# Tagged Questions

23 views

### Panel data: IV with different frequencies

I would like to estimate a standard logit (panel data): $\text{logit}(P(y_{i,t}=1))= \alpha + \beta_1 x^1_{i,t} + \beta_2 x^2_{i,t} +\epsilon_{i,t}$. The problem I am facing, however, is that $x^2$ ...
41 views

### Hausman-Newey test for serial correlation in Poisson with Fixed Effects

The article from Hausman, Hall, and Griliches (1984) "Econometric Models for Count Data with an Application to the Patents-R&D Relationship" has become the canonical example for conditional MLE of ...
208 views

### When is it necessary to include the lag of the dependent variable in a regression model and which lag?

The data we want to use as dependent variable looks like this (it is count data). We fear that since it has a cyclic component and trend structure the regression turns out to be biased somehow. We ...
37 views

### A good primer on how people deal with cluster-wise autocorrelation in mixed models?

The courses that I've taken have been primarily in the economics department, but I've been learning more of stats more broadly recently. One thing that I don't understand well is how exactly people ...
84 views

### Is there a serial autocorrelation test for FGLS-FE fitted with pggls function in R?

a simple question here: is there any AR1 and AR2 test for FGLS-FE fitted with the pggls function of plm package in R? (one example would be the Baltagi-Wu LBI test) Thanks for your attention!
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### Adding a history flag variable to panel data with possible auto-correlation

I have a pretty basic question. A client has given me a data set with tens of thousands of subjects. Each subject has from one to about ten separate records. These records cover successive ...
4k views

### How to perform pooled cross-sectional time series analysis?

For 86 companies and for 103 days, I have collected (i) tweets (variable hbVol) about each company and (ii) pageviews for the corporate wikipedia page (...
202 views

### Lag Selection Modelling 'Pseudo' Panel Data

I have what I would call a pseudo panel, where my dependent variable varies over time and space (regional death counts), but my x variable of interest does not (national wage time series). Basically, ...