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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Nonlinear GMM for Dynamic Panel Data

A friend of mine needs to estimate a non-linear GMM on Panel data. As I have checked, the softwares for Panel GMM only estimate linear forms (STATA gmm, xtabond, ...; R pgmm from plm package). How can ...
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20 views

help for GEE: need for mathematical model and tests

I'm running a GEE with the following formula (run in Stata: xtgee Y K L M N O MO NO, i(household) fam(bin) link(logit) corr(ind) ...
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19 views

How to graph interaction effects for panel data

I have a pretty generic question which I am guessing could be relevant to many social scientists who deal with panel data sets. What are the best practices for making graphs about interaction effects. ...
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10 views

Correlated Random Effects Probit vs. GEE Population-Averaged Probit

My question relates to recent work on correlated random effects probit models (see these slides from Wooldridge) and comparing them to GEE population averaged probit models: Is one approach better as ...
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14 views

Is it possible to run Arellano-Bond estimator when i have three time periods?

I have a hard time figuring out if I can use Arellano-Bond GMM when I hahve 3 time periods. In the first period there is 37 observations, 47 in the second period and 60 in the thrid period. However, ...
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35 views

Fixed / Random Effects Model

I have the following kind of panel data set, without a time variable. 20 countries are the panel variable and provide data on 48 other countries. The independent variables are 6 (intercorrelated) ...
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26 views

Standardizing count variables in panel data with overdispersion - R or Stata

I'm running a regression where the dependent (response) variable is a highly dispersed (slightly zero-inflated) count and the explanatory (independent or predictor) variables are continuous, counts as ...
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13 views

Levin Lin Chiu test in stata

I need to do a unit root test with my panel data. I have 1500 firms from 98-2000. I want to examine if my LOGwage variable has unit roots or not. When I xtset my panel Firm and year, stata said that ...
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56 views

Understanding the derivation of a ML-estimator

I have the following likelihood function: I'm given this information about the $\Omega$ matrix ($\boldsymbol{1}$ is a $T \times 1$ vector of ones): I would like to be able to show that the ...
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28 views

Non-Stationarity, first differences and Panel Data

I have build a sentiment index and am now validating its statistical properties and significance. I stumbled upon two problems. (1) dfglsindicates that my ...
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1answer
53 views

ISPSS: Cross-sectional time series analysis

I am trying to run a multiple regression in SPSS. I am using panel data with 4 independent variables. Of these, one is a dummy variable. Can someone please guide me through the process or give me ...
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2answers
45 views

Computing effect for each firm for one of the explanatory variable in the panel data (Stata)

Suppose I have panel data with firms $i=1,...,N$ and year $t=1,...,T$. Also, assume that I have the model like below: $y_{it}=\beta x_{1it}+\alpha_{i}x_{2it}+v_{i}+u_{it}$ My simple question is how ...
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2answers
60 views

Time trend or time dummies in a panel

I'm doing a cross-country panel and wondering about the inclusion of time. I've seen people put time dummies for each year in the regression and others instead put a single time trend variable. It’s ...
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25 views

Panel data visualization

Does anyone know how to graph changes in a dependent variable over time, based on changes in several independent variables (i.e., graphs for panel data regressions)?
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16 views

Error computing Robust Standard errors in Panel regression model (plm,R)

I am using the plm library to run fixed effect regressions and the sandwich,lmtest libraries to compute robust standard errors. I have no problem running the regressions, but in some instances when I ...
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19 views

Standard errors in Fixed and Random Effects

If the appropriate model choice is Fixed Effects in a panel study, will the inference derived from the standard errors in an Random Effects model still be valid?
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37 views

Pooled regression and random and fixed effects

Am researching on poverty and growth. I built a model for poverty which includes 11 variables theoretically affecting it. These are inflation, agricultural growth, gini, GDP growth rate etc. My data ...
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12 views

Error message using plm in R: Variable length differ [migrated]

I have a problem using the plm-package in R: assuming that data1 is my dataset, I treid to estimate pooled OLS model: ...
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1answer
43 views

Constrained fixed effects

I need to show that constraining the sum of group level fixed effects (in this case, zero) has no effect on the coefficients of the regressors. My intuition is that each constrained d_i is a perfect ...
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16 views

Test for stationarity in an unbalanced panel

I have an unbalanced panel model and I need to check it for stationarity. So, I need to perform a Unit Root test (I think I will use a Fisher Type Test?). But I am a bit confused whether (1) I need ...
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34 views

Random effects model with PLM: “System is computationally singular”-Error?

I am currently trying to estimate some panel data models in R using PLM package. This includes the estimation of basic pooled, fixed effects and random effects models. Therefore I make use of this ...
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24 views

Translog Returns to Scale Variation

I estimated the so called translog production function: $$ y_{it} = \beta_0 + \beta_1 k_{it} + \beta_2 l_{it} + \beta_3 k_{it}^2 + \beta_4 l_{it} \times k_{it} + \beta_5 l_{it}^2 + \epsilon_{it}, $$ ...
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23 views

Hausman test with or without covariates

I am using panel data and I would like to determine whether I can use the Random Effect (RE) model instead of Fixed Effect (FE) to estimate one coefficient of interest. When I use the Hausman test ...
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58 views

Repeated observations on the same unit at the same time point, how to solve xtset repeated time values?

I’m interested in testing the impact of gender on personal selling. I have data on each salespeople’s amount of sales per customer for 22 months from Jan 2002 to Oct 2003 (amount of sales per customer ...
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57 views

power/sample size for a complex set of equations

I run an experiment in which several teams perform several tasks each (not all teams perform all tasks, but in general, I can make sure that enough teams perform any given task, and that each team ...
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39 views

causal inference with correlated multivariate outcomes

I've been struggling with how to think about the causal estimate of a program on two outcomes, when one of the two outcomes affects the other outcome. It seems sort of like simultaneous equations, ...
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35 views

Dynamic regression and Panel Models

Would I use the same type of multiple regression approach to build a forecast model for sales in one region as I would if I wanted to forecast sales in 5 regions. I was told that I should use an ARIMA ...
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2answers
126 views

Cluster analysis on panel data

I have a panel data set (country and year) on which I would like to run a cluster analysis by country. My data set has around 20 variables. Here's a summary for my panel data: ...
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59 views

Panel data model for exports and exchange rates

Suppose I have 4 years worth of monthly panel data on: exports of widgets $y$ from home country to 12 different nations (in US dollars) nominal exchange rates $x$ for those 12 countries (in US ...
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19 views

Should one remove all autocorrelation?

Or is an AC of say less than 5% (in the residuals) acceptable for continuing with usual Panel Data analysis?
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71 views

Zero-inflated two-part models for semi-continuous data

I am trying to study predictors of companies' pollution output of some specific chemicals. The data I am using have many 0's (i.e., the company did not pollute at all with those chemicals) and then ...
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39 views

Subsets vs pooling in regressions with interactions

Model: $y_{it} = \alpha_{i}+\beta_1 D_{it} + \beta_2 G_i + \beta_3 (G_{i}\times D_{it}) + \epsilon$ G is a group dummy D is a treatment y is an outcome data is a panel $\alpha$ is a fixed effect ...
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28 views

Best way to handle autocorrelation in residuals from panel data regression (FE)

What would be the best way to handle autocorrelated residuals in my panel data analysis (Fixed Effects). What I've tried: -Adding different regressors (no luck there), and besides the current model ...
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2answers
493 views

Sample Selection Model: MLE vs. Two-Step Estimation and Panel Data

I am studying the relatively classical model of selection to estimate the union wage premium, with two equations of salary and one two step equation of selection $\ln(w_{1it}) = X^{'}_{it} \beta_1 + ...
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24 views

What is the best approach for a set of data that is irregular and uneven

I have a dataset with 975 observations from 112 different categories. The timespan of this dataset is 18 years. However, the data is unevenly spaced and even acquired: While some categories have only ...
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47 views

Interpreting plm output in R - number of observations used with very unbalanced panel

I'm running a fixed effects model with the plm function, and I'm looking for help interpreting an aspect of the output. If the output reads: ...
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20 views

Two-state model with transient states for panel data

I need to analyse unbalanced panel data where the variable of interest is a dummy with two non-absorbing states (i.e. switch from 0 to 1 and 1 to 0 is possible at any time period). The goal is to ...
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1answer
89 views

Regression discontinuity design versus panel cointegration

I have a panel data (21 years) and I am trying to figure out whether I should use regression discontinuity design (RDD) or panel cointegration. I do have a randomness in the assignment variable and so ...
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1answer
59 views

The between estimator in panel data

When you model the between estimator of you panel data, you regress the averages of the explanatory variables of the subjects against the averages of the outcome variables of the subjects. But in ...
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73 views

Why does nobody visualise the between and within estimator?

Why can't I find nowhere, neither in books or help files on the internet, graphs of the "in between" estimators and the "within" estimator? Imagine you have the logwages of 10 persons and also their ...
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38 views

How to test Simultaneity

I am researching the influence of ΔENVIRONMENTAL TAXES+ΔENV.EXPENDITURE =>ΔCO2 EMISSIONS. and further, the influence of ΔCO2 EMISSIONS =>ΔENV.TAXES after a certain period of time. I have a time series ...
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1answer
47 views

Panel data regression specifications

I am currently working with a panel data in which I have 6 countries, and the analysis is for 10 years. That is $n=6$ and $t=10$. Is it a good panel? I am really getting confused as people question ...
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Studying whether a policy had an effect outside the normal fluctuations in a time series, with time series cross sectional data

I'd really appreciate a point in the right direction of what models I should study, and the best modelling approach to evaluate a sentencing policy. I certainly am not asking for a full solution, but ...
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1answer
102 views

Variance estimation in Random Effects model

I'm studying panel data models in my introductory econometrics class, especially random effects models. Consider the model: $$y_{it}=x_{it}'\beta +c_i+u_{it}$$ with the assumptions ...
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61 views

Paneldata regression where some variables have common unit roots

I've got paneldata on Y, A, B, C. And I am trying to model dependent variable Y on independent variables A, B, C. First I checked for unit roots (in Eviews). Y, A, B, C have no individual unit ...
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34 views

Panel data Random Effect implications

when using an unbalanced panel with Nxtreg and found the Panel to be a Random effect Model (as results of HAUSMAN test estimations), does it have any implications on the other test? or it means we use ...
3
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1answer
143 views

What is the best technique for panel regressions (ols, fixed, between, random effects)?

I have panel data which includes American states (1-48) and years (1900-1917). All the variables are time-varying with one exception. This exception is time invariant and a three level categorical ...
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1answer
88 views

Test for differences in coefficients across groups in panel data

I am wondering how to test for differences in regression coefficients across groups in panel data (after a fixed-effects regression). Particularly, I can't think of a solution of how to construct ...
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1answer
56 views

Panel data issue in gravity model

I am using panel data set and want to know which model I should use, fixed effect or random effect. On which basis is this selection done? When I asked my teacher he told me that model is selected on ...