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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Which panel to pick when there is overdispersion in longitudinal data?

This question relates to a previous question I asked a while ago that unfortunately remained unanswered. I hope someone can give me an answer or a suggestion / comment that could help me out. I am ...
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28 views

Time series / Panel analysis [on hold]

My data in EViews is in on generating all variables from varibleA2002 to variableC2012. I didn't enter company names from excel into ...
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1answer
14 views

conditional independence in repeated measures design

How the responses are independent when conditioned on random effect in repeated measure analysis (linear mixed model)?
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11 views

when to use panel time-series regression vs seeming unrelated regression

I am a bit confused on whether or not I have to use a fixed-effect panel time-series method or SUR (seemingly unrelated regression). To get a background of what I am trying to do, I have 10 panels of ...
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18 views

Panel data forecasting from Arellano-Bond GMM estimation

I want to come up with predictions of final energy demand per capita (fe) for a panel of countries. Explanatory variables are GDP per capita (gdp) and population density (pop) -- all variables are ...
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1answer
54 views

Difference-in-differences with no pre-treatment?

The typical difference-in-differences estimator (as fixed effects) fits a model of the form $$ y_{it} = \alpha_i + \delta T_{it} + X_{it}'\beta + \epsilon_{it} $$ where $T$ is some treatment that ...
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21 views

wrong reported Total Sum of Squares in time fixed effects with plm (twoways)

I was sent here from Stackoverflow because this is more a statistics question. I hope I am in the right place now! The summary command of a plm regression with the (factor="twoways") argument reports ...
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1answer
36 views

Modelling Issues in panel regression

I came across a paper that uses a panel data of US states (from 2000-2010) with the following model: $y_{it}=b_{1}x_{it} +b_{2}x_{it}*D_{it}+other vars + \alpha_{t} + \gamma_{i}$ where, $x$ and $y$ ...
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1answer
38 views

Removing Time-Series Variance from Panel Data

We are working with panel data. But we want to study only the cross-section part of the panel data. So can anybody please tell me how to do any kind of data transformation, so that I can remove the ...
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40 views

Is two years enough for panel data analysis?

I have around 800 companies for only two years period. However, around 200 of them have only one year observation. Is it still possible to conduct panel data analysis with such data Thank you
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31 views

Regression inconsistent results?

I have a question regarding the findings in an article which I don't fully grasp. The authors examined the relationships between variables measured at different time points. They found that a ...
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42 views

deeper lags in dynamic panel regressions using xtabond2 in STATA

I know this kind of question may be asked a number of times in this community or in other web sites. I am kind of knowing what to do. But just to make sure I did not misunderstand anythings, I pose my ...
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11 views

Detecting pattern in panel Data R

I am struggling on panel data in R. I detected some serial correlation within my data, and now I would like to detect some pattern within it. There are 166 observations and 34 variables and the data ...
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26 views

feature selection for longitudinal data

I have a longitudinal data which looks like this. Number of time points are different for each ID. Y is the binary response variable (take values 0 & 1) and X1-X20 are either continuous or ...
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25 views

$J$ statistics to $p$-value of $J$ statistics an vice versa

I am not entirely sure if I should ask this question here, but does EViews has a function of converting J statistics to p-value of Jstats, or other way around. I am running several GMM estimations ...
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1answer
23 views

How to transform time-varying covariate measure of response time in a multi-level model of longitudinal data?

I am trying to fit a multi-level model to some longitudinal data that I have. As an example, let's pretend participants had to make 10 basketball free throws, and I measured how long it took them to ...
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1answer
53 views

J stat problem, GMM

I have recently performed a GMM estimations, my problem is that all the J-stats are 0.0000. It means that the IV are overrefined right or the model is not well specified. I used one-period lags of the ...
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1answer
38 views

A Kalman Filter for estimating z-scores?

I have been struggling to fit the following problem into a linear state space model for a Kalman Filter (KF). I'm having a hard time seeing what I'm doing wrong. I suspect I'm violating some law of KF ...
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1answer
60 views

difference-in-differences with fixed effects

I have two questions related to having fixed effects in the DD model. I have a treatment that occurs at different times (e.g., 2001,2005, etc.). I want to fit a DD model, so I standardize the ...
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1answer
47 views

Fit measures for GMM Arellano-Bond estimator in R

A colleague and I have been working with difference GMM, i.e. the Arellano-Bond estimator, in R. Our option has been to use the pgmm command from the plm package. However, now I am struggling to test ...
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1answer
27 views

Time dummies in panel data — absorbing effects?

I am conducting a data analysis. I have a panel with individual firms with firm-specific and macroeconomic variables. I would like to run an OLS regression adjusted for firm clustering effects and ...
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25 views

Unbalanced panel data: Fixed effects?

I have an unbalanced panel dataset with N=10 firms and T=61 days. Because one variable had values outside the theoretical range I had to constrain my dataset, which left me with only 239 observations. ...
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50 views

What is a “Wald test for trend?”

I am reviewing a manuscript and the authors state that some results are by a "Wald test for trend". Has anyone heard of this? I hadn't, and Google revealed nothing. I know I always say to provide ...
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36 views

Unbalanced Panel: pooled OLS vs FE vs RE - which method yield unbiased and robust estimators?

I am conducting an empirical study (relation between earnings and returns). I have an unbalanced panel with $N=449$ firms and $T=36$ time periods. Regarding the estimation methods I am confused: In ...
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22 views

lag dependent variable among explanatory variables on panel data analysis

Can I manually include lag dependent variable among explanatory variables on panel data model estimations( in trying to establish relationship between gross profit/earning before interest and tax as ...
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25 views

Beyond multiple linear regression for longitudinal data?

I have a relatively large dataset from a longitudinal study (~100k subjects and ~10 random effects) where the outcome is a real-valued parameter. A simple run of R's ...
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12 views

Oddly structured data - longitudinal data struggle - Interaction testing

I'm struggling with an analysis and I'd like to have your contribution. I work with neuroimaging, and I have tested the capacity of a certain imaging parameter (let's call it A) of predicting a ...
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44 views

does the equivalence of Poisson and conditional logit models hold for fixed effect panel data and negative binomial models?

Guimaraes et al. (Rev Econ Stat, 2003, 85/1) describe the conditions under which the results from poisson regression models and conditional logit models are equivalent. I am trying to find out whether ...
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30 views

Multiple Sample Equality-of-Distributions Test For Panel Data

Suppose I have repeated time observations for 800 meter sprint for a group of athletes over the course of a season. I would like to test the hypothesis that all the times are drawn from the same ...
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1answer
27 views

Variance of a variable constructed from parameter estimates and predicted values of a linear regression

My data set is an annual panel data set on individual income, the year of unemployment and a number of demographic variables. I run an OLS regression of the form $y_{it} = \sum _{j=1} ^n D_{j,it} ...
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15 views

Detrending for quarterly Panel Data

I have quarterly unbalanced Panel data and I want to de-trend my dependent variable to make it stationary. how do i do it? I don't want to take differences as it will shorten my observations. The ...
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1answer
102 views

Stata error: “panels are not nested within clusters”

I have an unbalanced panel data set with more than 400,000 observations over 20 years. My panel variable is a person id and my time series variable is the year. The persons are from all over Germany ...
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1answer
85 views

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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13 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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2answers
69 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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39 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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34 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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23 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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1answer
112 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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18 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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44 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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9 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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1answer
20 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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19 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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1answer
26 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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31 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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17 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
74 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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119 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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77 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 , ...