The panel-data tag has no wiki summary.
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Subsetting panel data by time
Let's say I have balanced panel data, with 30 units across 30 years, and I am interested in the effect (non-causal) of variable X on variable Y.
At least within the econometrics literature, the ...
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1answer
40 views
Is it required for panel data to use dummy variables?
I am doing a research considering seven countries and I have panel data. My question is: do I need to include dummy variables every time I use panel data in regression, or is enough to do it as a ...
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43 views
Which model for panel data with dependent variables from [0,1]?
I'm stuck with a regression modeling problem. I have panel data where the dependent variable is a probability. Below is an excerpt from my data. The complete panel covers more countries and years, ...
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22 views
Measuring Diversity - Blau's Index + Adding Weighting
I would like to use Blau's Diversity Index for the following Data:
Functional Diversity in Partners (based on 4 functions = 4 categories)
Industry Diversity in Partners (based on SIC codes & 5 ...
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1answer
54 views
Unique time variable Panel Regression Fixed effect
Currently I am working on my master this which is about risk-adjusted returns (Sharpe ratio) of Asian REITs. I just transformed all the data in variables which are ready to use in STATA.
My data ...
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30 views
R Packages for Panel GARCH?
Are there any packages that let me estimate panel GARCH models in R?
I have looked extensively in Google but have not found anything.
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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 ...
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36 views
How to test a mediation model in panel data?
I have a research design with a mediation effect between 3 variables over a period of 5 years (panel data). And I would appreciate it if you can provide advice for analysis.
the independent variable ...
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18 views
Consequences of non-stationarity on panel regression estimates
What are the consequences of including a non-stationary variable on a panel regression's slope estimates and their standard error estimates?
I am thinking of both Pooled OLS and Entity Fixed Effects. ...
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29 views
R pcse package — unbalanced panel
I'd like to know if someone could help me solving a problem I've been having with R's pcse package.
I'm using an unbalanced panel and, after running the following ...
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0answers
19 views
Entitity fixed effects causes a coefficient to change sign
I am running a panel model with 5 variables that are all statistically significant. As I go from Pooled OLS to Entity Fixed Effects, all variables remain significant, but one of them changes sign from ...
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53 views
Extracting fixed effects in System GMM (xtabond2), Stata?
In fixed effect, you can use the option "predict u" to see the fixed effects. But it is not possible in System GMM in xtabond2... Somebody can help me?
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How to constrain parameters in reression models in STATA? [migrated]
I am looking for a way to impose constraints on some of the parameters in a regression model in STATA. More specifically, it is a FE panel data model estimated with XTREG. I have searched the ...
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1answer
72 views
Testing for weak instruments in panel data
Suppose I have hierarchical data such as students clustered into classrooms. I want to use a two stage least squares regression with an instrument that affects students at the classroom level to test ...
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0answers
49 views
Interpretation of Translog regression
I'm a beginner in R and Im wondering how to interprete my results.....
My question is about the results that I got after I did a regression on the Translog production function for panel data:
$ ...
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0answers
26 views
Question about the relevance of random effects in the big panel-data context
In general, or at least as I know, the "estimation" of random effects does control for the individual/group/... specific variation.
Hence by controlling for this variation by a random intercept- or ...
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1answer
153 views
Interpretation of fixed effect model (panel data)
I am doing a work to school in which I have to analyze effect of expenditure for research and development on Gini index. I have Panel data and when I do Fixed effect model, I have problem with ...
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64 views
Regression with a ordinal scale dependent variable in the context of panel data
In my panel data I observe a quite large amount of different individuals for a fixed time duration. The time axis is fixed for every individual, i.e., I observe 20 time points for every individual.
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1answer
79 views
Which statistical technique to use
I would like to compare group means among 4 groups and analyse changes in their characteristics over time. I have a panel data set which is unbalanced. My sample sizes are not equal and therefore ...
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xtlogit: panel data transformation's recast to double makes model incomputable (STATA)
I am experiencing a very peculiar problem in STATA. I have a panel dataset with 8000 groups and 4 million observations. I want to run a fixed effects panel binary logistic regression (xtlogit).
As ...
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2answers
620 views
Binary panel logistic regression (xtlogit fixed effects) is not converging in STATA, how to resolve?
I have a panel dataset with a sample of 800 groups, each having between 200-500 observations. The data looks like this:
The dependent variable is binomial: ...
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1answer
117 views
Analyzing changes in a repeated categorical measure
I am trying to analyze why some individuals change their response to a categorical survey item Y between time T1 and T2, given some explanatory variables X1 and X2
Specifically, the data looks like ...
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1answer
78 views
Issues when using interaction term with a lagged variable in R
Today I tried to estimate models using both plm and pgmm functions in the plm R package, with an interaction between ...
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58 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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101 views
Understanding Durbin-Watson in Panel Data
What is the real meaning of D-W stat. in a panel data? Does it matter if I don't report it in my paper?
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115 views
What to do when no combination of instruments pass Sargan test in Arellano-Bond / GMM models?
I am facing the following issue in my Arellano-Bond models: no matter how I specify the models and no matter which instruments I chose, model never pass Sargan test.
So my theoretical question on ...
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49 views
How to compare Arellano-Bond models?
I want to compare different Arellano-Bond models, but I don't know exactly how to do it and which statistics to consider. For instance, should I compare $\chi^2$ of Sargan tests? What other options ...
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65 views
How to deal with two time factors in panel data modelling using PLM package in R?
We have question regarding the analysis of panel data in R (plm) which was observed over two time scales.
As way of a background, we have completed an economic experiment with a group of 6-8 ...
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1answer
223 views
Can I apply multiple regression analysis on panel data?
I have total 19 banks with five years data, comprising 95 observations total. I have 5 independent variables and 1 dependent variable. Can i apply multiple regression analysis by taking all five years ...
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1answer
265 views
Clustered (multilevel) data and fixed effects
I have a cross-sectional data set with about 8000 observations on child obesity (eg BMI). This data was collected in 8 countries and within schools (about 200 schools), i.e. observations are clustered ...
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1answer
53 views
What is the differenc between “two-ways” and “individual” effects in GMM estimation for panel analysis?
I am starting to use GMM estimation of dynamic panels with fixed-effects in R, but couldn't find proper information on the differences between "two-ways" and "individual" effects. Both can be easily ...
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38 views
Panel unit root tests
I am working on Panel unit root results. All the variables are stationary except one variable at first difference in one test (namely LLC), the rest of the tests (i.e., IPS, FisherADF and Fischer PP), ...
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53 views
How to get the right sign ot the coefficient in panel data regeression with Eviews 7?
I am currently working on my master thesis and I have the following problem.
I am writing about the relationship between Real GDP per capita growth and the development of the financial system. ...
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51 views
Can I use fixed effects or random effects for only two panel-waves?
My econometrics/statistics knowledge is quite limited, but I would be grateful for some insights!
I just want to ask whether fe/re panel models can be used for only two panels?
(theoretically, apart ...
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2answers
127 views
Is it possible to extract fixed effects in the fixed effects model in STATA?
Is it possible to extract fixed effects in the fixed effects model in STATA?
I know that in R I can do something like this with fixef command:
...
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86 views
How to do a difference in means test for panel data?
I have panel data (5 variables) and binary outcomes (died, survived) for same individuals over few years (quarterly data).
If it wasn't panel data, it would be easy to perform "difference in means" ...
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1answer
114 views
Panel data analysis with ordered probit model
I have a panel dataset of survey responses collected by the world bank in Egypt in 2004, 2006, and 2008. I want to run an ordered probit model to test the impact of firm characteristics on their ...
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1answer
153 views
Fixed-effects using demeaned data: why different standard errors when using -plm-?
I am fitting a Fixed-Effects model, with intercepts at cluster level.
One of the most direct ways is probably to use the -plm- ...
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1answer
117 views
Bootstrapping unbalanced clustered data (non-parametric bootstrap)
I am trying to figure out how to simulate bootstrap samples from a dataset with unbalanced clusters. The approach I would like to adopt is non-parametric pairs bootstrap, which easily allows to ...
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0answers
47 views
Hypothesis tests on 2-dimensional panel data w/ 1 characteristic?
I have a 2-dimensional panel data set with one characteristic looking along these lines:
...
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121 views
What are some software packages for doing panel aggregated logistic regression with no random or fixed effect intercept (not SAS)?
I am interested in doing Panel Aggregated Logistic Regression (aka Panel Binomial Logistic regression) without random intercept and I was wondering if anyone could suggest some existing packages.
...
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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 ...
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1answer
83 views
Panel data random effects probit model
I know that for panel data RE probit model we should average out the individual effects and in order to do that we do the following:
$$f(y_1,...,y_T|x_i, \theta) = \int[\prod_{t=1}^T ...
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325 views
Possible to include dummy variable in xtdpdsys estimator in Stata? [closed]
I am trying to include dummy variable (coded as 0 and 1) into xtdpdsys estimation with Stata. I can't find a way to include a dummy... On the other hand if I use xtabond or xtabond 2 it works. For ...
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101 views
Panel data with two time factors
I've got some data that come from a economic experiment. I'm trying to fit a model using plm() function (plm package). I'm following a very good tutorial (Panel data econometrics in R: The plm ...
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65 views
Mixed effects count modeling
I am trying to predict the probability that someone's vehicle fails its emission inspection a discrete number of times using a Poisson count model (actually a negative binomial hurdle model, but the ...
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0answers
83 views
Why two-step dynamic panel data estimator is better then one-step?
Could someone please give an explanation of why two-step dynamic panel data estimator is better then one-step? Can't quiet understand it... For example, from ...
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1answer
455 views
Controlling for variables in pooled OLS estimation in EViews
I am working on the Chinese economy and my topic of research is how external political instability can affect Chinese exports. So I want to estimate the Chinese export demand function for 1988-2011 ...
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242 views
Entering panel-data (cross-sectional time-series data) into SPSS
I don't know how to enter pooled data (I have data about 42 countries over 7 years per variable) into SPSS and then run a regression.
So far, SPSS does not assign the observations to a certain ...
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122 views
Extreme values for f-statistic
I have a question regarding my dat. It appears that i have extremely large values of the F statistics, ranging from 20 to 20,000. How is this possible?
I should mention that it is panel data, ...
