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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Specification of partially crossed longitudinal subjects in linear mixed effects model (lme4, lmer)

I am familiar with linear regression models, but I am in the process of learning about linear mixed effects models. My data consists of measurements for each month for a set of subjects over a long ...
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80 views

Making sense of the first difference regression model

There must be a fundamental error in my approach. Let's start by stating we have a simple regression with two variables $X_t$ and $Y_t$: $Y_t = BX_t + e_t$ Where $B$ is the coefficient and $e_t$ is ...
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1answer
16 views

Subsampling to bootstrap multiple pseudo panels [on hold]

I want to create a single observation pseudo panel for a grid-based data set that contains multiple (but unequal) numbers of observations for each grid cell for each year (see below). I need to create ...
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14 views

Are zero cells for an independent variable problematic?

I am looking at the effect of immigration on crime rates across neighbourhoods over time. Several of my independent variables related to immigration have zero cell counts. For example 60% of suburbs ...
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18 views

How to subset all rows from data frame for repeated measures [migrated]

The background for my question is: I have a dataset consisting of repeated measures, one data point per row. These data are from a longitudinal study and therefore at the moment not every subject has ...
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5 views

Is it possible to extend dynamic spatial (space-time) panel model to a SARAR (SAC) specification?

I have panel data of 200 regions over 20 years. My goal is to estimate a dynamic spatial (space-time) panel model. I would like to employ an extension of model used in Debarsy/Ertur/LeSage (2009): ...
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4answers
337 views

Regression Developing Countries: GDP-Growth or GDP

For my master thesis I basically want to find out, why developing countries are stagnating. Next to theoretical aspects I also want to make a regression. I want to regress GDP or GDP growth as ...
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20 views

Stata Panel Analysis: Using only consecutive waves for measuring income mobility [closed]

I am measuring income mobility with a panel data set of overall 30 waves. I have excluded everyone who has either missing data or less than two observations overall. The data I am using already ...
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18 views

In two places at once: treatment and control groups

When performing a treatment study (e.g. a difference-in-differences design) in multi-dimensional panel data (e.g., firm-individual-time, bank-firm-time, etc.) is it ok if the "smaller" cross-sectional ...
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19 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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18 views

How are subjects with only one observation used in fixed effect models?

I am building a fixed effect model: $E(Y_{i,j}) = \beta_1 + \beta_2*Age_{i,j}+\alpha_i $ With $\alpha_i$ a fixed effect for each subject. Below is a plot of the data, and the measurements of three ...
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13 views

Longitudinal data study and Analysis?

For doing an analysis with longitudinal dataset and to study the relationship between serial of observations of different subjects over unequally time spaced periods and to understand the relationship ...
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13 views

Meaning of growth of log-transformed variables [duplicate]

I am dealing with the transformation of the variables for my master thesis (a panel dataset with a xtabond2 model). The analysis focuses on growth rates, so my co-director told me to transform the ...
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20 views

Can someone explain 2SLS - GMM?

I believe I have a dynamic relationship within my panel dataset, with heteroscedasticity and autocorrelation. I've been instructed to look into GMM as it is the solution. What is it and how can I do ...
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15 views

Interpreting parameters for F-Test for Fixed Effects (Panel Data)

Source: Park, Hun Myoung. 2011. Practical Guides To Panel Data Modeling: A Step-by-step Analysis Using Stata. Tutorial Working Paper. Graduate School of International Relations, International ...
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32 views

Endogeneity problem

I am doing a panel random effects model for estimating the relationship between remittances and poverty. My results are significant. But literature suggests there may be a problem of endogeneity or ...
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13 views

Preserving/including multiple observations in unbalanced panel data

I'm analyzing the antecedents and consequences of acquisitions on technological performance of firms using panel data in Stata. The data include categorical (binary) and count variables. The most ...
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11 views

Panel/Longitudinal Data - Seasonality, Variable Selection

I am analyzing a set of panel data by linear regression. I would like to use a fixed effects model, so I am fitting the model below by OLS: $$(y_{it}-\bar y_i)=\beta (X_{it}-\bar X_i) ...
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3 views

How can I test the slope difference in generalized mixed model with ordinal response

I have fitted a generalized mixed model with ordinal response in SAS. The link function is a cumulative logit. There are three covariates are ...
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24 views

Multiple interactions are hard… Difficult difference-in-difference design UPDATE

I am trying to estimate a difference-in-differences model with some complicated interactions. I have panel data on the supply of some production input to firms from two groups. The supply of this ...
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13 views

Testing time effects in GMM model in R (panel data)

I ran two GMM estimations in R, one with just individual effects, the other with both individual and time effects (i.e., "individual" vs "two-ways" effects in GMM estimation). Now I want to test the ...
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1answer
33 views

Problem with Panel Data

I am having a problem with estimation of a model using panel data in Stata. The dataset consists of 12 cross sectional units, each of these units has around 950 time periods (the panel is unbalanced). ...
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6 views

Is it wrong to instrument panel data with an instrument without time series variation?

I have a balanced panel of individuals with an endogenous independent variable $x$. Fortunately I have an instrument $z$ that meets the exclusion restriction, but unfortunately this $z$ has no ...
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5 views

What method to use for panel data: Impact of x on stock price volatility?

I have a Panel Data set for 60 companies, 10 years i.e. 600 observations. What I want to do is investigate whether the publication of a specific number (let's assume earnings per share, EPS) has an ...
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8 views

How to compute correlation between a group and within a group in panel data?

I have a panel data comprising of individuals for 't' time periods. Now, I want to compute correlation within the group and between the group. So, for example for individual 1 I want to know what is ...
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1answer
30 views

Benford's law: analyse individual variables or the entire dataset?

In his 1995 paper, Hill points out that random samples from random samples will usually give rise to data that satisfy Benford's law. He mentions a newspaper frontpage as an example where data may ...
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10 views

Panel Data Regression - Regarding revised ways of measurement (SIC and NAICS)

Using STATA, I am trying to estimate the following over a twenty year period, and for all 50 states (excluding D.C.): $$ ln(y_{i,t}) - ln(y_{i,t-1}) = \alpha ln(y_{i,t-1}) + \gamma Gini_{i,t-1} + ...
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3answers
52 views

Need to model Panel Data

I have been given a assignment in which I fit various panel data models on a given set of data, and explain the pros and cons of each model. My data has 3 dependent variables, 6 independent variables ...
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44 views

Unbalanced Panel data using R - Removing outliers and heteroskedastcity

I am new in R and it’s my first time using it so I’ll appreciate the help. I am estimating income elasticity for electricity consumption using budget shares. I have data for 8 regions categorized into ...
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13 views

MLE for panel data

I am a beginner in statistics, so please don't mind if this question sounds elementary. I am trying to analyze monthly panel data with number of hospital admits in a town. I have data for ~5000 ...
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62 views

Longitudinal data analysis where meaning and metric of response variable varies over time

Determining what factors predict change over time is a topic of investigation in many fields and there are a variety of readily implemented methods for analysing repeated measures in the same metric. ...
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1answer
61 views

Modeling a proportion using longitudinal data

To illustrate my question I'll make a (very) fictional example. I have a set of 17 year old people that every year report how many cigarettes they smoked and how many miles they ran. Very few of ...
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27 views

panel data with serially correlated independent and dependent variables

I have a panel data where the independent variables are serially correlated (macro-economic time series), also the dependent variables (company sales growth) are probably serially correlated. Here ...
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Survival analysis with time dependent covariates and cured fraction

I have a problem specified in this way, I'll make a fictional example, because the actual data requires quite a bit of domain knowledge to be understood. There is a series of newborn babies (let's ...
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1answer
11 views

Computing the predicted value from a panel data model with the plm R package

I am estimating the following panel data twoways fixed effect model: y = alfa*y.lag + beta1*z + beta2*z^2 + theta*id + gamma*t (1) where ...
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21 views

Identify deviations from trend

I have a panel with individuals $i$ measured at time $t$ (the date). The outcome is a count, which we can call $C$. There's some general time trend $g$ affecting all individuals. $E[C_{it}] = ...
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11 views

Longitudinal Analysis- Intervention

I am carrying a behaviour change analysis using two groups who differ in some demographic characteristic. Lets call them group A and group B. Group A will be exposed to the intervention. TO measure ...
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12 views

Fixed effects and year dummies with a cross-sectional demeaned variable

I have a cross-sectional demeaned dependent variable in a balanced panel (Yit-Ymt is the dependent variable, i.e. it is measured in terms of distance from the average for every available year). I want ...
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1answer
48 views

12 firms and a total of 204 observations, can I use pooled OLS with firm-dummies or should I use fixed factor?

I am studying the effect of government ownership on firm performance, more specifically I am studying the effect of the government reducing their share in companies which are already partly ...
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24 views

Prediction in longitudinal data mixed models

Suppose I have a GLMM for longitudinal based on 1000 observations. Now I want to predict the responses based on 20 more observations. How can I do it in R? I have used the lme4 package in R to ...
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26 views

Least Squares Dummy Variables vs. Mixed Effects Regression

I am aware this terminology is more generally used in the context of panel analysis, but I have datasets of individuals clustered within households, which I believe (according to my understanding) can ...
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1answer
73 views

Why pglm fails for within model?

Trying to run a panel logistic model. In the parameters a default NULL is specified for the "start" parameter. My model is: ...
2
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0answers
38 views

Adjusting for the past using OLS regression with single lagged response

There are many fine ways to handle a time series error structure in regression, for example as discussed in Time Series with Autoregressive Error. But consider a panel regression model of the form $$ ...
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11 views

Comparing models in plm, where sample size differs

I've been using the 'plm' package to fit models in R, usually with some kind of dynamic specification--either in ECM (a differenced dependent variable, and differences of the IVs and levels of DV/IVs ...
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32 views

Standardization/Centering of Longitudinally-measured variable

Could someone possibly help me with the following issues that I am mentally stuck at? Thanks so much! I have 200 variables M1, M2, .... Mx. Each is measured at three time points 0, 30, 120 min. The ...
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31 views

Associating non-linear three-time-point change with a continuous variable

I would be incredibly grateful for help or advice regarding my following project: I have 3 time points (0, 30, 120 min) and complete data for about $n=500$ subjects for a continuous variable $M$. ...
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16 views

Simple question about time fixed effects and differencing

Suppose I want to estimate a simple regression using panel data containing weekly observations on individuals. For reasons beyond the scope of this question, I need to clean out the ...
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1answer
61 views

Estimating robust standard errors in panel data regressions

I am trying to estimate robust standard errors in a panel data regression. I understand panel data regressions conceptually, but R offers a lot of options I am not sure about. My data is of the ...
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13 views

Question about longitudinal binary datanalysis

I am going to conduct longitudinal binary data analysis on a project since depend variable have multiple outcomes based on different time points. I am familiarly with traditional logit model and ...
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49 views

Cluster Robust Standard Errors vs GMM

I want to estimate a linear model on a panel data set using fixed effects and my dependent variable has positive serial correlation. I also have to address heteroskedasticity. I have read that two-way ...