ECONOMETRIC THEORY AND APPLICATIONS

RESEARCH ASSIGNMENT 1
ECONOMICS 598
ECONOMETRIC THEORY AND APPLICATIONS
The purpose of this research assignment is to get you to familiarize with various aspects of research. In
this assignment, you will learn techniques that involve: finding data online, preparing data to be read
into Stata, preparing data for analysis (data management), and data analysis. Specifically, we will draw
on a recently published study Workopolis or the Pirate Bay: What Does Google Trends Say about the
Unemployment Rate? by Maryamin Dilmaghani in Journal of Economic Studies, 2019, v. 46, iss. 2, pp.
422-45. The paper has been uploaded to eCLass for those interested in the details. In your submission,
please include the do file, the log file, and an answer sheet. Full points allocated to his assignment: 100.
DATA COLLECTION
1. (10 pts) Collect data on official monthly unadjusted unemployment rate in Canada for those
between 25 and 44 years of age between January 2004 and April 2017. Note that you are welcome
to focus on an alternative series as long as it measures some type of macro measure. Some
alternatives could be consumption, savings, etc. In case you decide to pursue an alternative
outcome of interest and find that time span for which data are available is limited you can still
pursue the topic as long as sample size is sufficiently large – please consult with me. Go to
www5.statcan.gc.ca/cansim/home-accueil?lang=eng and use search engine on the site to find the
appropriate series of interest.
2. (10 pts) Collect data from Google Trends one of the search items in the article by Dilmaghani. For a
list of possibilities see Table 1 on page 430. You can decide on alternative search terms. If you do
so, please add a brief justification for your choice.
DATA MANAGEMENT
3. (10 pts) Using STAT transfer, transfer excel files into Stata files.
4. (10 pts) Merge the two data files in Stata by using command “merge” together with “year month” as
the merging variables.
DATA ANALYSIS
5. (5 points) Use economic theory to justify your choice of Y and X. See referenced paper
above (pages 424 through 427) for help.
6. (5 points) Read the data into Stata and report summary statistics. Briefly comment on what
you observe.
7. (5 pts) Use an appropriate graph to depict the two variables over time. Comment on what you find.
Please include the printout of the graph in your homework submission.
8. (5 pts) Use an appropriate graph to depict relationship between the two variables. Comment on
what you find. Please include the printout of the graph in your homework submission.
9. (5 pts) Get OLS estimates from regression of y (unemployment rate) on x (google trend index).
Provide interpretation for each estimate (constant and the slope coefficient) – be precise.
10. (10 pts) Show that the first three algebraic properties (from our class notes) apply in your data.
11. (5 pts) Create an index variable and add it as an explanatory variable. Briefly explain your approach
as well as your findings. Comment on any change in the baseline and adjusted goodness-of-fit
measures. Comment on any changes in comparison to the estimates in model in (9).
12. (10 pts) Show validity of the Frish-Waugh theorem using the model in (11).
13. (5 pts) Create a variable that will distinguish between observations before and observations
after the great recession (according to NBER, you should choose December, 2007). Check
whether relationship of interest in part (9) changes after recession. Briefly elaborate on
what you find and provide some explanation for your finding.
14. (5 pts) Check whether your key explanatory variable in (9) has a delayed effect on your outcome of
interest. Briefly explain your approach as well as your findings.
the end.

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RESEARCH ASSIGNMENT 1
ECONOMICS 598
ECONOMETRIC THEORY AND APPLICATIONS
The purpose of this research assignment is to get you to familiarize with various aspects of research. In
this assignment, you will learn techniques that involve: finding data online, preparing data to be read
into Stata, preparing data for analysis (data management), and data analysis. Specifically, we will draw
on a recently published study Workopolis or the Pirate Bay: What Does Google Trends Say about the
Unemployment Rate? by Maryamin Dilmaghani in Journal of Economic Studies, 2019, v. 46, iss. 2, pp.
422-45. The paper has been uploaded to eCLass for those interested in the details. In your submission,
please include the do file, the log file, and an answer sheet. Full points allocated to his assignment: 100.
DATA COLLECTION
1. (10 pts) Collect data on official monthly unadjusted unemployment rate in Canada for those
between 25 and 44 years of age between January 2004 and April 2017. Note that you are welcome
to focus on an alternative series as long as it measures some type of macro measure. Some
alternatives could be consumption, savings, etc. In case you decide to pursue an alternative
outcome of interest and find that time span for which data are available is limited you can still
pursue the topic as long as sample size is sufficiently large – please consult with me. Go to
www5.statcan.gc.ca/cansim/home-accueil?lang=eng and use search engine on the site to find the
appropriate series of interest. ECONOMETRIC THEORY AND APPLICATIONS.
2. (10 pts) Collect data from Google Trends one of the search items in the article by Dilmaghani. For a
list of possibilities see Table 1 on page 430. You can decide on alternative search terms. If you do
so, please add a brief justification for your choice. ECONOMETRIC THEORY AND APPLICATIONS.
DATA MANAGEMENT
3. (10 pts) Using STAT transfer, transfer excel files into Stata files.
4. (10 pts) Merge the two data files in Stata by using command “merge” together with “year month” as
the merging variables.
DATA ANALYSIS
5. (5 points) Use economic theory to justify your choice of Y and X. See referenced paper
above (pages 424 through 427) for help.
6. (5 points) Read the data into Stata and report summary statistics. Briefly comment on what
you observe. ECONOMETRIC THEORY AND APPLICATIONS.
7. (5 pts) Use an appropriate graph to depict the two variables over time. Comment on what you find.
Please include the printout of the graph in your homework submission.
8. (5 pts) Use an appropriate graph to depict relationship between the two variables. Comment on
what you find. Please include the printout of the graph in your homework submission.
9. (5 pts) Get OLS estimates from regression of y (unemployment rate) on x (google trend index).
Provide interpretation for each estimate (constant and the slope coefficient) – be precise.
10. (10 pts) Show that the first three algebraic properties (from our class notes) apply in your data.
11. (5 pts) Create an index variable and add it as an explanatory variable. Briefly explain your approach
as well as your findings. Comment on any change in the baseline and adjusted goodness-of-fit
measures. Comment on any changes in comparison to the estimates in model in (9).
12. (10 pts) Show validity of the Frish-Waugh theorem using the model in (11).
13. (5 pts) Create a variable that will distinguish between observations before and observations
after the great recession (according to NBER, you should choose December, 2007). Check
whether relationship of interest in part (9) changes after recession. Briefly elaborate on
what you find and provide some explanation for your finding. ECONOMETRIC THEORY AND APPLICATIONS.
14. (5 pts) Check whether your key explanatory variable in (9) has a delayed effect on your outcome of
interest. Briefly explain your approach as well as your findings.
the end.