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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2
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11 views

How to predict individual coefficients and residuals with unbalanced panel data

I have a panel data with income for individuals over years, and I am interested in the income trends of individuals, and unexpected changes in income (i.e individual coefficients for income over ...
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0answers
5 views

Can you use Cox proportional hazard model for panel data?

I need to regress health variables on pollution (PM10), and I have seen that for variables such as lung cancer that take a long time to develop, papers generally use the Cox proportional hazard model. ...
2
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32 views

R: Stationarity/non-Stationarity: implementing a solution

I have an Augmented Dickey Fuller Test in R on leg_totalbills that shows I can not reject the null hypothesis: Unit Root. The ...
6
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2answers
120 views
+100

Restricted Maximum Likelihood (REML) Estimate of Variance Component

Let, $$\mathbf y_i = \mathbf X_i\mathbf\beta + \mathbf Z_i\mathbf b_i+ \mathbf\epsilon_i,$$ where $\mathbf y_i\sim N(\mathbf X_i\mathbf\beta, \Sigma_i=\sigma^2\mathbf I_{n_i}+\mathbf Z_i \mathbf ...
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0answers
20 views

Estimating SEM models with more than one endogenous variable

I have a panel data set with two rounds. I am using two equation structural model where my endogenous variables are $y_1, y_2, x_1$ and $x_2 $ and my exogenous variables are $ z_1$ and $z_2 $. ...
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0answers
30 views

Optimal lag selection for panel unit root test PESCADF and CIPS

I am running second generation panel unit root test in stata, CIPS with "multipurt" and PESCADF with "pescadf", but I would like to know if there is a way to know the optimal lag selection, and if I ...
0
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1answer
34 views

Difference-in-difference-in-differences panel data

Basically, I want to know which interaction term(s) is needed when building a DDD model for panel data? In a DD model I would only include a binary program indicator (like after*treatment) when ...
0
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13 views

code for the fixed effect (conditional) and the random effect model in SAS using panel data and a logistic+multinomial logistic model [closed]

With respect, I am using a panel data for my thesis and I am Using SAS 9.4 for the analysis. I was wondering if I could have the chance for your advice relative to writing the codes for the model in ...
0
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0answers
12 views

Proportional hazard model with fixed effects in stata [closed]

I am running a proportional hazard model of panel data. I have read "Fixed Effects Regression Methods In SAS" by P.D. Allison and he says that cox regression with individual fixed effects can be ...
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0answers
4 views

Is it ok to use Panel Unit Root Tests for all currency pairs in a sample? (Not one common base currency)

I have a dataset containing the real exchange rates for all country pairs within the OECD. Now I would like to test stationarity using one of the many panel unit root tests. However, reading Pesaran, ...
3
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1answer
45 views

Forecasting elections by using survey data (in R)

In advance: my sincere apologies for any incompleteness, lack of knowledge and general stupidity in this post. I am doing my ultimate best to be as complete and thorough as possible - but I ...
0
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0answers
14 views

Auto-correlation Assumption

I am testing the auto-correlation assumption of OLS. My study is conducted on the most active companies on the Egyptian stock exchange over a period of 5 years. Not all companies included in the ...
0
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0answers
10 views

xtgee and logistic in STATA [closed]

i have a question about the xtgee command and logit command. i have 12 country for a period of 30 years,i have just 2 continues andipendent variable i would evaluate a single intercept parameter for ...
0
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0answers
22 views

t-test for panel dataset

I want to test whether the mean of my panel dataset (individual and time indices) is equal to some number (x) by using a t-test. Should I do this as first performing a t-test for each individual that ...
0
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1answer
21 views

Simplification in proof of OLS inconsistency

I'm a little confused right now regarding the LLN "jump" from probability limits to expectations and variances/covariances: Say we have a linear regression model of the form with $S$ observations: ...
0
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0answers
17 views

Principal Coordinates Analysis (PCoA) with Longitudinal Data

I am interested in running a PCoA on a distance matrix derived from longitudinal data. I'm concerned about biasing the PCoA towards overrepresented subjects (those with more time-points and samples). ...
0
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0answers
16 views

two wave panel probit with random effect = bi-variate probit

According to the paper "Estimating Dynamic Models of Quit Behavior" [Journal of Labor Economics], it said "Bivariate probit is equivalent to probit random effects if there are only two waves in a ...
0
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0answers
9 views

model severity vs duration of disease load

I have been thinking about this for some time now and still not sure how to analyze it. So hoping that someone here could give me some hint. We are measuring disease load continuously (ranging between ...
0
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1answer
30 views

Variance of Level 2 random effect depending on value of variable in highest level (Level 3) in Hierarchical model

I was reading material on hierarchical models, especially 3 level hierarchical models. One of the examples I found was having the hierarchy Hospitals-Wards-Nurses. Only 1 measurement per Nurse. So ...
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0answers
26 views

Constructing A Simple Hypothesis

In the book Applied Longitudinal Analysis, 2nd Edition there is an example in the chapter "Marginal Models: Generalized Estimating Equations (GEE)" in "Muscatine Coronary Risk Factor Study" ...
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1answer
48 views

Can I apply OLS (multiple regression) to panel data to identify significant variables?

I have panel data for a 5-year period and want to explore the determinants of car prices (number of doors, house power, etc.). Is it appropriate to use OLS or multiple regression to explore the ...
0
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0answers
14 views

panel data mean and standard deviation

I have panel data of the form $r_{it}$ i.e. I have repeated observations of the random variable $r$ varying over individuals (i) and over time (t). Let's assume I compute the grand mean and sd of ...
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12 views

Analysis for evolution of resistance

I am looking for help on an approach for analyzing evolution of resistance. I conducted an experiment in which I exposed pathogens to a constant drug concentration over 6 weeks. At each week, I tested ...
0
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0answers
13 views

Multilevel Power of a Mixed Model

For my dissertation I have data from 57 employees that responded the same survey on 11 occasions (i.e., 11 observations per person for each variable). All variables I am interested in (and are ...
-1
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0answers
21 views

Panel Data with Heteroskedaticity and Autocorrelation

I tested my panel data for heteroskedasticity and autocorrelation. Both tests were significant. I dont know how to proceed. Should I use xtreg ylist xlist, fe vce(robust)? Or should I use the ...
0
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1answer
40 views

Heteroscedasticity in Fixed Effects model

I've found heteroscedasticity in my panel data. However, Gujarati (2009) says in a footnote to the chapter "The fixed-effect within group estimator" that Stata provides heteroscedasticity-corrected ...
0
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0answers
53 views

what is the difference between xtgls and fixed effects with clustered standard errors?

I wonder what the difference is between a feasible generalized least squares model and a fixed effects model with clustered robust standard errors. In STATA terms, I want to know when I should use one ...
1
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2answers
79 views

Industry and Year Fixed Effects

I hope someone can help me as I am stuck with this problem for quite some time. I have panel of S&P500 companies from 2010 - 2014 and I want to run a regression including industry and year fixed ...
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0answers
15 views

simple statistical test for longitudinal ordinal data

New researcher here. What statistical test do I use to compare scores (on the general self efficacy scale) over time (12 times total including pre-test) to test a single intervention? It's a simple ...
0
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0answers
11 views

Want to test equality of regression parameters for two longitudinal data

Suppose I have $p-$dimensional vectors $Y_1,Y_2,...,Y_n$ and $Z_1,Z_2,...,Z_k$ all independent such that $Y_i=\alpha_11+\beta_1x+\epsilon_i$ and $Z_i=\alpha_21+\beta_2x+\eta_i$ where $x$ is a ...
3
votes
1answer
29 views

Past values of Y correlated with future values of X1 in fixed effects model: use instrumental variable?

I am using panel data, running a fixed effects regression using xtreg Y X1 X2 X3, fe. I suspect, however, that past values of Y ...
1
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1answer
31 views

PSM on panel data , R-square is low at (first stage) logit regression

I'm working on a project which embedded in a "PSM + DID" framework, namely, firstly use propenstiy score method to select camparable treatment and control group, ...
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25 views

Pooled OLS from panel data

I have unbalanced panel data for two years (4 years apart). I am planning on running Fixed Effects estimation. I would also like to do a cross-sectional analysis. Would it be appropriate to use a ...
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0answers
26 views

Using several cross-sectional regressions (for different years) vs. a single fixed-effects panel model

I have what I think is a relatively simple question about the merits of performing a single panel regression with fixed effects as opposed to individual yearly cross-sectional regressions with the ...
0
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1answer
12 views

Global VARX model?

I am looking for a way to compute IRFs for the following setup. Cross country dimension (country level data) Time dimension (60 periods quarterly data) 3 endogenous variables (VAR) 1 Exogenous ...
0
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0answers
8 views

How do I perform cross-sectional regressions on groups of data, and how do I critically evaluate the output?

I am currently conducting a cross-sectional analysis on what effect changes in Economic Policy Uncertainty have on the changes in CDS spreads. My dataset consists of approx 260 firms over a 80-month ...
0
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0answers
30 views

Hausman Test Issue in R

I am doing panel data analysis with 17 variables in R using the package "plm".The panel has data for 50 firms over 60 days. The random effects model shows ...
0
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1answer
52 views

Repeated measures on a small sample (n=3) with non-normally distributed continuous dependent variable

I would like to analyse repeatedly measured outcome (20 measures) data from an experimental trial I am running on three mice (n=3). My dependent variable is continuous but not normally distributed ...
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16 views

Constrained regression for binary dependent variable

I would like to discuss the methodology for the following case: I have a data for several patients over several years for 5 factors describing the health of a particular patient. Every factor ...
0
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0answers
7 views

longitudinal correlations matrices (structural covariance)

I am interested in doing structural covariance analyses in a longitudinal manner. In structural covariance analyses in our field, we correlate grey matter volumes of various regions of the brain with ...
0
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0answers
24 views

Unequal timepoints longitudinal data with missing values

I have a longitudinal data with unequal time points with missing values. I am looking for methods to impute the missing data. I looked at R packages NORM and AMELIA II and SAS procedures PROC MI. All ...
2
votes
1answer
40 views

Fixed effects and time-invariant variables

I understand that fixed effects removes time-invariant variables, e.g. gender dummy, race dummies, etc. What will fixed effects do to variables that do not vary much over time? For example: Wage = ...
0
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0answers
25 views

Heteroskedasticity test for panel data

I failed to use traditional heteroskedasticity tests in an unbalanced panel data, and I am not very clear on how to proceed in a different satisfactory manner. When trying to plot the residuals ...
1
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0answers
21 views

Adding dummies as control variables change the coefficient

It has been difficult to formulate a title for this question. But here is something that is puzzling me. I have an ordinal probit model with a bunch of covariates. One of the covariates is the number ...
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0answers
13 views

Which model to use for panel data?

For my masters thesis in corporate finance I'm doing a research about debt concentration (i.e. companies using several debt types or only 1, measured by HHI index) I've got several determinants and ...
0
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0answers
7 views

Modelling impact of a variable varied across time but constant across space on dependent variables varied across space and time

I'm interested in exploring a simple problem of modelling an impact of variable varying across time on variables varying across space and time. Details Given are two data sets: Classical spatial ...
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0answers
15 views

Longitudinal design with for time-points for dependent and independent variable

I have a more general question that I cannot seem to answer myself and I cannot find the answer somewhere. Linear mixed models seem to follow the format where the dependent variable is longitudinal ...
0
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0answers
14 views

pooled, fixed or random effects

I have a panel dataset similar to the one generated with: ...
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0answers
20 views

Control group construction in Synthetic Control Method

I want to use the Synthetic Control Method to estimate the effect of the adaption of a new ballot institution (treatment) on fiscal policy. My sample consists of 20 units observed at 100 time points. ...
0
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0answers
13 views

Assessing overall variation for each case in panel data

I have a panel data set - a score on a single measure for hundreds of people, taken once per day for all 365 days of a year. I'm looking for the best method to assess overall variation within each ...