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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Correlations in panel data

In a panel dataset of multiple years and multiple countries, what is best practice for running correlations among variables? I know that pooling by both countries and years is not recommended. Is ...
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9 views

First-differencing when regressors are correlated with time

Consider estimating the following simple regression with longitudinal (small T, large N) survey data: $v_{it} = \gamma t + \epsilon_{it}$. We obtain the highly-significant result that ...
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14 views

Zero Inflated Poisson or Negative Binomial Regression model in Panel Data

I am using the Stata version 13.1. My data is count in nature and also it is a balanced panel. However, my data suffers from the problem of excess zeros and also suffers the problem of overdispersion. ...
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11 views

F test in random effects panel regression

I'm using random effects panel regression and I've 3 covariates not statistically significant and I want to test if the three parameters associated with those covariates are jointly equal to 0. Could ...
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13 views

Interacting lagged variable with dummy: factor variable and time series not allowed [migrated]

I am trying to run an Arellano-Bond regression to explore whether the impact on my dependent variable varies according to exchange rate regime, i.e. does economic growth differ when remittances go up ...
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21 views

Why are the fixed effects of a panel probit regression inconsistent?

I was taught that a probit with fixed effects would not be consistent because the estimates of a non-linear model with a link function other than the canonical (in this case the logit) are not ...
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28 views

Nominal versus real wages in panel data modes [migrated]

Assuming dependent variable is log of wage, do we need to convert nominal wages to real wages in analyzing panel data sets when using random and fixed effects models? Is that also applicable for ...
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19 views

xtreg, re in STATA, which R2 to report? [duplicate]

After estimating the data using xtreg, re, I notice there're 3 different measures of R-squared, within, between, and overall R-2, so my question is, can I just report the overall R2 in this case since ...
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7 views

How to test for no treatment effect on changes in the log odds?

I have a longitudinal data that has binary response and I have 2 explanatory variable, where both are categorical. They are treatment (2 categories) and time (5 levels). I fitted the model: $log\left ...
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7 views

Use clustered S.E. or FE/RE for binary data in an experimental within-subject design?

I am analyzing a 2x2 experimental within-subjects-design, i.e. I have data from all subjects for all four possible treatment combinations. Lets say treatment X has states X1 and X2 and treatment Y ...
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5 views

Penalize a long-form panel linear regression prediction?

What is the recommended penalty, if any, for a long-form panel when calculating multiple linear regression $\hat\beta$ parameters or predicting single responses from (unobserved) values of $X_i$ in ...
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11 views

longitudinal data with changing skew over time

I want to examine a group by time interaction in a pre-post treatment study. Initially, symptoms are high so the skew is positive. But at the end of treatment the symptoms are low, so the distribution ...
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82 views

Panel regression and unit roots

I am trying to figure out how to alter my panel regression in a case where unobserved heterogeneity exists and one (or both) of the variables are I(1) processes (or in other words contain unit root). ...
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11 views

Finding a logitic model for time-varying effects in panel data

I experience problems finding a statistical model to answer a research question. I have gotten pretty lost by now and hope for some specific advice. I have problems choosing an appropriate model for ...
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1answer
15 views

Estimate linear regression paramaters with chain modeling for longitudinal data?

Within a frequentist, deterministic paradigm of multiple linear regression, is there a (standard) method to accomplish "chain modeling for panel data" in a way that avoids formal identity (and/or ...
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43 views

How to cope with serial correlation and time effects in a panel data model in R

I am building a panel-data model for macroeconomic analysis and I am currently stalling on how to deal with some problems. Diagnostic tests indicate that there is cross-sectional dependence (which is ...
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15 views

imbalance in sample size at multilevel longitudinal data

I have longitudinal data (BMI level) measured at 3 time points and subjects are students nested to schools. The sample size in school level differs considerably (n=85 % in school 1, n=10 % in school ...
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14 views

Dynamic nonlinear IV question — how do you think about the exclusion restriction when you have multiple periods?

The setup is an experiment with a binomial outcome, repeated over two (or more) periods. In the first period, $X$ is randomly allocated. Of interest is its effect in predicting the probability of ...
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42 views

Should I aggregate my panel data into a single time series for interrupted time series analysis?

I have a very large dataset containing individuals observed daily on some variable Y. I would like to find out whether some event X that occurred simultaneously to all individuals (a global event) ...
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8 views

Comparing trajectories of two outcome variables in longitudinal data

this is the situation: Study-type: prospective population-based (N = 4,000) with baseline (T1) and three follow-ups (T2 - T4) Between variable: cardiovascular health at T1 (good vs. poor) Within ...
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68 views

panel fixed effects wage equations

Can someone please explain fixed effects, fixed effects, cluster robust standard errors, random effects, and be for panel data wage equations and how to decide which is the most appropriate?
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20 views

Measuring effects with longitudinal data

Problem: I have sales data through time e.g. how much each user spent on each shopping trip. I am interested in certain events (think users switching to Amazon Prime for instance). I know the date ...
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30 views

Predicted number of events from xtnbreg, fe make no sense

I am trying to compute the number of predicted events from a fixed effects negative binomial regression model in Stata. I run the model first using random effects, then using fixed effects, and ...
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What is the appropriate link fucntion in GEE for longitudinal data where distribution changes in time?

I'm modeling treatment outcome data in a GEE with Group, Time, and their interaction. At baseline everyone is highly symptomatic, thus the distribution is negatively skewed. At follow up most people ...
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non-uniform residuals in repeated measures mixed model; larger residuals further in time

I am analysing data from a longitudinal study in SAS and see time-dependent patterns in the residuals. Subjects in four groups (A to D) were given a treatment at time=0; and continuous response ...
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9 views

How to export STATA xtcsd test results? [migrated]

I would like to export results of cross section dependence tests for 12 panel data sets to a table in order to compare them to similar tests done with another software. Below is the regression and ...
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37 views

Discrimination between measurements made at different points in time

I would like to ascertain what variables discriminate best between experimental conditions in a repeated-measures experimental design. I have performed Repeated Measures MANOVA to determine whether ...
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26 views

Specifying distribution in generalized estimating equation GEE

GEE allows you to identify the distribution of the outcome variable and appropriate link function. How do you make this selection in a longitudinal model where the distribution changes in time. An ...
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24 views

Unit root and cointegration in Panel Data

What should I do when I found out that my variables are stationary in first differencies? Should I estimate model in differencies? How unit root is related with cointegration? Thx for answers.
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26 views

How do I fit a linear mixed model in R with autocorrelation, when the effect of time is of no interest?

I am attempting to fit a linear mixed model with the lme function using R. My data involve repeated measures, but the effect of time is not of interest to me, so I don't want to include it as a fixed ...
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24 views

poisson panel reg at aggregated level: how to account for the population and size of municipality

I am estimating the impact of deforestation on some diseases (counts) using panel data a municipal level. I'm using a fixed effects Poisson model with clustered standard errors with some other ...
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1answer
28 views

Individual-specific error component in pooled OLS

I know that Pooled OLS is not efficient if there is existence of the individual-specific error component (one that doesn't vary over time) because the usual standard errors are incorrect and the tests ...
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1answer
16 views

Which fundamental problem is solved by application of panel data methodology?

I know that the panel data accounts for both heterogeneity across individuals or groups for dynamic effects that are not visible in cross sections, but should this be the answer to this question?
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Modeling change over time when response variable has different range and variance?

Some background: I am working with data from a large cohort study. My outcome is a measure of fine motor skills, and was adapted from a psychometrically validated instrument (the short version ...
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1answer
42 views

Panel data estimation for country-fixed, time-varying share of y

I want to estimate the following equation using a panel data set with countries $i$ and years $t$, preferably in R: $$ y_{it} = \beta_1 \cdot x_{1,it} + \beta_2 ...
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How to use lagged dependent variables (panel data) in practice?

Working with a panel data set with a daily time series structure I was told to include a lagged dependent variable. The dependent variable is daily electricity consumption of a medium size sample ...
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6 views

Error appears for kml function in Latent Growth Mixture Modelling

I am trying to run the kml function for a simple dataset with $n=59$ and body weight measured at $8$ time points. The commands used were: ...
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53 views

Analyzing Independently Pooled Cross Sectional data (TIme series)

I am new with time-series data analysis. It seems that there is some confusion in terminology (Panel, and time-series cross-sectional). But my question is general in nature. How do I analyze a ...
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20 views

How to resolve non-linearity while using dynamic panel estimation?

I am looking at the effects of customer satisfaction on firm performance. There are a lot of other predictors and controls etc. and my substantive question is rather more complex than this. However, ...
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111 views

Econometric Model and deciding the frequency of data collection

I am looking to build an econometric model and I am wondering if using annual data vs monthly or quarterly data is going to produce a less accurate model. If the dependent variable is affected by ...
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8 views

Longitudinal Multiple Group Construct Bias/ Measuerment Invariance

I would like to run a Multi-Group CFA Model for the same measures (unidimensional with 12 Items) across 4 waves in order to assess the measurement invariance across 3 groups and time. I am aware that ...
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1answer
22 views

experimental longitudinal design?

Is a longitudinal study really by definition/always correlational? How about a repeated-measures experiment: I would've called that an experimental longitudinal design. (For example, you randomly ...
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26 views

How to incorporate exchange rates in a multi-country econometric model?

I have for 12 countries variables related to the trade of one specific commodity (production, consumption, import, export, trade costs, and international prices). The data range is 2000-2013 with a ...
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19 views

Prediction with plm method

I'm using plm package to estimate a random effects model on panel data. Reading this question about the prediction in plm package gives me some doubts. How exactly it works? I tried 3 alternatives ...
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1answer
28 views

How to test one variable in a panel for cross-section dependence?

The plm::pcdtest function implements Pesaran, (2004) General Diagnostic Tests for Cross Section Dependence in Panels. For example a test for a panel model works as ...
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66 views

Performing a test on heteroskedasticity and the interpretation of the results

I ran a test for heteroskedasticity in the panel data I am using and got the following output (performed in Stata): ...
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1answer
81 views

Hausman test for panel data

I am performing a Hausman test to decide whether to use fixed effects or random effects model. The results I get are as follows: ...
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18 views

How to proceed with nonstationary variables in panels?

In most of the emprical papers using panel data, authors do not seem to "worry" too much aboout the non-stationarity of the individual variables. Yes, there is asymptotic theory for N and T going to ...
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Large N, small T panel - modeling

I would like to ask your opinion on the possibility to use repeated survey results for panel data models. It is likely that at least some of the variables will be nonstationary. Is it necessary to ...
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Using nonstationary independent variables in a panel survival model

I am debating with someone over the appropriate use of time series variables in a survival model. We have an unbalanced panel with a survival outcome (0,1), time-invariant features of the panel units, ...