Recently I got mix response on the difference between multivariate time series data and panel data. I completely understand the difference between cross sectional data, time series data and panel data. But sometimes it becomes difficult to distinguish between panel data and multivariate time series data.
For example, if we consider data on daily closing prices for last one year for 10 companies. Is it panel data or just multivariate time series data? I found such type of data categorised as multivariate time series in time series books, whereas some econometrics book categorised such type of data as panel data.
How can we statistically categorised data between multivariate time series and panel data?