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I am studying Econometrics on a Masters' level. I have a pretty good grasp of the theoretical aspect of different processes, from dummy variables to time series, stationarity or simultaneous models (etc.).

My problem is I struggle to proceed further. Whenever I try to read a scientific paper and try to replicate their process, so as to understand on a real empirical research level how econometrics are applied, the levels of the papers are much more advanced than the textbooks and I really struggle to understand them.

What I was looking for is if you have any suggestion or list of papers that use econometric methods, the difficulty of which would lie somewhere in between textbook exercises/case studies and very advanced papers.

I know it's a weird request and if you have any other advice it would be more than welcome. I really have difficulty taking my econometrics knowledge a step further.

Thank you in advance!

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This is not a specific reply, but I would suggest to browse the homepages of the American Economic Review or the Journal of Applied Econometrics.

Both journals have required authors to submit replication files of their empirical analyses (which make up most of the output in either journal) for years, so you can see first hand how the findings were produced in Stata, R etc. What is more, many of these articles include "baseline" estimates using simpler techniques such as the ones you mention above to then see if the substantive conclusions hold up when using "fancier" methods. Thus, this might help you make the transition you described.

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