# Questions tagged [econometrics]

Econometrics is a field of statistics dealing with applications to economics.

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20 views

### About difference in difference with a lot of zero in outcome variable

Hi I use a difference in difference framework to study the policy effect. My outcome variable has a lot of zero, actually 75% are zero. My question is that how to interpret the aggregate effect based ...
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### Comparing two countries using time series data

I'm considering using time series data to compare Spain's and China's economic performance during various years of economic growth. However, I'm wondering if it's valid to compare them when they ...
1 vote
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### Does reverse causality from Z to Y violate exclusion restriction in IV?

I am estimating the effect of endogenous X on Y using 2SLS estimator with an instrument variable (Z). X: Safety net program participation (binary), designed to increase household income Y: Household ...
1 vote
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### Should I adjust for inflation in a staggereded DiD with money as outcome and if so, how?

This question is currently making my head spin, and I haven't been able to find a discussion on it so far: Suppose I am interested in the effect of an intervention, such as a healthcare reform, on a ...
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### Contrasting Results in Regression Models: Flow vs Stock Variables in Policy Impact Analysis

I am conducting a study to analyze the impact of a specific policy on the number of businesses in each region. The policy was implemented in a staggered manner across different regions, and I'm ...
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### Partial effect interpretation and zero conditional mean assumption

Let's say we have the following population equation. $$y = \beta_{0} + \beta_{1}x_{1} + \beta_{2}x_{2} + u$$ Then to explain the interpretation of $\beta_{1}$ or $\beta_{2}$, we can look at the ...
1 vote
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1 vote
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### Discrepancy in 2SLS Estimation Results

I've been exploring the 2SLS (Two-Stage Least Squares) estimation method to analyze a model involving endogeneity and instrumental variables. To better understand the process, I performed manual ...
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Let's say I have some variable $x_{1}$ and some variable $x_{2}$ and I have the result of $y$ on a specific day/week/month/year. I believe $y$ is a random variable and its result is not very useful. ...
1 vote
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### Estimating treatment effect using panel data and absorbing binary treatment

I have a panel dataset of a large N and T = 24. I want to estimate the effect of a treatment (in this case, taking on a certain type of credit product) on Y which is an individuals credit score. I ...
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### Using residuals to estimate synthetic control weights

I would like to estimate weights using the synthetic control method (SCM), in particular using the synthdid package provided by Arkhangelsky et al. (2021) for R. Since I would like to include time-...
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### Seeking Literature on Triple Difference (DDD) for Heterogeneous Effects in DD Evaluation

I'm currently exploring the use of difference-in-differences (DD) for my evaluation and have estimated my primary DD effects. I'm interested in understanding if there are differentiated effects ...
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### Figuring out if my problem is about a difference-in-differences with a continuous treatment

I am interested to find the causal effects of a state level policy on some outcome of interest. The policy affects some states each year but not other states. The states that are affected can vary ...
1 vote
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### Is there any intuition behind the variance of the multiple linear regression coefficient?

The variance of the coefficients from a multiple linear regression are: $$Var(\beta_k|X) = \sigma^2(X'X)^{-1}$$ The single linear regression formula seems fairly intuitive with the denominator being ...
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### Linear Endogenous treatment effect model

I am investigating the impact of MAC clauses on offer premium and i want to use Linear Endogenous treatment model address endogeneity. The MAC clause is a dummy variable with 1 if there is MAC and 0, ...
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### Causal inference for spatio-temporal panel data with an continuous independent variable varying over time and cross-sections

For a research project, I have spatio-temporal panel data with an continuous independent variable varying over time and cross-sections, i.e. countries. I have recently read this paper by Papadogeorgou ...
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### Conditional expectation for exogeneity

I am reading about ordinary least squares regression, and I came across this assumption called "strict exogeneity", defined such that $\mathbb{E}[\epsilon | X] = 0$ for error $\epsilon$ and ...
Let's assume a three-variable regression model. $$\large Y_i = \beta_1 + \beta_2X_{2i} + \beta_3X_{3i} + u_i$$ Can you derive the formula of covariance given below?  \large var(\hat{\beta_3}) = \...