Tagged Questions
5
votes
4answers
3k 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 (...
0
votes
1answer
177 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 ...
2
votes
0answers
189 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 ...
1
vote
0answers
78 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, ...
1
vote
0answers
157 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 ...
2
votes
2answers
273 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 ...
1
vote
0answers
255 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 ...
