Cross section data is drawn at a single point in time as a sample of many different units from a certain population.

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Autocorrelation for Time-series Crossection data

I am examining whether the market reaction (Y) is influenced by a number of X's variables. My data is gathered per firm at time t. If I understood correctly, this is called Time-series Cross-section ...
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11 views

Ask about measure pretest posttest in different groups

My team members are going to have a blood donation campaign and we would like to see whether the campaign has significant social impact. A group of people will be randomly asked to answer a ...
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14 views

Assessing dependencies

I am looking for a method to assess the dependencies between random variables (cross sectional data). I know that I can use copulas models, but I'd like to see if there are any other alternatives.
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29 views

Test whether cross-sectional dependence in panel data follows known (network/spatial) structure

I want to test whether cross-sectional dependence in one specific variable (y) in panel data format follows a known structure (W) (e.g. network, spatial dependence), after controlling for individual ...
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2answers
93 views

Causal inference from Cross sectional study

As far I know that, causal inference can make for longitudinal study. Is their anyway way to make causal inference from cross sectional study design? If yes, how can I do this? Please share if any ...
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1answer
28 views

Interpreting OLS Cross-Sectional Macro Data

I have the following model: $y=a_0+a_1(x_1/z_1)+a_2(x_2)+e $, where $y$ = the average log of variable y, $x_1$ = the average ratio of $ x_1/z_1 $, $x_2$ = is the averae log of the variable $x_2$. ...
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29 views

Hidden Markov model question; pseudo time series?

I apologize that the title of this question isn't super specific, but I am having a very difficult time exactly and succinctly describing the problem I am facing in my implementation of a hidden ...
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24 views

Can you exclude one country as robustness check in multilevel cross-country model?

I am conducting a multilevel study in which individuals are nested in countries. As a common robustness check in normal linear regressions, we can exclude one or a few countries with special ...
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18 views

How to account for correlation among all observations in my sample?

To illustrate, consider a group of students who take a math exam, but who also cheat during the exam. I wanted to run a regression of whether the students passed the exam (dichotomous dependent ...
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140 views

Analyzing Independently Pooled Cross Sectional data (TIme series)

I am new with time-series data analysis. It seems that there is some confusion in terminology (Panel, and time-series cross-sectional). But my question is general in nature. How do I analyze a ...
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37 views

Selection model with cross-sectional data(limited sample), make any sense?

To my understand, when someone using the selection model, he make sense just when he properly mimic agent's choice behavior using agent's current characteristics, even in a reduced form. It's not a ...
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50 views

can individuals resampled in reoccurring cross section surveys be considered as panel dataset?

I have data from a reoccurring cross sectional firm survey, For every year a new sample was selected ( with replacement between years). The data is identified, so I can see the subset of firms appear ...
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62 views

Is there any difference between pooled cross section and pseudo panel data?

I have a 17 years (1997 - 2014) of data from independents surveys. It's a large dataset (with around 1.2 million observations), which I'm using to measure the effect of distance on unemployment ...
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42 views

Excluding Outliers and Influential Observations ($R^2$ and AIC/BIC)

I am working on a cross-sectional data set relating mortgage payments to debt-income ratios. I have some extreme outliers and experimented with excluding them from the model (some 30 observations of a ...
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2answers
115 views

What to call exponentiated coefficients from a Poisson/negative binomial regression of cross-sectional data

In epidemiology, exponentiated coefficients are often reported as odds ratios, relative risks/ incidence rate ratios or hazard ratios. In the analysis of cross-sectional data using Poisson/negative ...
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1answer
109 views

Avoiding spurious regression with cross-sectional data

I have been reading everything I can get my hands on about spurious regression but can't seem to definitively find out what is best in regressing cross-sectional data including non-stationary ...
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1answer
54 views

type of study and sample size

I'm a medical student and for my thesis I'll study some features of the retina in patients in neurodegenerative disorders (Parkinson, Alzheimer) compared with controls. We are not going to make a ...
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14 views

probability life similarities in a population cross section

I have just read up on Bouchard's Minnesota Twins study that turned up some amazing identical similarities in the lives of some identical twins reared apart. Both had same jobs, married and divorced ...
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30 views

How many random intercepts to use?

I'm worried about the correct use of two or more random intercepts in a simple mixed logit model with a random effect and fixed effect (random intercepts model). $$Y_{ij} = a_i + B X_{ij} + e_{ij}$$ ...
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19 views

References for crossed random effects

Could you recommend some examples of published articles that used general mixed-models or glmer() function with only crossed random effects and no random slopes. Using glmer function, the model will ...
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1answer
259 views

Time Series Cross Sectional Analysis and Forecasting With R

cty time tl Argentina 2009_Q4 3 Argentina 2010_Q1 2 Argentina 2010_Q2 7 Argentina 2010_Q3 7 Argentina 2010_Q4 10 Argentina 2011_Q1 7 Argentina 2011_Q2 7 Argentina ...
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1answer
39 views

Help with determining model for cross-sectional data where all variables are dummies

I am currently working on my dissertation project where my data are essentially all dummies. From my dependent to my independent variables, everything is a dummy variable (0,1), at least for the ...
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12 views

How to test multiple group mean different than unconditonal mean using regression?

Let's say we have N apples from multiple vendors (A, B, C, D) and want to test if mean weight of each vendor group different than unconditional mean weight. I know I can use cross sectional dummy ...
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101 views

Cross-Section Dummy Variables in a Logistic Regression

first of all - I am not really into regression analysis (I have performed some linear regressions) and my statistic/econometric skills are more or less elementary. I have panel data (several ...
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1answer
149 views

Interpreting transformed dependent and independent variables [duplicate]

How would I interpret a transformed dependent variable (4th root) with some of its predictor variables transformed as well? In our study, we transformed our dependent variable to 4th root, ...
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167 views

Interpreting coefficients of Regression Model (Mincer Model)

Hi all, I am an undergraduate student who is currently doing an assignment. I am now facing a few problems which are:- 1) Age is usually a positive return to wage, but in my regression output, ...
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73 views

Cross correlation in Stata

I have a cross sectional dataset of investment figures (in $) and a set of dependent variables. The data relates to various years (2000-2013). More than one investment is included in the dataset for ...
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85 views

Error in variables problem and maximum likelihood estimation in R

I am estimating cross-sectional regressions - fragment: lm(rate~liqamih.log+cap.log+F1+F2, data=x) of the R code listed below. F1 and F2 are the coefficients estimates of time series model. In ...
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1answer
80 views

Accounting for post-intervention bias following propensity matching

Using a large, cross-sectional survey of victims of violence, I am interested in testing the effect of alcohol intoxication (let's call it the 'treatment') on victims' subjective rating of the ...
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1answer
252 views

How do you specify a binary time-series-cross-section model in lme4?

I have a standard binary time-series–cross-section (BTSCS) model that I would like to specify as a mixed effects model using the lme4 package. I've read elsewhere that time-series–cross-section (TSCS) ...
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2answers
204 views

Why is using cross-sectional data to infer / predict longitudinal changes a Bad Thing?

I'm looking for a paper which I hope exists, but don't know if it does. It could be a set of case studies, and / or an argument from probability theory, about why using cross-sectional data to infer / ...
2
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1answer
854 views

Shanken (1992) correction for t-statistics

I have done a cross-sectional regression of time-series average returns on estimated Betas (over the same time horizon) to determine average premiums. So far so good. But I was told that the standard ...
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295 views

What does “Fama-MacBeth logit regressions” mean?

On page 10 of this paper the author states that In this section, I use monthly Fama and MacBeth (1973) logit regression [...] to examine the type of forecast. My question(s) are: what does ...
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1answer
105 views

Inconsistent results using Bayesian Model Averaging for model selection?

I have attempted to use Bayesian Model Averaging (BMA) as method to give guidance in the decision to include/omit factors in the linear factor stock return model: $$r^i = X \beta^{i} + \epsilon^{i} ...
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152 views

How to set-up a cross-sectional regression with common shocks?

Let's assume we have a response vector $y$ with "n" observations, and two predictors $X_1$ and $X_2$. Let's take an example: Let y be the crime rate in 48 states, and $X_1$ = National GDP rate, $X_2$ ...
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107 views

Odd shift of statistical significance when some variables are dropped from model

I am testing the statistical significance of some explanatory variables in a factor model, using the Fama-MacBeth two-pass regression (also known as the Cross-Sectional Approach). Assuming my ...
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489 views

DIDM Matching with Difference-in-difference using cross-sectional data

I need to know how can I combine in stata the DID (difference-in-difference) model with the PSM (Propensity score matching) with cross-sectional data. I had searched and there are tones of answers ...
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1answer
4k views

If you run OLS regression on cross sectional data, should you test for autocorrelation in residuals?

I have a set of observations, independent of time. I am wondering whether I should run any autocorrelation tests? It seems to me that it makes no sense, since there's no time component in my data. ...
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2answers
116 views

Fixed effect insignicant results

Currently iam working on my master thesis which is about risk adjusted returns in the Asia Pacific REIT market. The goal of the paper is to determine/find variables that conceive explanatory power ...
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1answer
257 views

Cross-sectional analysis using longtitudinal data, what is the best method?

I have a small problem regarding the fact of doing a cross sectional analysis using a longitudinal data set. I have a set of countries (87 countries), with different observations measured in different ...
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2answers
413 views

Can longitudinal and cross-sectional studies be “controlled”?

I have heard it said that longitudinal and cross-sectional studies are forms of observational studies. Why can't longitudinal and cross-sectional studies be considered "controlled studies"? By ...
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479 views

Analysis of survival data using binomial GLM with offset

We are interested in determining whether there's an association between frequency of screening visits and cancer outcomes and whether that differs by race. We have Medicare data to analyze this. ...
2
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1answer
1k views

Newey-West standard errors with cross-sectional OLS?

Consider the cross sectional: $Y_i = a + b X_i + e_i$ where I have reason to believe that $E[e_j e_k] \not= 0$ for a concerning number of $j\not= k$. What happens if I use a serial correlation ...
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1answer
5k views

What is cross section in “cross section of stock return”?

Can somebody give the definition of cross section in "cross section of stock return"? Thanks
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8k 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 (...
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1answer
461 views

Performing a GLS cross-sectional regression using R

Is there a function in R that could perform GLS cross-sectional regression for multiple cases all at once? For example, when regressing stock returns over beta for 100 stocks over a 10-year time ...
3
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2answers
1k views

Validity of pseudo-panel data constructed from repeated cross sectional data as a panel data

I am looking at the repeated cross-sectional data from federal reserves, which has both panel data and repeated cross sectional data at different time-points,e.g. 2007-2009 is a panel while 2010 is a ...
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245 views

Advice needed on cross-sectional time-series with two levels

As more and more data (e.g., Census, health, labor) becomes available with outcomes at the household-level on randomly selected households each year (or every other year) that can be paired with ...
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153 views

Modern and practical methods for forecasting time series cross section data

I have a data array $X$ which is of size $T \times N \times K$, where $T = 1500$, $N = 1500$ and $K = 10$. Physically, the 1st index $1, 2, \ldots, T$ denotes days, while the 2nd index $1, 2, ...
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264 views

Checking a panel unit root test in R done manually

I have spent much time looking for a special package that could run the Pesaran(2007) unit root test (which assumes cross-sectional dependence unlike most others) and I have found none. So, I decided ...