Panel data refers to multi-dimensional data frequently involving measurements over time in econometrics. It is also called longitudinal data in biostatistics.

learn more… | top users | synonyms (2)

0
votes
0answers
4 views

ECM or first differences if panels are integrated of different orders

I have panel data and am interested in modeling short and long-run effects. Question: What are the consequences if some of my panels are I(0) and others I(1)? Some have suggested I can just pool ...
0
votes
0answers
12 views

Which test statistic to use to test for cross-sectional dependence in panel data (R, plm)?

I would like to test for cross-sectionally dependent residuals in my panelmodel (pooled). I found pcdtest() in plm package and tried ...
1
vote
2answers
28 views

Time fixed effects - inclusion of time-invariant variables possible?

I am running a regression with panel data and there are some variables that do not change over time (industry,...). As I do not want the time trend to influence my results, I decided to use a time ...
0
votes
1answer
9 views

What kind of assumptions do I need to test when running a fixed effects panel model?

I am running a regression analysis on a panel data set. The Hausman test and the logical setup of the research question indicate that a fixed effects model would be best for running the regression. ...
0
votes
0answers
37 views

A model for repeated treatments and repeated outcomes

I have the following data: Measurements of kidney function (in units called GFR) taken at several time points pre-operation (not evenly spaced) and at several time points post-operation. Here's my ...
0
votes
0answers
10 views

Autocorrelated residuals in pooled panel model

I have found several questions dealing with autocorrelattion and panel data, however I am not sure if the answers are applicable to my data/problem. I apologize in advance for possibly posting a ...
0
votes
0answers
12 views

difference in difference cross section or panel

Hello so i am doing some econometric on inflation targeting. What do you recommend I use if I am doing difference in difference with CPI quarterly: the method of collecting data on should it be cross ...
0
votes
1answer
35 views
0
votes
0answers
13 views

Estimate dynamic panel data in R [closed]

I'm working with a balanced panel of macroeconomic data. In Judson&Owen(1999) I found that possible estimators are Andersona-Hsiao(1981), LSDVC derived from Kiviet(1995), Arellano-Bond (1991). How ...
1
vote
2answers
24 views

cross-sectional data : regression model

I'm using a cross-sectional dataset ( just one point in time) and want to use a regression. In literature, mostly an OLS regression or a regression with fixed or random effects were used. However, I ...
0
votes
0answers
6 views

using panel data for for evaluation of policy [closed]

I have a unbalanced panel data for years 2004 and 2011. A policy introduced in 2007, I would like to find out policy impacts. How do i model treatment variable in panel data analysis?
0
votes
0answers
12 views

Repeated Measures ANOVA or multi-way ANOVA - longitudinal data (SPSS)

In my project, we are "tracking" students' attitudes across three years using a Likert survey, with 5 sections. Students complete a pre- and a post-survey at the beginning and end of each year. ...
2
votes
0answers
45 views

What statistical models / approaches can I use to estimate missing hourly values?

My dataset consists of hourly values by weekday across several sites, where the sites vary by spatial location and by other common characteristics, such as type, or 'cafe,' 'restaurant,' and 'bar.' ...
0
votes
1answer
12 views

Estimate the two groups in a panel data estimations simultaneously

how can I estimate two groups of countries in a data estimation panel simultaneously? (In order to compare the results between two groups, in one estimate). I should note that I am not allowed to give ...
1
vote
0answers
14 views

How to analyze Time-Series Panel Data with Binaries?

For a project I have collected some data. The Data has some binary variables (success(0/1), Manager present(0/1), First_Third (1 if the observation was in the first third of the project, 0 otherwise) ...
1
vote
0answers
10 views

Decomposition of variation into cross-sectional and time series variation

I have a panel dataset covering 20 counties and I have 150 monthly datapoints for each country. Specifically, my data consists of stock returns from each individual country. I want to dig deeper into ...
0
votes
0answers
13 views

How do I compare a continuous response variable across three levels of an IV at multiple time points when the IV is not fixed?

I'm proposing a project for a longitudinal data analysis class (it's about repeated measures ANOVA, GEEs, etc), but I'm a little stuck in choosing the correct analysis for my data. I have 20 years of ...
1
vote
0answers
10 views

Is there a cross-sectional / cohort hybrid study design?

We are looking to evaluate non-causal relationships between two variables ascertained at different points in time. These data come from a longitudinal cohort study where other risk factors were ...
0
votes
0answers
20 views

Can longitudinal studies ever be treated as having independent observations?

This may be a dumb questions, but for sake of statistical analyses I'm wondering if the data of a longitudinal study can ever pass the assumption of having independent observations? For example, I am ...
1
vote
0answers
19 views

Where can I found an implementation of a dynamic panel data model with garch in mean effects in R, Python or other language?

Where can I find an implementation of models such as the ones described in Cermeño and Grier (2001)? This is particularly interesting to estimate risk-return relationships using cross country data.
2
votes
0answers
18 views

Dynamic Panel data with large T

Given a data set with n=2634 and T=92, I want to estimate a dynamic model. My first though was to use a classic System GMM estimator, however digging through the literature it turned out that there ...
0
votes
1answer
23 views

Panel count data, choosing between xtpoisson cluster-robust versus negative binomial

I have a panel count data and I would like to estimate it with fixed effects. My data shows a little bit of overdispersion (when fitted with quasi-poisson the overdispersion parameter is 5.01 and the ...
0
votes
0answers
16 views

Propensity score - how to deal with panel data?

I am researching mergers and acquisitions. The overlying question is the following: Do companies acquiring targets in a merger wave (i.e. a period of time where abnormally many acqusitions take place) ...
0
votes
0answers
12 views

How to use adaptive lasso to do subset selection with longitudinal data?

How to use adaptive lasso to do subset selection with longitudinal data? Use R packages Adaptive lasso in R In the website above introduces the R code,but I don't know how to use it with longitudinal ...
3
votes
1answer
29 views

random effects and clustered errors

I am running a panel model using an linear regressor. A Haussman test indicates that the random effects model is better than a fixed effects. I am also clustering the errors on country code. I would ...
1
vote
0answers
16 views

Calculating within, between or overall R-square in R [migrated]

I'm migrating from Stata to R (plm package) in order to do panel model econometrics. In Stata, panel models such as random effects usually report the within, ...
0
votes
0answers
14 views

Two-Part Model with Panel Regression

Can I estimate in the first part (using probit/logit) of the 2P-Model the probability of an event to occur (using an indicator variable where ind = 0 if dep=0 and ind = 1 if dep>0) and in the second ...
15
votes
1answer
222 views

Can splines be used for prediction?

I cannot be specific about the nature of the data as it is proprietary, but suppose we have data like this: Each month, some people sign up for a service. Then, in each subsequent month, those people ...
0
votes
0answers
27 views

Interactions with a time invariant control in a fixed effect model

I am looking to add individual-fixed effects to a panel model. I have an interaction which includes a time-invariant variable (e.g. gender) interacted with a time varying variable (e.g. ...
1
vote
0answers
21 views

Should I control for categorical control variables that are related to my independent variable in panel with many panels, short time length?

I am doing a panel study where I have a sample of persons $i=1...N$ (up to $N=300$), that have some personality dimension quantified as variable $x$, over a time horizon $t=1...T$ (up to $T=20$). From ...
0
votes
0answers
26 views

AIC / BIC alternative in random effect model

I am looking at at panel data set. Hausmann recommends using random effects modeling, I have 3 nested models and Wald believes each step to add information. However, since some of the parameters had ...
0
votes
0answers
48 views

Stata: How to carry out System-GMM estimation for Dynamic Panel Data

I am using Stata 13 to estimate a Dynamic Panel Data with the System GMM. I would like to use the second lags of variables (both dependent and independent variables) as instrument for the difference ...
1
vote
1answer
61 views

Quantile regression versus OLS with dummies

I want to regress a variable Y on another variable X (with appropriate control variables and fixed effects) in a panel data setting. Two approaches come to mind: Use quantile regression; Use OLS ...
0
votes
1answer
17 views

Multiple imputation with firm R - options for including firm level fixed effects

I have a rather large panel data (ca. 600 000 obs in ten years and 75 000 firms) that has some missing observations that need to be imputed. I have thus far managed to impute the missing values with ...
0
votes
0answers
23 views

Same coefficients for fixed effect, random effect and OLS with panel data

I have a panel data on nonperforming loans from 1990q1 till 2014q4 with 30 banks. I would like to estimate both fixed effect and random effect model with gdp growth, unemployment, exchange rate, and ...
1
vote
1answer
52 views

Use of fixed effects and random effects

When can we do a linear regression without fixed or random effects and when do we need to use those in the regression analysis? I have tried studying a lot but have got only a vague idea. I would be ...
0
votes
0answers
40 views

Stata estimation of Panel Smooth Transition Regression

I would like to estimate a nonlinear panel regression using the Panel Smooth Transition method proposed by Gonzales, Terasvirta and Van Dijk (see link) I would like to do it in Stata, but I am stuck ...
0
votes
1answer
44 views

Cross sectional dependence in panel data

I am running a fixed effects model and included time effects. For the cross sectional dependence test I am using the Pesaran CD test. However, I am not sure if I have to perform the test for ...
0
votes
0answers
25 views

Propensity score matching in a longitudinal setting

I am using Stata 13 to investigate a local programm aimed at reducing obesity amoung teenagers and adolescents in a school. I have a balanced panel over twelve years and a couple of covariates (like ...
0
votes
0answers
23 views

Some, but not all, panels seem to cointegrate

I am trying to estimate the long-run relationship between equity prices and bond default risk measures using a 250*250 panel of firms. There is strong theoretical evidence that there is a relationship ...
1
vote
0answers
19 views

Right way to use lags?

I came across a study that analyzes firm performance. Specifically, it aims at answering the question if firing a CEO leads to better performance. In the study, the author splits the sample into two ...
0
votes
0answers
32 views

Control variable for OLS -Panel regression

i am writing a paper analyzing What is the effect of corruption on Government expenditure (education,health,military and infrastructure). I have data for 30 countries for time period 14 years. So it ...
0
votes
0answers
18 views

Suitable Estimator for Panel ARDL

Any body knows what are suitable estimators available to estimate panel ARDL(p,q) with N = 6 & T = 48? I tried to use mean group and pooled mean group estimator by Pesaran and Shin (1999) by ...
1
vote
1answer
34 views

Can fixed effects be “post-treament”?

I have located a natural experiment in a time series cross-sectional dataset, but I am unsure of whether or not to include unit-level fixed effects in my models. I have produced a toy example that ...
0
votes
0answers
35 views

Number of interactions terms in a panel regression set-up : Triple interaction terms

In my sample, I have two types of funds. I would like to see if Type A fund shows different results than Type B. The way I distinguish them is through a dummy variable (with Type A fund having the ...
0
votes
0answers
3 views

Suitable (Bayesian) panel data model, allowing for nonlinear effects of certain variables and incorporating model uncertainty

I've got a panel data set and I'm looking for a suitable (Bayesian) model, which allows the effects of certain variables to be nonlinear (more than just U- or inverse-U-shaped) and additionally also ...
0
votes
1answer
33 views

Negative variance random effects model

I am running a panel data analysis with the following problem: the variance of the individual effects in the random effects model is negative I've read that one possibility is to set the variance ...
0
votes
1answer
39 views

Time fixed effects

I have a question regarding the test of time fixed effects. In the scientific literature there are two ways to test for time fixed effects. The first possibility is to test for time fixed effects by ...
1
vote
1answer
52 views

Fixed and time effects - R plm() vs. Stata xtreg

I have to do some panel regressions and because I received the data as an .dta stata file, I first ran all regressions in Stata and all went fine. Later I wanted to reproduce these regressions in R ...
1
vote
0answers
25 views

Merging Cases in SPSS [closed]

In my data set, I have multiple cases with the same ID, but with different values for the variable "Time". For example, I have 3 cases, all with an ID of 7, but with different Time values (1, 2, and ...