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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Machine learning algorithms for panel data

In this question - Is there a method for constructing decision trees that takes account of structured/hierarchical/multilevel predictors? - they mention a panel data method for trees. Are there ...
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107 views

Fractional polynomials vs GAMs

I have been analyzing panel data for a while now using different methods (Generalized Linear Models, fractional polynomials and GAMs). If we just ignore GMMs for now, I have come to find that ...
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34 views

Panel data with N < T heteroscedasticity and autocorrelation. Should I include country dummies?

I have panel data of $N=18$ countries with $T=72$ months. Heteroskedasticity and autocorrelation are present in the dataset. I was working in Stata with xtreg fixed ...
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98 views

Are time series methods only good for forecasting?

Many time series methods are oriented solely in terms of forecasting (e.g., ARIMA). However, it seems like a growth curve modeling framework (i.e., random coefficient modeling) can do virtually ...
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1answer
30 views

Hausman test FE vs. RE in case that FE is not consistent

I have a twin panel data and want to estimate simple wage equation (interest in return to education). I use fixed effects(first differencing) to account for family background.(Based on: Ashenfelter ...
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8 views

Request for literature on applications of manifold-valued random variables in medical imaging

I'd appreciate some references/literature on the applications of manifold-valued random variables, i.e., random variables $X:\Omega\to M$, where M is a manifold (could be even infinite dimensional), ...
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17 views

Is there any difference between pooled cross section and pseudo panel data?

I have a 17 years (1997 - 2014) of data from independents surveys. It's a large dataset (with around 1.2 million observations), which I'm using to measure the effect of distance on unemployment ...
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32 views

Outliers in panel data

I have a panel data with 4 waves. The variable of interest for me is hourly pay which increases on average from wave to wave. I want to drop the observations with hourly pay in the bottom and the top ...
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27 views

I am doing PhD in Finance on the topic “international comovement of stock returns” and want to use panel data Cointegration technique. [closed]

But faces the problem that how will I analyze different countries in panel. For example if I want to find cointegration between European and Asian countries, how can I take these countries in panel to ...
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25 views

How Can I Model Multiple Short Time Series Samples?

How Can I Model Multiple Short Time Series Samples? For example, let's say I have a new subject each month, and I measure each subject every day for the entire month. I then want to model these ...
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16 views

Interpreting fixed effect result

I've estimated my fixed effect model and a selection of the results are as follows; R-sq: within = 0.6827 between = 0.3321 overall = 0.4672 F test that all u_i=0: F(50, 499) = ...
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1answer
47 views

Using year fixed effects on data with yearly observations

I have a panel data set with yearly observations of various firms over a period of 5 years. I am running a fixed effects model in Stata using xtreg. Is it ...
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17 views

Imputing missing values of predictor for use in Regression Models

I have a panel data set that extends from January 2013 to July 2014. The response variable is complete for the entire period, however all of the predictor variables have values only up to June 2014. ...
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1answer
20 views

Running multiple FE in Stata [closed]

So I have data from ~400 cities and 15 years. I am trying to do a regression of y on x and z with fixed effects for these. I have been trying ...
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1answer
50 views

Getting a meaningful metric for variation in this type of cyclical, panel data? WSS won't exactly cut it!

This is related to a previous question I have asked, but I am not after visualization but rather a meaningful summary statistic. Situation: I have many (150k) customers. Each generates his own ...
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2answers
74 views

Time-invariant variables not being removed in Fixed Effects model. And feasibility of addional time dummies in Fixed Effect/Random modelling

I am working with severely unbalanced Panel Data of a nations Fisheries where I have individual data from all deliveries made by every single vessel. Thus far I have reshaped the data so that every ...
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1answer
428 views

How to use the Hausman test for gender discrimination?

I am trying to estimate the gender wage gap for male and female office workers in a large Swedish company to test whether there is gender discrimination. The Hausman test rejects the null that the ...
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2answers
47 views

Panel data methods

My dataset is following: firms=1000, time period=10 years, countries=20, industries=15. I declare in STATA: xtset firmid year I want to control for the ...
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16 views

Testing for Changes in Autocorrelation Levels following Shock

I'm working with an (unbalanced) panel data set. I'm interested in testing whether the autocorrelation of a variable, $F_{it}$, changes following a sudden event $Z_t=1$, where $Z_t \in \{0,1\}$, ...
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10 views

To demean or to use dummies in maximum likelihood

I have a dynamic panel data with T=20 and N=1500 and I use a maximum likelihood estimation (more precisely its a VAR). Using a dummy variable approach to account for fixed effects introuduces an ...
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37 views

Fixed Effects at Different Entity and Time Levels

This is a project I'm working on. I have MONTHLY values of X for employees of firms and I want to know how these affect YEARLY values of Y for those firms. The Y values are the same for all ...
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21 views

Multicollinearity test for panel data

I am using the within estimator (R, plm package) on an unbalanced panel with stock returns as the dependent variable and a number of financial ratios as the independent ones. I want to test for ...
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19 views

R-Multicollinearity in panel data

A similar question has come up before: Test for Multicollinearity in Panel Data R I am using the plm package and the within estimator on an unbalanced panel for a project and want to check for ...
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1answer
39 views

How to bootstrap panel data?

I'm fitting some machine learning algorithms (e.g. SVM) on my panel data. It's taking too long for my entire dataset, so I'm considering generating smaller samples from bootstrapping then fit the SVM ...
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18 views

PANEL model (MCMC): Equivalent of system GMM in MCMC

I want to fit a PANEL model via MCMC. I am concerned, that I got some covariates that are endogenous. I use MCMC for various reasons, particularly cause I got some spatial dependencies in my model. I ...
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11 views

Need help with Random Effect specification in Multilevel (mixed models): nested Random Effects and a_priori known regimes (MCMCglmm)

I need some advices with the specification of the Random Effects in my Mixed model. I got Panel data from 500 (i) district nested in 50 (j) towns over 10 (t) years. There are 3 ex-ante known regimes ...
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30 views

Aggregating forcast to higher spatial level

I am working on a project doing out of sample estimates of wheat yields at the village level in STATA. I am using a short panel 3 years and a sample of ~3000 villages. We are estimating a RE model and ...
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22 views

Marginal effect calculation after logistic regression with panel dataset using R

I would like to perform a logit regression with a panel dataset, I know that the pglm package does the job, however, does anyone know if there is a standard package in R that allows me to calculate ...
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45 views

Recommendation for books/notes for linear mixed effect models for longitudinal data?

I'm a beginner in data analysis who needs to learn (say in a period of 2 to 3 weeks or so) the key ideas and techniques in the linear mixed effect models for longitudinal data. I'll apply them in ...
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18 views

Missing Values in Dependent Variable and the Question on Tobit model (Panel Data)

I would appreciate some help and guidance on this issue. I have a panel data that looks like this. What I want to do is use the FDIflow variable as a dependent ...
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25 views

Alternative specific conditional logitstic regression with clustering on in individual in panel data: scientifically and computationally reasonable?

My scientific interest is to calculate the price elasticity for an overall set of products (books) in a panel dataset of observations over a 3 year period and I was wondering whether asclogit ...
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1answer
118 views

Hausman test after xtregar negative chi2

I'm performing a Hausman test on panel data to determine whether to choose Random Effects or Fixed Effects for my analysis with AR(1). After performing the test I get a negative $\chi^2$ statistic ...
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24 views

Fixed effects in panel data, correlations/coefficients don't add up

I am doing a regression on panel data for firms. The dependent variable is the Marginal revenue product of labour (RPL), i.e. labour productivity, and the independent variable is the average wage of ...
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13 views

Multilevel model when treatment occurs at intersection of non-nested groups?

I'm formulating a multilevel model in which my binary treatment happens in certain country-years. In other words, the treatment is at the intersection of certain countries (group 1) and certain years ...
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24 views

Likelihood function for MANOVA

I'm trying to get a handle on MANOVA and Repeated Measures ANOVA. My confusion is around what the likelihood function looks like. Here's how I would formulate the likelihood function Notation: The ...
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1answer
34 views

How to estimate model where instrument is correlated with dependent variable

I have the following problem: I would like to estimate the effect of price variation caused by uncertainty on an outcome variable. P is my price, X is the variable measuring uncertainty and Y is the ...
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1answer
23 views

Time-variant & Time invariant & Time-related

In Longitudinal study, What are "Time-variant covariates", "Time invariant covariates" and "Time-related covariates"? and what is differences between them?
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29 views

Goodness of fit for a spatial panel with fixed effects and both spatial lag and spatial error

On a dataset, I performed spatial panel regressions with fixed effects, and with both a spatial lag and a spatial error (both are significant), using package splm in R (Millo and Piras 2012 Journal of ...
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5answers
207 views

What's the difference between time-series econometrics and panel data econometrics?

This question may be very naive, but the way I'm taught econometrics I'm very confused if there's a difference between time-series and panel data method. Regarding time series, I've covered topics ...
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1answer
49 views

Too many significant dummy variables in fixed-effect panel model

I am doing panel analysis of state drug policies. My data set includes 50 states and ten time points. I am using one-way state fixed-effect models, controlling for heteroskedasticity and ...
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0answers
10 views

Including non-linearity to the first difference

I have an issue running the First diffeerence estimation. After running it with all the controls I got a really low RESET test, and thus would like to add a non linear term to my model. In order to do ...
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39 views

Request for reference for longitudinal data analysis which is mathematically well-written

I'm a person with graduate level mathematics and some undergraduate statistics background, who'll have to study some basic longitudinal data analysis. I've studied the basics of correlation and ...
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54 views

In a longitudinal analysis, is it valid to adjust for a covariate as change-score and also include the baseline covariate value?

We have a situation where we want to test the association between X and Y, but the change in X from baseline is more interpretable. There are several possibilities I see for setting up the model. But ...
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1answer
52 views

Nonstationary panel data, spurious regression

I would like a more detailed explanation of this quote: "Unlike the single time series spurious regression literature, the panel data spurious regression estimates give a consistent estimate of ...
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12 views

How to model dynamic relationships in panel data when units exhibit heterogeneous variance

So I'm taking a look at a dataset of about 200 individuals, each with a number of variables measured 50 times longitudinally. A lot of these variables are subjective, and scored on a scale of 0-100, ...
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24 views

Discrete Choice Models

for mulitnomial (or mixed) logit models, when the choice set is too large, either strategic sampling or random sampling of the choice set can be used. My question would be: Is that also true in ...
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14 views

pggls function in R - weird results

I need to estimate a panel model. I have run the "normal" fixed effects model using plm in R and also wfe. I also wanted to try pggls considering its tolerance of heteroskedasticity and ...
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30 views

Analysis of a longitudinal study where interventions are received at different time points

I have a data set of university students. The university has 8 different assisting programs, mostly like scholarships, for needy students to help them concentrate on their studies. Since it costs a ...
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39 views

Organizing data using time series multivariate regression?

I am trying to understand how I can organize the following data since none of what I learned in my undergrad econometrics course works. I am running out of ideas. I am trying to measure how the ...
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57 views

Modelling Fixed effects in panel data regression models

I was given the following equation: $$\sigma_{it} = \beta_0 + \beta_1 x_i + \beta_2y_i + \beta_3vs_{it} + \beta_4vm_{it} + \sum_{i=1} \gamma_i \alpha_i + \sum_{t=1} \omega_t \phi_t + \epsilon_{it}$$ ...