Advanced time-series techniques
cointegration (see Cointegration)
Augmented Dickey–Fuller test, 44–45
Autoregressive conditional heteroskedastic (ARCH) model, 50–51
Autoregressive Distributed Lag (ARDL) model, 39–41
Autoregressive moving average (ARMA) models, 52–53
Blundell-Bond System, 72
Bureau of Economic Analysis (BEA), 72, 105
Centers for Medicare & Medicaid Services (CMS), 106
Checking for balance, 67, 75–77
Choice models, 29
Chow test, 24
Cobb-Douglas production function, 6
Cointegration data analysis, 55–58
error term, 42
unit-root test augmented, 45
critical values, 46
error term, 45
OLS procedure, 46
Constant Returns to Scale (CRTS), 6
Cross sectional dummies, 22–23
Cumulative distribution function, 30
Data issue data processing, 106–107
Data scaling effect, 5
Dickey–Fuller test, 43
constant term, 43
LM test, 44
Differences-in-differences (DD) approach
relaxing DD assumptions, 92
Durable expenditures (DUR), 4
Econometric model, 102
Empirical research paper writing abstract, 100
conclusion, 104
econometric model, 102
estimation method and data, 102–103
Endogeneity
lagged-dependent model, 8
simultaneous equation bias, 9
Foreign direct investment (FDI), 26–27
Fuzzy regression discontinuity (RD), 87–89
Generalized ARCH (GARCH) model, 51–52
Generalized least squares (GLS) estimators, 30, 103
Generalized method of moments (GMM) procedure, 72
Grade point average (GPA), 65
Graduated licensing system, 87
Hausman test, 10
Instrumental variable (IV) estimators, 11–12
Integrated Public Use Microdata Series (IPUMS), 106
Interaction of continuous variables, 25–26
International Monetary Fund (IMF), 106
Lagged-dependent model, 8
Lagrange multiplier (LM) tests, 44
Law of Large Number (LLN), 66–67
Least Squares Dummy Variable (LSDV) technique, 23
Linear probability model, 29–30
Linear spline models, 33
Logarithmic models, 108
Minimum driving age (MDA), 87–88
Modeling issues data scaling effect, 5
nonsample information, 6
Multinomial logit model, 30
Multiplicative dummy variables, 22–23
National Bureau of Economic Research (NBER), 105
Nonlinear models
choice models, 29
continuous variable interaction, 25–26
foreign direct investment, 26–27
linear probability model, 29–30
piecewise and linear spline models, 32–33
probit and logit models, 30–31
Nonsample information, 6, 14–15
Nonstationarity ARDL model, 39–41
Ordinary Least Squares (OLS) procedure, 4, 7, 36, 40, 42, 46–49, 103
Panel Survey of Income Dynamics (PSID), 106
Piecewise-downward approach, 4–5
Pitfalls in empirical research being careless on literature review, 109
failing to ask questions, 109
too complicated model, 110
Quadratic spline regression, 33
Randomized-trial experiments, 66–68
Regression discontinuity (RD) data analyses, 92–94
school system, 83
Tohoku earthquake and tsunami direct damage, 85, 86
emergency events database website, 85
Japanese tourists, 84
multiple-regression inference, 84
Root Mean Square Error (RMSE), 14
Running variable, 85
Scaling the data, 5
Selection bias apple-to-apple comparing process, 63–64
community college vs. university Cobb–Douglas production function, 71
conservative approach, 70
earning by education attainment, 69
earning comparison, 70
new growth model, 71
nonregression approach, 69
selective-group dummies, 75
VIF tests, 72
multiple regression method, 68
randomized-trial experiments, 66
two-student scenario, 65
Selective-group dummy, 73, 75, 77–79
Slope dummy variables cross sectional dummies, 22–23
interaction of qualitative factors, 23–24
time control, 25
two regressions equivalence testing, 24–25
Two-stage least squares (2SLS) estimation
Unit-root tests cointegration test augmented, 45
critical values, 46
error term, 45
OLS procedure, 46
Dickey–Fuller test augmented, 44–45
constant term, 43
LM test, 44
τ-critical values, 44
Variance Inflation Factors (VIF) tests, 72
Vector autoregressive (VAR) model, 46–47
Vector error correction (VEC) model advantages, 47
error term, 49
World Bank (WB), 106
World Trade Organization (WTO), 106
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