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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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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1answer
15 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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11 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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11 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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19 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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12 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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1answer
36 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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33 views

consequences of lagged dependent variables in panel data

I have some elementary problems understanding the consequences of using a lagged dependent variable in my model. I’m trying to form a predictive model for $Y_{i,t+1}$ for $t+1$ to $t+3$ with: ...
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57 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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0answers
15 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 ...
2
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1answer
20 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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10 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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34 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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0answers
22 views

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

Is there a solution coded in R to estimate models of the form $$ y_{igt} = \alpha_i + P_{gt} + \beta_1y_{igt-1}+ \beta_2y_{igt-2} + X_{igt}'\gamma + \epsilon_{igt} $$ ?? ...
2
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0answers
8 views

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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1answer
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 ...
3
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1answer
38 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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15 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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21 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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12 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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1answer
36 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 ...
2
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1answer
30 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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36 views

gravity model of tourism [on hold]

I just start working on a gravity model in Stata. I have a huge data set about tourism arrivals for 5 years across the world, and I want to apply a gravity model to find how distance, language, etc. ...
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28 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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1answer
25 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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1answer
69 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
32 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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17 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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2answers
110 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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11 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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1answer
61 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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43 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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1answer
53 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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1answer
44 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 ...
3
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1answer
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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1answer
110 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
35 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: ...
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32 views

Coefficients from a Dynamic Panel Data Model of Economic Growth

I am having difficulties with the interpretation of the regression results from estimating a growth regression in a dynamic panel data set-up, estimated using Stata. (I'm using difference GMM and ...
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20 views

Testing the random slope with correlated random effects

I have a mixed/random effects model $$\mathbf{y}_i=\mathbf{X}_i\boldsymbol\beta+\mathbf{Z}_i\mathbf b_i+\boldsymbol\epsilon_i,$$ where random effects $\mathbf b_i$ has variance-covariance matrix ...
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23 views

How can I correct for residual autocorrelation in a fixed effect panel model?

The residuals have an AR(2) structure. Is it appropriate to add AR terms to a fixed-effects panel model?
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13 views

What do I do if my sample for cross sections is not random in a panel regression model?

I am trying to implement a panel regression model, but there is one issue: both fixed effects estimation (FE) and random effects estimation (RE) require that the cross section sample be random. For my ...
2
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1answer
99 views

Fixed Effects Gravity Model for forecasting..with time constant variables Stata

I have a large panel data set of global trade flows and I would like to create a model for forecasting between two specific country pairs. I am just having trouble figuring out how to go about it in ...
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20 views

Feasible GLS of Random effect Panel data

When we define $\Theta$ for Feasible GLS in panel data, we have to define $\text{plim} \;\sigma$ in following picture. How can I show that $\hat{\sigma}^{*2} \overset{p}{\longrightarrow} ...
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17 views

Missing data in 3 dimensional Panel: Are comparisons across different samples valid?

I have a panel of 8 sectors across 24 OECD countries. Im estimating aggregate equations across all sectors, and 8 separate equations for each sector. Part of the analysis is to make comparisons across ...
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22 views

Is there a Matlab code for the probit random effects model for panel data?

Is there a Matlab code for the probit random effects model for panel data? I observe there are Stata codes(a couple of versions) available but I cannot not find any Matlab codes. I would really ...
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11 views

Longitudinal / panel data in component failure analysis

We just had a courses on panel data in econometrics, and longitudinal data in classic statistics, And I was wondering if something similar exists in engineering, for example: You have 50 identical ...