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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What does changing the time-frame of the dependent variable tell me?

I have a question concerning a cross sectional regression model. I want to know how to interpret the change in the explanatory variables gathered from a base year (say 2005) when I replace my observed ...
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31 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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8 views

How do you do a power calculation for a 2-phase prevalence survey?

I'm trying to work out what sample size I need to calculate a prevalence rate within certain confidence intervals, using a two-phase design. There is a screener test. Everyone that screens positive ...
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61 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
43 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
79 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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75 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 / ...
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1answer
211 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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137 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
64 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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62 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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89 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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234 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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691 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
68 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
125 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
175 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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16 views

Block factors and covariation

I have a experimental design exam tomorrow, and I was going over the past exam and this question came up. I don't know how to solve this. People who are concerned about their health may prefer ...
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243 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. ...
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1answer
972 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
1k 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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5k 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
247 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 ...
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1answer
607 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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219 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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113 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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213 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 ...
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2answers
403 views

Residual analysis of cross-sectional time-series forecasts

I have forecasts and actuals for panel data (i.e. time-series cross-sectional data). The forecasts are already generated and provided by some source outside of R. I'd like to evaluate the quality of ...
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1answer
322 views

Second moment of draws from a multivariate normal covariance matrix

Suppose I have an $N\times N$ covariance matrix that describes a multivariate normal joint distribution. Now take 100,000 draws of the covariance matrix. I measure the variance of values for each ...
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317 views

Random Forests / adaboost in panel regression setting

Tools such as random forests or adaboost are powerful at solving cross-sectional binary logistic problems or prediction problems where there are many weak learners. But can these tools be adapted to ...
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1answer
58 views

How to model the relationship between number of subjects per group, derived using standard power analysis methods, and study specific parameters

I am interested in estimating how many subjects should be included in a brain imaging study. Although the design is a fairly straight forward cross-sectional comparison, there are a number of ...
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1answer
933 views

Cross-section and fixed effects models

Imagine 2 models: 1 for production, 1 for revenue, have cross-section and time dummies. Is it permissable to use CS in one and time in the other? How do I justify this? F-test for fixed effects is ...