns and regression on the factors of production

Does it make any sense to create an equation with Profit ~ Production factor1 + Production factor1 ^ 2 + Production factor2 + Production factor2 ^ 2 to explain how much the increase of 1 in a company'...