Panel data refers to multi-dimensional data frequently involving measurements over time in econometrics. It is also called longitudinal data in biostatistics.

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Is this an example of Pooled OLS on Panel Data?

I am looking at a study that analyzes the effect of an infrastructure index on infant mortality and child mortality rates. The database has (asset) quintile level data for 47 different countries (from ...
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7 views

Holtz-eakin, Whitney, Rosen Panel VAR

I'm trying to write a bit if R code to run the estimator in "Estimating Vector Autoregressions with Panel Data" Econometrica 56-6 (1988). I'm stuck on equation (3.12) I feel like $Z_{ir}$ and ...
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55 views

Is PCA appropriate for comparing subsets of panel data?

I have a large panel (5000+ subjects, 4 variables over 182 periods), and I've identified particular Granger-causal relationship in a large subset of those subjects (30% or so). I would like to somehow ...
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32 views

How to fit a longitudinal model with binary outcomes

I'd like to fit a longitudinal model for where multiple subjects experience binary outcomes over time. To accomplish that, I'd like to use an additive random effect for each subject and an ...
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28 views

Longitudinal data where individual id is not available

I am associated with a teaching hospital, and medical students are frequently administered tests and measures to monitor their progress. I am not talking about exam results here, but of psychological ...
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16 views

Is there a statistical technique to perform this comparison? How could I do this on Stata?

I've been busy on a work where I have to compare two financial econometrics models on the determinants of financial leverage (panel data). These have only few control variables and the dependent ...
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54 views

Compare coefficients from two separate panel regressions in Stata

I am trying to compare the coefficients of two panel data regressions with the same dependent variable. What I am aiming at is the following: ...
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16 views

What are the statistical implications of assigning treatment and control in time series study under 2 different approaches?

I have a project wherein my group wants to measure the effect of counseling at-risk students on their academic outcomes. There are 1,000 students who will be enrolled during the current academic ...
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18 views

How to apply hurdle models to panel data (using Stata)?

Is it possible to apply hurdle models (like the Craggit, probit and truncated models) to panel data, preferably with fixed effects to control for unobserved heterogeneity? In Stata, the user-written ...
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8 views

How to model my data into a probit

I am beginning my thesis, and I need some advice. I am trying to estimate a probit model. The binary dependent variable is employment status, and the independent variables include network size, age, ...
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16 views

Time Dummies and Time Trend in the same equation

Can we run this regression: $Y_{it} = a + bX_{it} + c_2Time_2 + ... + c_TTime_T + ht + U_{it}$ $i = 1,2,..., N;$ $t = 1,2,3...,T$ Where ​ $Time_T$ are time dummies $t$ is ...
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13 views

how to deal with autocorrelation

My study is related to determinants of corporate liquidity and I am working on eviews. My model gives durbin watson stat value 0.89. after applying fixed effect estimation the value changes to 1.47. ...
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14 views

How to deal with repeated indicator-week combinations in panel data?

I have a panel dataset that contains information on households and their purchases in specific weeks and even minutes of a week. For example, a household would purchase different brands of beer and ...
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24 views

Naïve Random Walk Model as a Benchmark for Predictive Model

I constructed a predictive model for $Y_{i,t+\tau}$ for $\tau=1 to 3$ using panel data with firm and year observations: $Y_{i,t+\tau}=a+bX_{i,t}+e_{i,t+\tau}$ and i'm trying to measure the ...
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13 views

Cross-sectional SUR in R

Is there a package in R that can estimate panel data with cross-sectional seemingly unrelated regression generalized least squares weights (like in EViews)?
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43 views

Practical issues with dynamic panel data modeling

Unfortunately for me, I've got a situation where I need to control for the lag of a dependent variable as a robustness check against an alternative interpretation of my main regression. The baseline ...
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57 views

consequences of lagged dependent variables in panel data and how to deal with it?

I have some elementary problems understanding the consequences of using/adding a lagged dependent variable in my predictive model. I’m trying to predict values $Y_{i,t+\tau}$ for $\tau=1-3$ with: ...
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63 views

F-statistic value is too high for my model

Number of obs = 501 , Method: Fixed-effects regression Number of groups = 101 F( 10, 100) = 3422.31 , Prob > F = 0.0000 , ...
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17 views

Probit regression in R giving singular Hessian matrix

I am trying to run a probit regression using panel data in R by first computing the log likelihood and then using the optim function to optimize. Scale of ...
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15 views

Probit regression in R using panel data - Do we need to normalize the predictors?

I am trying to run a probit regression using panel data by first computing the log likelihood and then using the optim() function to optimize. I have a couple of ...
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1answer
22 views

IV-RE xtoverid testing both IV validity and RE vs FE?

I am running an xtivreg, re and an xtoverid afterwards. My understanding of the help file and what I found online is that ...
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11 views

Aggregate stock return predictive panel analysis

I am trying to run a panel OLS predictive regression on stock returns for 7 countries using 8 macro economic variables. I have already done the simple linear regression analysis that has highlighted ...
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36 views

Aggregating pooled regression outputs in different years

I performed multiple pooled cross-sectional regressions with the same time-intervals (5years) in different years. I'm wondering now on how to aggregate the different regression outputs. Does it make ...
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16 views

Specifying a glmm for panel data

I'm trying to predict counts based on variables sampled on a monthly basis as well as a few that are not related to time. In several places I've read that the MCMCglmm package in R would be ...
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24 views

Dynamic Panel/GMM in R with group:time fixed effects?

Is there a solution coded in R to estimate models of the form $$ y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt} $$ ?? ...
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Methods for measuring snowball effects in a “complete” longitudinal dataset

I'm looking for ways to test for "cumulative advantage" effects in a longitudinal dataset (see image) I guess the data set is principally similar to this: http://www.caldercenter.org/whatis.cfm , ...
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22 views

Standardizing single coefficient in multivariate analysis

I have panel data and for the I have a following equation $$ logY = \beta_1 + \beta_2 logX + \beta_3 m logW $$ Problem is with $\beta_3$ coefficient. Since m is outside the log and it is a very ...
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47 views

Interpreting fixed effects coefficients with categorical independent variables

I am trying to find out if change in marital status have effect on person's health. I am using 2 data points panel data. My question is, how to interpret fixed coefficients if independent variable ...
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16 views

Testing linear contrast in an unbalanced longitudinal design (R)

I'm experiencing some conceptual problems in testing a linear contrast in an unbalanced longitudinal design. I have performed some correlation analysis with brain imaging data. These analysis ...
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23 views

Analysis of repeated treatment design (Linear panel model vs. ANOVA)

General information Assume you have the following quasi-experimental repeated treatment design (T = Treatment, M = Measurement): ...
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14 views

Number of observations in plm package, n, T, N

I am new to R. I am using the plm package to run pooled OLS and Fixed Effect. My data set has 130 countries over 33 years with lots of missing values. My model has ...
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41 views

First Differences and Fixed Effects

I'm aware of the fact that first differences and fixed effects are both designed for the same solution -- removing unobserved unit-level effects. However, I'm unclear on what happens when you include ...
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1answer
39 views

Using first differenced variables in fixed effects model

Deal all, It might be a stupid question but since fixed effects estimator either mean centers the data or uses first differences, is it entirely wrong to take first differences of the data and then ...
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32 views

Creating index from three variables in panel data

I have three variables which I want to combine in one. The obvious choice is factor analysis or principal component analysis but it's not so simple with panel data because it needs means and standard ...
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26 views

Is it possible to cluster standard errors on time variables?

Somewhat weird question: But is it theoretically possible to have panel data (many i, many t) where standard errors are clustered on t?
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83 views

Longitudinal item response theory models in R

I'm trying to fit longitudinal item response theory (IRT) models in R. I have a test that was administered at multiple measurement occasions. I'd like to examine individuals' growth curves of factor ...
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1answer
36 views

How accurate is F test in panel data

I heard that the F-test is to advice you whether to use fixed effects or pooled OLS. However, I didn't find any details about it in books. Only in a very few studies. What is the hypothesis of the ...
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19 views

Mediation analysis with two waves of data in AMOS

Does anyone know the best way of carrying out a mediation analysis when the IV, mediator and DV have all been measured at two time points? I'm wanting to do this using SEM in AMOs.
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1answer
95 views

Analysing regression results

This question is a bit embarrassing, but I do not have much experience of statistical analysis. The problem I have is that the analysis I do of the results in my paper is so meager. My results from a ...
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117 views

What is the correct way to deal with multiple fixed effects when dealing with a large number of observations in panel data regression?

I don't have much experience with panel data so I apologize in advance if this sounds ridiculous. Let's say that I am trying to control for individual and temporal fixed effects when running a panel ...
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9 views

Correlation Matrix in an Event History Analysis - 11 years - 25 Variables

I'm currently writing my thesis, and I received feedback from my professor that i need to show the correlations between all variables during the time span of my research. N: 291 Years: 11 (2000 - ...
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12 views

Cross-validation of panel data

When I perform k-fold cross validation, the observations are selected randomly into each fold. This works fine for cross-sectional data. However, when I have panel data (and fit with hierarchical ...
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67 views

Using pooled OLS when running a model with panel data?

How bad is it to use pooled OLS instead of fixed effects when you have 7 years of panel data? From what I have understood, the risk is that the coefficients will be correlated with the error term, ...
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49 views

Is this longitudinal data too complicated for GLMM or GEE?

After writing this post, I've realized that I am running around in circles, chasing my tail. Any help approaching this problem would be greatly appreciated, as I think I just need to bounce ideas ...
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56 views

Multicollinearity with Interaction (high VIF)

When I check the VIF of my independent variables with the dependent variable, it looks normal and less than 5 but when I add the interaction variables, the VIF increase to 48 for some variables. I ...
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47 views

Estimates from a log-linear regression model

I am estimating a economic growth regressions using dynamic panel data. My specification is as folllows: $$\ln Y_{i,t} = a \ln Y_{i,t-1} + bX_{i,t} + e_{i,t}$$ $Y$ measures income per capita $X$ is ...
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32 views

Factors contained in the unobserved effect?

I try to study differences in health care cost between counties over a several years period, using a fixed effects model. I use a cost measure as dependent variable and have some demographic, ...
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112 views

Regression coefficients with longitudinal data yields different results in R and SAS

I have a question about SAS and R. For a research, I used a longitudinal data and I initially used SAS (GLIMMIX) and then I analyzed the data with R (...
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1answer
39 views

Bias of Panel Generalization of Durbin-Watson

I'm working with an unbalanced panel dataset. (Country-Time) of approximate dimensions H=100 individuals i and average time length over individuals $mean(T_i)\approx7.5$. And about n= 8 regressors ...
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8 views

pgmm fitted.value

I'm running a dynamic panel model with lagged dependent variable, but seems after fitting the model, the fitted value not corresponds log(RPK) estimated: ...