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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Conditional Fixed Effect logistic model with unbalanced multilevel panel data

I have troubles finding methodology to test a model in R. My question may be long and contain many details, but I will be glad if somebody can help me and give some hints how to tackle it. I have ...
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5 views

prediction of Random Effect (BLUP) in unique model framework

Basic question: Is there any method that could predict the random effect in different model framework than GLMM(generalized linear mixed model)? while I was reading ...
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13 views

Estimation of correlation matrix for panel data

I want to estimate correlation matrix for panel data. However, I am confused how to proceed? Should I estimate it as pooled, over time, or cross-sectionally? ...
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12 views

how to deal with panel data with categorical variable in regression

I have got a panel data regarding to electric consumption(including total consumption,AC consumption and light consumption) among different buildings.There were categorical variables I have already ...
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16 views

Time trend in DF unit root test

I have a couple of questions concerning the time trend (βt) in an augmented Dickey-Fuller test for panel data: 1) From what I understand there is no clear rule/standard or test as to when to include ...
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22 views
+50

Average Marginal Effects from Chamberlain-Mundlak Device CRE Probit

I am trying to calculate the average marginal effects for the Chamberlain-Mundlak Correlated Random Effects probit model. The ultimate goal is to get something equivalent to the AME from the fixed ...
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4 views

sample size for longitudinal quasi-experimental evaluation

I am working on the evaluation of a proyect designed to help crime victims to overcome their experiences. My main hypothesis is that the program prevent these victims being crime victims again. Since ...
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16 views

Sales Regression Analysis: Control for individual sales people

I am doing analysis on sales person behavior. I am measuring what effect certain sales behaviors have on revenue. An example of measured behaviours might be: number of phone dials, time on the phone, ...
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37 views

Mathematical derivation of correlation in dynamic panel data model

My question is about deriving a result in Cameron and Trivedi - Microeconometrics (2005) on page 763, section 22.5.1. The section's subject is Dynamic Panel Data Models - True State Dependence and ...
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1answer
28 views

How to estimate customer purchase likelihood from how often they visit?

I am looking for a model that determines the likelihood of a customer making a purchase after visiting my website multiple times. What I anticipate is there's two types of visitors... (1) those that ...
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14 views

Analyzing event occurrences in panel data

I have a dataset with over around 50 firms over 10 years, 8 time varying firm level characteristics as predictor and as response, technologies that they adopted each year. For the response variable, ...
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1answer
29 views

Include time dummies with xtreg,fe? [closed]

Is running: xtset panelvar timevar xtreg dep indep, fe the same as just running ...
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35 views

How should I include age in this mixed-effects model?

I've got repeated measures of hearing thresholds for a set of patients who each have a different inner ear measurement. This data is unbalanced, there are a varied number of measurements at varied ...
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16 views

State space modelling of longitudinal data in r

I have n stations, and for each station there are m time series observations on different days, each of length ...
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26 views

Difference in Difference With Multiple Treatment on Multiple Time Periods

I have panel data and I want to apply DiD. However, I don't have any specific time period for the treatment but treatment occurs at different time periods for different units. A unit may get treatment ...
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27 views

How to estimate a fixed effects regression WITH robust standard errors AND instrument variables

I have been trying to estimated the stated problem, but I only succeed in parts of it. The following artificial setup is supposed to illustrate my problem in detail: Setup the data: ...
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1answer
61 views

What is the probability of the first positive event in an sequence of binary events where sequences have finite but random lengths?

I have a time series of observations from a longitudinal study of individual objects. These observations are seen as discrete sequences of features, one sequence per object. The sequences have ...
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13 views

Panel Data inference with small Sample

I am studying the Public expenditure regarding Health and Pensions in the European Countries, during 17 years. Which means i have t=17 and n=28. Will this small sample lead to non-valid inference? ...
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14 views

How can I account for multiple standardized tests being used during a longitudinal study?

I am currently conducting a longitudinal study of the growth of student test scores over time, and many of the districts in my study have switched to a new state assessment. The new assessment and the ...
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15 views

General question regarding unit-root tests on panel-data

I am running FE and RE regressions and my Prof. suggested that I run unit-root tests. I have been trying to do that with R but am not able to find a library that will handle unbalanced panels with ...
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16 views

R: Calculating Unit Root for unbalanced data with gaps

I have panel data that I need to calculate a unit-root test on. The data is unbalanced and has gaps. Does anyone know of a library that handles unbalanced panel-data with gaps? I have tried the ...
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11 views

Trend break in panel data

I have a panel of countries (N= 30) over four decades (T= 40). I would like to test the impact of a policy by analyzing whether it led to a change in the trend in the outcome variable. Note: The ...
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13 views

What is the formulaic relationship between R2 and correlation coefficients between different units in a balanced panel data set?

I am trying to understand the relationship between R2 and correlation coefficients between different units in the underlying data. Specifically, I have a balanced panel data set, with N different ...
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20 views

Autocorrelation specification in lme )

I am modeling wood properties variation of several individual within the same tree species using multilevel lme(). I specified a first model as : ...
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1answer
46 views

How to do hypothesis testing for many individual means over time?

There is a data set that has yearly data for mean values of the number of ice creams eaten for 5 persons. The data set has values for 5 persons and 5 years(5x5 panel). Suppose due to some theory it is ...
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6 views

Main assumptions of longitudinal support vector classifier

When looking for methods to perform classification on longitudinal data, I stumbled upon Longitudinal support vector classifiers, which seeks to find not only the hyperplane parameters $\alpha$ but ...
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22 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 years,...
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13 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. ...
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42 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 ...
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2answers
151 views

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 G\...
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44 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 ...
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1answer
52 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 ...
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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, ...
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1answer
73 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 could ...
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17 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 ...
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1answer
25 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: $$...
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18 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). ...
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17 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 ...
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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 ...
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1answer
33 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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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" sub-...
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1answer
52 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 ...
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18 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 ...
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17 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 ...
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1answer
44 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 ...
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78 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 ...
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2answers
123 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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18 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 ...
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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 non-...