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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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time-varying country fixed effects [on hold]

I am trying to estimate panel data gravity model in R and I need to implement time-varying country fixed effects. How can I do it?
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Is an autoregressive model considered a model for independent or dependent data?

It seems to me that, in the statistical literature, data, models, and inference seem to conflate the terminology of dependent and independent. Case 1: a cross sectional sample of weight and height ...
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Longitudinal Data Question: Understanding data and writting down model

This is my first time using the platform and I have a homework question that I would like to ask some assistance. The description of the question follows with my request at the end. Thanks for any ...
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Estimating fixed-effects panel linear regression using Stata gmm [on hold]

I am trying to use gmm to replicate the results of using xtreg, fe. In short, I'm looking for a way to control for group fixed-...
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Hausman test problem

I am doing a gravity model analysis using panel data. I got nice results from RE but a Hausman test suggests that FE is the appropriate model. But the FE model has omitted one of my most important ...
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Cross Validation with Panel Data of Variable Length

I have a problem of wanting to predict $y_t$ from $x_t$ and some lags given a series of $\{(y_t, x_t)\}_{t=1}^T$. To build my prediction algorithm I was hoping to use cross validation techniques such ...
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Interpreting incidence rate ratios (IRR) in panel data

I am running a negative binomial panel regression (xtnbreg) that includes a pre/post estimator for an intervention (with controls) and am trying to understand how the incidence rate ratio should be ...
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Please help, an expert econometrics opinion is needed on Social capital, oil rents and corruption

I am new to econometrics. I have to write a paper on the relationship between social capital (in terms of social trust and political trust), oil rents, and corruption. I am using panel data, STATA, ...
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unbalanced panel data: is it possible to use?

I am trying to analyze unbalanced panel data. Honestly, it is first time to do longitudinal study, so I have many difficulties. I really need your help. I consider to use GEE or RE (in STATA) ...
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time-varying country FE [on hold]

I am trying to estimate the ppml gravity model in R using the package "gravity" and I would like to know how to add time-varying country fixed effects in the regression. The dataset includes ...
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What are the statistical reasons of choosing between a static and dynamic panel data model?

I would like to know more about the relation between serial correlation/autocorrelation and static vs. dynamic panel data models to decide between a static or dynamic model. Currently, I am analyzing ...
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Data analysis: Investigating whether a policy is implemented or not

Consider a dataset consisting of student wait times for a large number of experts for two periods. Between the two periods,the school may have altered experts’ capacities based on observations of ...
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Removing outlier observation in panel data regression analysis

I have monthly sales data for two year at different stores of a food chain along with some other variables like number of customers, location, customer feedback etc. I am trying to build a panel data ...
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Formatting Panel Data [closed]

I wish to format a panel dataset that I will use to run a regression down the line... I have both individual (people) level data from survey data, as well as country level economic variables such as ...
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Different levels of variability in Fixed Effects (FE) regression, no time variable

I have a dataset with 3 variables: 1) "employment growth rate 2017" by country; 2) "employee happiness (1-100) 2017" by country and occupation level. Hence the variables would be: 1. country 2. ...
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Problem with Assumptions of Panel data with random effects

I am studying with a Panel data 316 of observations and 73 groups. First, when I examine the homoskedasticity issue, I got following results with df(72,243) by using Levene et al. Test: W0: 2.5 (Pr>F =...
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Non-Panel Fixed Effects R [closed]

I have a dataset with 3 variables: 1) "employment growth rate 2017" by country; 2) "employee happiness (1-100) 2017" by country and occupation level. Hence the variables would be: country, ...
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Using lme4/ linear mixed model to model longitudinal data in which age at first test and duration between measurements vary

I need specify a model using lmer() with data (n > 3500) in which there is a lot of variability in the age of the (human) subjects and also the duration between measurements (5 measurements total but ...
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Beginners question on panel data/random model and variables depending on change to previous year

This might be a silly question, but... I have panel data including time variant variables (funding, number of investors and postsperday) as well as time invariant variables (city) that looks like ...
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Overdispersion under different longitudinal constraints

I have panel data (police districts observed across many months) and I am modeling a count outcome. Fitting a Poisson model (simple pre/post comparison with 6 months of data) results in significantly ...
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Panel vs 2-pass regression

Consider the following data generating process. For simplicity, assume all quantities are scalars with $Y_{it}$, $X_{it}$ and $G_i$ observable for all $i\in \{1..N\}$ and $t\in \{1..T\}$ where $N\gg T$...
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How to interpret Random Forest variable importance vs. distribution of min depth plots?

I am using Random Forest (regression) to analyze data on civil conflict. I have plotted two different things: variable importance and the distribution of the min depth (using the package randomForest ...
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FE and clustered standard errors for a panel with firms, industries and years

I have an unbalanced panel of firms, years and industries. (1) At the moment I am running a panel regression with years and industries FE. My understanding is that I am counting for any omitted ...
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Demeaning with two (n) fixed effects in panel regressions

I would like to ask for your help concerning the following issue. In a nutshell, I would like to know, how demeaning works in a panel regression with two (separate) fixed effects. Let us assume I ...
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Must a subject participate at least twice to be considered in longitudinal analysis?

I am currently analyzing longitudinal data that was repeatedly measured (four times) but 1000 participants were lost to follow up after the first survey. Shall I include or exclude these ...
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Should I use a panel/longitudinal data model or a time series model?

Suppose I want to assess the impact of school attendance rates on test scores in a particular Canadian province, Alberta. I have data on both variables for Alberta, but also for the other Canadian ...
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Consistent estimation and valid inference when performing regressions on data with differing levels of granularity

Imagine that a dataset has a combination of variables of differing levels of granularity (e.g. an international sample of firms containing both firm-level and country level information). There are $K$ ...
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Choosing a panel regression model in R

I am trying to work out how to use panel regression in R and am not sure on whether to use FE, RE, pooling or between models Hello, I am new to panel regression and trying to get my head around it. ...
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Do I scale panel data as a whole or do I group it first?

I am running a panel regression estimating the effect of a change in employee satisfaction for a given company on the stock price(adjusted by Fama-French). I do have a panel with 50 companies and 43 ...
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Event Study: Event time coefficients vs post change coefficient

I have an event study regression with an unbalanced panel. I include unit and time fixed effects as well as a linear time trend control: $Y_{st} = \sum_{\tau \neq -1} \delta_{\tau} \mathbf{1}(YS_{st} ...
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Papers regarding panel data with autoregressive errors

I've been playing around, using the fixed effects and first difference models to estimate regression coefficient for DGP:s that have autoregressive error terms, and I'm wondering if anybody knows of ...
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1answer
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Question about interpretation of a fixed effects model

I am trying to see the impact of a group of similarly-minded policies and programs which were introduced at various dates in various Canadian provinces on a measure of student satisfaction. I plan to ...
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How do you use panel data to isolate the relationship of interest for a particular individual within your panel?

I have a panel data set where Canadian provinces are the individuals. (I have annual data from 1997-2017). I am using a random effects model to see the impact of an explanatory variable $X_{it}$ on ...
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How to compromise between using a lagged dependent variable and observation loss

I am working with panel data of several thousand observations in five time periods. As I have a strong reason to believe that past values of the dependent variable (DV) affect subsequent values of the ...
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Is there no way to include “industry fixed effects” in an FE regression?

Dear statistics community, I am running a model in Stata of the following form: xtset CompanyID Year, yearly xtreg firm_profitability firm_investment_strategy firm_size, fe vce(robust) I would now ...
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How to do when both response and covariates are missing?

I have some sort of longitudinal data and want to do regression analysis. The problem is that there are missing data both in response variable(y) and covariates(X). (sometimes only y observed, ...
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Event studies: Panel OLS vs cross sectional OLS vs FE

I'm currently working on my bachelor's thesis, where I'm investigating the effect of surprise interest rate decisions on stock prices using an event study approach similar to Bernanke and Kuttner (...
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Meta-analyzing means/SDs from repeated-measures studies

I'm working on a meta analysis of prospective studies assessing changes to mental health in the year following an event. For the purposes of example, say it's the severity of depressive symptoms (...
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1answer
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Meta-analyzing rates of change in one variable observed in one group over time

I'm working on a meta analysis of prospective studies assessing changes to mental health in the year following an event. For the purposes of example, say it's the prevalence of major depressive ...
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Checking auto correlation and cross-sectional dependence of a variable

I have a variable consisting of a sample panel of 500 ids and 120 timestamps. I want to assess whether there is any auto correlation and cross-sectional dependence for this variable. Please suggest ...
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Statistical significance of co-efficient derived through several regressions for panel data

For the panel data that I have, I'm trying to run multiple one-variable regressions (y=ax+e) across time periods - i.e. one for each time period. Naturally, the a's that I find from each regression ...
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1answer
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Multiple Linear Regression - p value equal to NA

I have the problem that my p-value is always NA. I am making a Multiple Linear Regression in R. I have panel data for the period 2008-2018. One dependent variable (y) and 16 independent variables (x1-...
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Fixed effects model and diagnostic

I try to estimate fixed effects model in Stata and I have some problems with interpretation of my results. My panel data consists of 700 observations. Five variables have significant impact on ...
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Panel data dynamic model: transitory and permanent effect

I want to ask about panel data dynamic model. For my thesis I have Gini as the dependent variable and trade as the independent variable and some other control variables such as education and ...
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Can I include an 'industry dummy' in my Relative Weight analysis? Bootstrapping produces error message!

I am analyzing the impact of 7 different employee satisfaction variables(x1, x2,...,x7) on financial performance in 200 companies over 3 years. Since these 7 predictor variables are highly correlated ...
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Fixed Effects model

I am trying to understand the fixed effects model. $ Y = D\alpha + X\beta + \epsilon$ Where $\alpha$ is the fixed time invariant effect. If we model this using Frisch Waugh lovell partitioning ...
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Kernel-based Propensity Score Matching diff-in-diff

I want to perform the Kernel-based Propensity Score Matching diff-in-diff. I am actually using the following command. The diff-in-diff result for this code is 0.000. Please, would someone help in ...
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panel data- group discrimination- in public and private sector

I have a two period panel data. I am trying to find how gap in wages for blacks relative to others has changed in the public sector and private sector. I am confused with few methodologies and ...
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Within estimator and between estimator?

I have understood that the within estimator is for fixed effects model. Can I say that the between estimator can only be used for a random effects model? (in reference to panel data)
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How to find anomalies/outliers in Panel Data (Unsupervised)?

I have panel data based on 900000 different entities with 384 time steps and the data is not normally distributed. I am looking for outliers/anomalies, this is unsupervised as I have no examples of ...