6
votes
Subsampling vs. m out of n bootstrap
You are correct.
The bootstrap samples with replacement while subsampling samples without replacement.
Theoretically, when $m \ll n$, it does not matter if you sample with or without replacement (if ...
- 10.3k
6
votes
Identifying assumption meaning
"Identification" is the most loaded term in econometrics. There are multiple cheap talk equilibria with regard to its meaning. It is used with different intended (but related and overlapping)...
- 2,619
6
votes
Accepted
Seemingly Unrelated Regression Estimation - Equivalent to OLS Standard errors?
Assume that for each observation $i = 1,\ldots, N$, we have $M$ equations:
$$
y_{i,j} = x_{i,j}\beta_j + \varepsilon_{i,j}
$$
Where $i = 1,\ldots, N$ enumerates individuals and and $j = 1,\ldots, M$ ...
- 10.3k
5
votes
Accepted
Bootstrap always valid under asymptotic Normality?
Theorem 2.1 in Horowitz (2019) is what you are looking for
- 384
4
votes
Accepted
What are the meanings of "difference-in-differences" and "causal estimand"?
The difference-in-differences “estimator” is a method used to “estimate” a target parameter of interest. That parameter is also commonly referred to as the causal “estimand” (that which is to be ...
- 439
3
votes
Accepted
Articles on the definition of causality in Economics
As 1muflon1 said, the concept of causality in economics is intertwined with the concept of causality in other sciences, in particular statistic and econometrics, and the concept of probabilistic ...
- 3,332
3
votes
Accepted
Reverse DiD: or using always treated as control
In principle yes, but you would not use 'reverse treatment' but standard terminology. Here just withdrawal of some stimuli is the treatment. That is you would still code the withdrawal as $D=1$.
For ...
- 54.4k
3
votes
Identifying assumption meaning
I think the best way how to explain this is to first quickly explain what identification actually is. As mentioned in this thread:
For example, in the John Stachurski "A Primer in Econometric ...
- 54.4k
2
votes
Skepticism about the claims of instrument variable validity/exclusion through a statistical test—the Arellano-Bond Test
If yes, then how does this square with the general point that
causality/exclusion cannot generally be established with statistical
tests...
It seems to me that "[exogeneity of IV] cannot ...
- 2,619
2
votes
Accepted
How does counterfactual for continuous variables work?
The Neymen-Rubin potential outcomes terminology is is not typically used in economics outside policy evaluation where your policy will be binary.
This being said there are still counterfactuals. For ...
- 54.4k
2
votes
Accepted
Can Difference-in-Difference be used when the treatment effects get smaller with time since treatment?
It depends on a few things. First, if you expect treatment effects change over time, then you want to estimate an event-study style DD specification.
If you have a single treatment timing (all ...
- 384
1
vote
Granger-Sims causality and subtle differences
Let $\mathbf{X}$ be conditionally iid on $\{0,1\}$ with distribution $(P,1-P)$, with $P$ being a nontrivial random variable. Let $Y_t=\limsup_{T\to\infty} T^{-1}\sum_{i=1}^TX_{t-i}$.
Then $\textbf{X}\...
- 11.8k
1
vote
Pooled difference-in-differences with limited panel
Yes, it does. The individual effects will be imprecisely estimated, but those coefficients are not of primary interest.
The assumption you need is strict exogeneity, $E[\epsilon_{i,t}|X_i]=0$, where $...
- 3,458
1
vote
Is matching combined with Diff-in-Diff a bad idea?
Is matching combined with Diff-in-Diff a bad idea?
No.
But, as with anything, it depends on the context. One point to consider is that you should match on pre-treatment characteristics, because ...
- 6,128
1
vote
Is it possible to integrate propensity score (weighting or matching) and synthetic control method?
You can't integrate the two because there is nothing to integrate.
Both approaches are solving similar problems (getting the right counterfactual for causal comparisons) in similar ways (applying ...
- 6,128
1
vote
Diff-in-diff with two control groups: compare parallel trends
Background
The typical thing to do is visually inspect the pre-treatment trends for the control and treatment groups. Whether you want it or not, you might be biased when looking at the visual ...
- 911
1
vote
Diff-in-diff with two control groups: compare parallel trends
I'm not understanding-- could you please talk a little about why both can't be used here? It's been a while since I've really worked with DD, but as far as I'm aware, there's not real metric you can ...
- 129
1
vote
Discussing Difference-in-Difference Assumption of the treatment assigment
The first source you found is correct, parallel trend is not sufficient, you can find the same assumption mentioned in multiple places (e.g here). One of the identifying assumptions of DiD is that:
$$...
- 54.4k
1
vote
Reverse DiD: or using always treated as control
For those interested, there is work on this: Kim, K., & Lee, M. J. (2019). Difference in differences in reverse. Empirical Economics, 57(3), 705-725.
- 1,781
1
vote
Identifying assumption meaning
"Identification" is the professional jargon in econometrics for "asserting that the outputs from an econometric model do indeed estimate what we want and declare that they estimate"...
- 33.4k
Only top scored, non community-wiki answers of a minimum length are eligible