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Questions tagged [panel-data]

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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longitudinal analyses with small number of observations [on hold]

I have a longitudinal study with 9 dependent observations and 2(*9) independent variable observations. Is this enough observations to obtain a significant difference? which is the best method?
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Given a simple logit panel data model, the MLE estimators are inconsistent

Consider a binary choice model, $P \left( y _ { i t } = 1 | x _ { i t } , \alpha _ { i } \right) = F \left( x _ { i t } \beta _ { 0 } + \alpha _ { i } \right)$, $$F ( z ) = \frac { e ^ { z } } { 1 + e ...
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Right model approach for repeated observations

The problem: Panel Data, nested data or repeated observations for the same individual over eleven years. All independent variables are fixed effects and could be categorical or continuous variables. ...
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How to interpret positive interaction term with negative individual variable effects? [closed]

Hi I have interaction term which is significantly positive while individual variable effects are both negative. Moreover the individual coefficients magnitude and significance increases after adding ...
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Panel VAR / Panel VECM

I have an unbalanced panel with N=800 and T=72 (quarterly frequency). After conducting some unit root tests, all reject the null that all panels are not stationary (the alternative is that at least ...
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How to estimate the MLE for a probit panel data model in R? [closed]

Can you recommend a good package in R to calculate the MLE for a simple panel data probit model? I would like to use GHK simulator to do it. But What I found is not for panel data in R.
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Multivariate Panel Regression in R [closed]

I have the data of about 30 patients on monthly visits over half a year. Each patient filled out the same tests every month (for example, the BDI for depression). Some of these tests may have a ...
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Standardisation (normalising) for feature scaling in non-logged data for within transformation model

I wonder if someone could provide an insight for my case. I am interested in normalising my data to obtain unitless state that will allow me to use them in a quadratic model (not translog). Based on ...
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What econometric model would be use to study trade between a home country, and multiple foreign countries? [closed]

While initally my proffesor and I thought a gravity model would suffice, we realized that the gravity model generally specifies only two countries in the textbook. Is their a gravity-type model for n ...
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Account for Panel Correction with a Large Number of Respondent

I am currently running a binary logit model which looks at whether a participant, when he/she makes a bid on an offer, is successfully selected. Data: I have a data of more than 80,000 observations. ...
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ANOVA on time series Data

I’ve been dealing with this problem for quite a time. I’m running an experiment with plants growing them with Compost A and Compost B. I’ve been measuring the pH each day at the same time and keeping ...
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Comparing the different levels of a categorical variable in panel data in R

In a panel dataset, I want to run a logit model with clustered standard error. I also want to compare the different levels of a categorical independent variable. This can be done in Stata using <...
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R Panel Data: Difference between Pooling OLS and Fixed Effect with only “individual” effect

I just estimated my paneldata with Pooled OLS or with the Fixed Effect approach. When using FE with the effect="individual" I get a higher adjusted R^2 than using FE with effect="twoways". So I would ...
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Difference-in-differences: selection bias due to availability of outcome data

I have run a diff-in-diff specification to evaluate the outcome of a policy on disease treatment rate, where those countries included in the policy form the intervention group and those excluded are ...
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GMM panel data estimation for a nonlinear response with a binary endogenous variable

I'm interested in potentially using Poisson panel Generalized Method of Moments to hopefully gain consistent estimates for my parameters of interest. However, I have an endogenous binary variable (a ...
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Panel Dynamics: Lagged Indep. Vars versus Sum of Future Dep. Vars

If the following standard linear model is the "true" data generating process: $y_{it} = \alpha + x_{it}\beta + x_{i(t-1)}\beta^L + \epsilon_{it}$ where $\epsilon$ is an i.i.d. random error, then how ...
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Longitudinal Mediation with Inverse-Probabilty Weighting / Marginal Structural Model

Validater, I am currently trying to investigate how mediation analysis can be applied with longitudinal data. I already considered some Structural Equation Models (SEM), e.g. the 3-Wave example of ...
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Help with fitting a panel regression model

How can I fit a panel model in which the outcome of interest, i.e., the dependent variable is at the county level and one of the explanatory variables is at national level? (e.g. The effect of a ...
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Lag regression independent variables in dynamic panel: which Explanation of the signs? [Resolved]

In the famous paper " Richard Blundell & Stephen Bond (2000): GMM Estimation with persistent panel data: an application to production functions, Econometric Reviews, 19:3, 321-34" the authors ...
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missing data in explanatory variable due to periodicity of survey

I have a pooled data set of 20 states for the years 1994-2017. In order to run a regression I have used explanatory variable(number of self employed people) from a different survey. This is one of my ...
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Unknown initial value of variable of interest

I run a panel data regression whos panel dimensions are persons each year. They are affected by a region wide factor. I know for each year after 2004 how this factor changed over time, but I don't ...
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1answer
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Cluster-robust standard errors in panel data analysis

In a simple panel data analysis with data on 64 firms over 8 years, I use cluster-robust standard errors (at the firm level) to evaluate significance of coefficients. I observe important differences ...
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Unbalanced Panel Data Fixed Effects Model with Instruments and Robust or Clustered standard errors

I'm an undergraduate with very little experience in R and Econometrics, so forgive me if I mix-up my terms a little bit. So far, I have gathered an unbalanced panel data set that contains student ...
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How to motivate a POLS?

How would you justify the usage of Pooled OLS regression instead of Fixed effects? If I am calculating just correlation between two phenomena, may I get rid of these fixed effects? May I choose to ...
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How much of a problem are autocorrelated residuals of a binary GAM (Generalized Additive model)?

I'm trying to predict high or low crime rate in municipalities (binary 1/0 response variable) using a range of socioeconomic variables. Im doing this with a panel dataset with 300 municipality over 17 ...
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Are high schools dumbing down their exams? I don't know. How can we find out?

I have a large-ish longitudinal dataset of high school and college course registration and grades. I want to test the assertion that high schools are "dumbing down" their courses to meet graduation ...
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Does a panel regression model make sense for my data?

This might be a bit of a newbish question, but I recently picked up a forecasting project at my job, and I'm trying to figure out whether it makes sense to run a panel regression like a Fixed Effects ...
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Dynamic Pooled OLS: does it make sense?

I have data on 25 countries for about 35 years. I want to estimate a POLS as I am not looking for a causal interpretation but just sttistical correlation between two phenomena. That's why I will not ...
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Unobserved fixed effects panel data

Panel data methods (e.g., first differencing estimator or fixed effects estimator) are often used to eliminate the unobserved fixed effect. The unobserved fixed effects are the effects that are ...
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Can I use a first difference variable as dependent variable in a panel regression even if it contains both positive and negative values?

Can I still use a first difference variable as the outcome variable to run a panel (say, diff-in-diff) regression? For example, my dependent variable is defined as $Y_{i,t} = M_{i,t} - M_{i,t-1} - P_{...
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Can you do LASSO with panel data that has cross-correlated errors?

suppose that there are observations of stocks return for firm i in 1..N date of observations t in 1..T The error structure is such that cov(epsilon_it,epsilon_jt) are far from zero. An important ...
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Cross section dependence in a fixed effects model

I have a fixed effects model and I tested for cross sectional dependence using a Pasaran CD test. My understanding is that, even in the presence of cross sectional dependence, if the model is ...
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how to test for sufficient variations in the dependent variable [panel]

I am planning to perform a panel analysis with the sample size of 1020 individuals that have been assessed through their career ages. The panel is unbalanced (missing observations). My dependent ...
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Panel Data: correlation between individual effects and variables

Is it possible to see if there is a correlation between any variable and the individual effects just by looking at the coefficients and standard-errors of an OLS, RE and FE functions?
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Short Run vs Long Run Effect in Dynamic Panel Regressions

This video differentiates between short run and long run effects of an independent variable in dynamic panel regression (from 19:25 to 20:50). Firstly, I would like to know when and why do we ...
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Squaring a variable in Two-ways fixed effect

I am studying the effect of renewable energy on electricity prices. I am running a two-way fixed effects estimation on the model, with 23 countries from 2007-2016. $$price.kwh_{it} = \beta_1Perc.RE....
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Forecasting Short Time-Series with other time-series

This is sort of related to a previous question, but now I don't have the requirement of generating customer-level forecasts. I've acquired a set of card customers every month for the last 3 years. I ...
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1answer
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Logarithmic or square root transformation for econometric modeling

I am doing econometric research on firm financial ratios. Using linear panel data modeling, I am going to transform some predictors in order to reduce variance. At this regard, I am uncertain about ...
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What do my mean and standard deviation tell me?

I have American State level unemployment rates in 3 waves of longitudinal data. When I describe unemployment rates for my descriptive table I get the following: ...
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Is there any way to adjust (shrink) the unusually large predicted values after running a fixed effect model

I am trying to run a 2SLS and therefore, I need to use the predicted values from the 1st stage and use it in the second stage. Code from my 1st stage - ...
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Difference-in-differences with unbalanced panel data

I am working on a quasi-experimental study with a large unbalanced panel dataset. There are N=300,000 and T=20, where roughly 50,000 individuals receive treatment since several different periods. I ...
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How to interpret Nickell or dynamic panel bias?

In a panel data setting: I am running a Fixed effects dynamic panel regression. It is well known that the coefficients associated with the dynamic variable(gamma) is biased. This is also referred to ...
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1answer
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Fixed Effects vs. Random Effects vs. First Differences

I'm working on a university task where I have to estimate the following using panel data: \begin{equation} y_{it} = x_{it}\beta + \alpha_i + \epsilon_{it} \end{equation} where $y_{it}$ is log($...
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1answer
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Interpreting effect sizes in cross-lagged -auto-regressive models

I am running an auto-regressive, cross-lagged panel model between three variables (individual survey responses) to understand the over-time dynamics between them. But I am trying to make sure I ...
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Fixed-Effects estimate and time

I have a conceptual question: I have a panel data of individuals and daily data for 2 months (each individual appears several times, although the number of appearances varies so the panel is not ...
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Transforming panel data OLS into cross-sectional data model

I am currently stuck on a task where I am interested in estimating the production function for agricultural output using panel data as follows: \begin{equation} y_{it} = x_{it}\beta + \alpha_i + \...
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R square for fixed model is worse than OLS in panel model

I am analysing panel data and using the plm package in R. I'm using the plmtest, pFtest, phtest functions which indicate to me that fixed effects model should be used over the pooled OLS and random ...
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What should I do in panel regression if one value is indifferent for each ID?

I'm trying to have panel regression with my dataset, but there is a problem. For each ID, one parameter is fixed (for example, gender is fixed for each ID) and it keeps coming out as NA in regression ...
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Pooled OLS to achieve a consistent estimate [duplicate]

The task is to estimate the production function for agricultural output. Theoretically I have access to panel data. The production function I want to estimate is: \begin{equation} y_{it} = x_{it}\...
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Data structure for share capital increase

I have the following dataset for share capital increases for the 2010-2017 period: ...