Performing a parallel pre-trend test in universal absorbing treatments in R

Leave a Comment / Econometrics / John M. Riveros

Introduction In a recent paper from the Journal of Research, Innovation and Technologies published last year, there was a significant discussion (Riveros Gavilanes, 2023) about how control variables might be related to the fulfillment of parallel trends in event study (or dynamic differences-in-differences) of panel data. In this article, we will replicate such paper and […]

Performing a parallel pre-trend test in universal absorbing treatments in R Read More »

The black box and econometrics.

Leave a Comment / Econometrics / John M. Riveros

Some of the most popular models used in Data Analysis imply the use of the so-called “Black Box” approach. Regarding the simplest interpretation one can give in this context, it depends on the inputs and outputs that a certain model can deliver in terms of prediction power. If econometrics is thought to estimate population parameters,

The black box and econometrics. Read More »

Panel Data Nonlinear Simultaneous Equation Models with Two-Stage Least Squares using Stata

Leave a Comment / Econometrics / John M. Riveros

In this article, we will follow Woolridge (2002) procedure to estimate a set of equations with nonlinear functional forms for panel data using the two-stage least squares estimator. It has to be mentioned that this topic is quite uncommon and not used a lot in applied econometrics, this is due that instrumenting the nonlinear terms

Panel Data Nonlinear Simultaneous Equation Models with Two-Stage Least Squares using Stata Read More »

Handling structural breaks with logarithms

3 Comments / Econometrics / John M. Riveros

As we saw in other econometric blogs of M&S Research Hub, the use of logarithms constitutes a usual practice in econometrics, not only for the problems that can be derived from overusing them, but also it was mentioned the advantage to reduce the Heteroscedasticity -HT- (Nau, 2019) present in the series of a dataset, and

Handling structural breaks with logarithms Read More »

Taking Logarithms of Growth Rates and Log-based Data.

8 Comments / Econometrics / John M. Riveros

A usual practice while we’re handling economic data, is the use of logarithms, the main idea behind using them is to reduce the Heteroscedasticity -HT- of the data (Nau, 2019). Thus reducing HT, implies reducing the variance of the data. Several times, different authors implement some kind of double logarithm transformation, which is defined as

Taking Logarithms of Growth Rates and Log-based Data. Read More »

The impact of functional form over the normality assumption in the residuals

2 Comments / Econometrics / John M. Riveros

A discussed solution in order to accomplish the normality assumption in regression models relates to the correct specification of a Data Generating Process (Rodríguez Revilla, 2014), the objective here is to demonstrate how functional form might influence the distribution of the residuals in a regression model using ordinary least squares technique. Let’s start with a

The impact of functional form over the normality assumption in the residuals Read More »