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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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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24 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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22 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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38 views

Modelling Fixed effects in panel data regression models

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

Longitudinal data analysis with a single group

I need you assistance with finding the right model to analyze longitudinal data with a single group. My data comes from the ophthalmic field, i.e. eyes. I have n subjects. For each subject, one eye ...
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1answer
8 views

Historical forward exchange rate data between $/yen [closed]

Does anybody know where I can find historical forward exchange rate data between the us $ and yen? I've looked for quite a while (federal reserve, OECD, Thompson Reuters, etc) but haven't been ...
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14 views

What to use when chi-square independence assumption is violated

I'm trying to describe the characteristics of the sexual partners of each participant. There are multiple partners per participant. All of the variables in my analysis are categorical, so originally I ...
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6 views

pooled OLS VS multiple linear regression

somebody help me to understand the difference between pooled OLS vs multiple linear regression. i learned panel data analysis consists of three: 1. pooled OLS 2.fixed 3. random my understanding ...
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23 views

Longitudinal data: baseline effect versus random intercept 2

My question follows this post: Longitudinal data: baseline effect versus random intercept The topic is very interesting and I have two further questions, one very practical and another about ...
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31 views

How can I model this problem?

Genetic algorithms are a kind of evolutive approach to problem solving where solutions are randomly generated and crossed with each other as to produce other solutions. With each generation or ...
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1answer
42 views

Measuring longitudinal data where individuals have missing observations

We have a longitudinal panel of X users with their online spending patterns and are trying to measure certain metrics within the panel. We have time series information about the users such as their ...
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23 views

Longitudinal data analysis, effect of different treatments on movement behaviour

I did a playback experiment with 4 different treatments (M, R, MR, ...
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1answer
35 views

Does it make sense to add random coefficients to a fixed effects (fixed-intercepts) model?

If you have panel data, and you fit a model like $$ y_{it} = \alpha_i + X_{it}'\beta + \epsilon_{it} $$ then you have $E[\hat\beta] = \beta$ if you can make an argument that $E[\epsilon]=0$. This is ...
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166 views

Longitudinal data: baseline effect versus random intercept

The variable $Y$ is measured at time points $t_1$, $\ldots$, $t_9$ for each of five objects. Also available for each object is the value of $Y$ at time $t_0 = 0$ (baseline). Thus, the sample size is ...
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11 views

Should I standardize response variables in a panel regression?

Suppose I have the following Data $Y_{it}$ = price of one foreign currency in one US dollar, at time t, where i= different countries[Australia, Japan] $X_{it}$=employment rate and other explanatory ...
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14 views

Longitudinal design: how to take into account baseline measures

I have a (small) data set of 15 subjects randomly assigned to one of two groups. All subjects were measured at 7 time points. Ideally, I would like to answer if the groups differ at certain time ...
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21 views

Linear model with longitudinal data, predicting difference

I have a set of data for 2 visits in patients and I would like to see whether there is a effect of a difference of one variable on another. So, lets say, my variables are A, B, age + gender. I want ...
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1answer
78 views

Is subtracting individual means in pre-processing an appropriate alternative to dummy variables for fixed effects panel data estimation?

Is subtracting individuals means during pre-processing of panel data exactly equivalent to including dummy variables for fixed effects estimation? If not, what are the differences, and is there some ...
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2answers
101 views

Propensity Score Matching with time-varying treatment

The basic propensity score matching procedure works with cross-section data (ie collected at a certain point in time). The popular psmatch2 command uses a dummy variable indicating that an ...
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1answer
70 views

2-stage panel model - am I doing it right?

I ran a 2-stage fixed-effects panel model in R. The goal is to find the effect of strategic alliance participation on firm performance. Alliance participation is not random - firms self-select (and ...
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25 views

R plm: understand pmodel.response

I need help in understanding the pmodel.response function from the R package plm. So far I have interpreted this as a way to get ...
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27 views

Panel data models when some regressors are non-stationary - I(1)

My model is $$ Y_{it}=X_{it}'\beta+\varepsilon_{it} $$ where $Y_{it}$ is a vector of weekly observations of a dependent variable and $X_{it}$ is a vector of explanatory variables (also weekly) with ...
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15 views

Which panel to pick when there is overdispersion in longitudinal data?

This question relates to a previous question I asked a while ago that unfortunately remained unanswered. I hope someone can give me an answer or a suggestion / comment that could help me out. I am ...
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1answer
15 views

conditional independence in repeated measures design

How the responses are independent when conditioned on random effect in repeated measure analysis (linear mixed model)?
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16 views

when to use panel time-series regression vs seeming unrelated regression

I am a bit confused on whether or not I have to use a fixed-effect panel time-series method or SUR (seemingly unrelated regression). To get a background of what I am trying to do, I have 10 panels of ...
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29 views

Panel data forecasting from Arellano-Bond GMM estimation

I want to come up with predictions of final energy demand per capita (fe) for a panel of countries. Explanatory variables are GDP per capita (gdp) and population density (pop) -- all variables are ...
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67 views

Difference-in-differences with no pre-treatment?

The typical difference-in-differences estimator (as fixed effects) fits a model of the form $$ y_{it} = \alpha_i + \delta T_{it} + X_{it}'\beta + \epsilon_{it} $$ where $T$ is some treatment that ...
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22 views

wrong reported Total Sum of Squares in time fixed effects with plm (twoways)

I was sent here from Stackoverflow because this is more a statistics question. I hope I am in the right place now! The summary command of a plm regression with the (factor="twoways") argument reports ...
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1answer
41 views

Modelling Issues in panel regression

I came across a paper that uses a panel data of US states (from 2000-2010) with the following model: $y_{it}=b_{1}x_{it} +b_{2}x_{it}*D_{it}+other vars + \alpha_{t} + \gamma_{i}$ where, $x$ and $y$ ...
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1answer
43 views

Removing Time-Series Variance from Panel Data

We are working with panel data. But we want to study only the cross-section part of the panel data. So can anybody please tell me how to do any kind of data transformation, so that I can remove the ...
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42 views

Is two years enough for panel data analysis?

I have around 800 companies for only two years period. However, around 200 of them have only one year observation. Is it still possible to conduct panel data analysis with such data Thank you
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31 views

Regression inconsistent results?

I have a question regarding the findings in an article which I don't fully grasp. The authors examined the relationships between variables measured at different time points. They found that a ...
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119 views

deeper lags in dynamic panel regressions using xtabond2 in STATA

I know this kind of question may be asked a number of times in this community or in other web sites. I am kind of knowing what to do. But just to make sure I did not misunderstand anythings, I pose my ...
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12 views

Detecting pattern in panel Data R

I am struggling on panel data in R. I detected some serial correlation within my data, and now I would like to detect some pattern within it. There are 166 observations and 34 variables and the data ...
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28 views

feature selection for longitudinal data

I have a longitudinal data which looks like this. Number of time points are different for each ID. Y is the binary response variable (take values 0 & 1) and X1-X20 are either continuous or ...
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26 views

$J$ statistics to $p$-value of $J$ statistics an vice versa

I am not entirely sure if I should ask this question here, but does EViews has a function of converting J statistics to p-value of Jstats, or other way around. I am running several GMM estimations ...
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1answer
29 views

How to transform time-varying covariate measure of response time in a multi-level model of longitudinal data?

I am trying to fit a multi-level model to some longitudinal data that I have. As an example, let's pretend participants had to make 10 basketball free throws, and I measured how long it took them to ...
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1answer
59 views

J stat problem, GMM

I have recently performed a GMM estimations, my problem is that all the J-stats are 0.0000. It means that the IV are overrefined right or the model is not well specified. I used one-period lags of the ...
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1answer
45 views

A Kalman Filter for estimating z-scores?

I have been struggling to fit the following problem into a linear state space model for a Kalman Filter (KF). I'm having a hard time seeing what I'm doing wrong. I suspect I'm violating some law of KF ...
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19 views

R plm strange error when using pgmm

I have a data.frame that looks like this: ...
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1answer
90 views

difference-in-differences with fixed effects

I have two questions related to having fixed effects in the DD model. I have a treatment that occurs at different times (e.g., 2001,2005, etc.). I want to fit a DD model, so I standardize the ...
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1answer
76 views

Fit measures for GMM Arellano-Bond estimator in R

A colleague and I have been working with difference GMM, i.e. the Arellano-Bond estimator, in R. Our option has been to use the pgmm command from the plm package. However, now I am struggling to test ...
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1answer
36 views

Time dummies in panel data — absorbing effects?

I am conducting a data analysis. I have a panel with individual firms with firm-specific and macroeconomic variables. I would like to run an OLS regression adjusted for firm clustering effects and ...
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42 views

Unbalanced panel data: Fixed effects?

I have an unbalanced panel dataset with N=10 firms and T=61 days. Because one variable had values outside the theoretical range I had to constrain my dataset, which left me with only 239 observations. ...
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55 views

What is a “Wald test for trend?”

I am reviewing a manuscript and the authors state that some results are by a "Wald test for trend". Has anyone heard of this? I hadn't, and Google revealed nothing. I know I always say to provide ...
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54 views

Unbalanced Panel: pooled OLS vs FE vs RE - which method yield unbiased and robust estimators?

I am conducting an empirical study (relation between earnings and returns). I have an unbalanced panel with $N=449$ firms and $T=36$ time periods. Regarding the estimation methods I am confused: In ...
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23 views

lag dependent variable among explanatory variables on panel data analysis

Can I manually include lag dependent variable among explanatory variables on panel data model estimations( in trying to establish relationship between gross profit/earning before interest and tax as ...
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27 views

Beyond multiple linear regression for longitudinal data?

I have a relatively large dataset from a longitudinal study (~100k subjects and ~10 random effects) where the outcome is a real-valued parameter. A simple run of R's ...
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Oddly structured data - longitudinal data struggle - Interaction testing

I'm struggling with an analysis and I'd like to have your contribution. I work with neuroimaging, and I have tested the capacity of a certain imaging parameter (let's call it A) of predicting a ...
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49 views

does the equivalence of Poisson and conditional logit models hold for fixed effect panel data and negative binomial models?

Guimaraes et al. (Rev Econ Stat, 2003, 85/1) describe the conditions under which the results from poisson regression models and conditional logit models are equivalent. I am trying to find out whether ...