Stack Exchange Network

Stack Exchange network consists of 174 Q&A communities including Stack Overflow, the largest, most trusted online community for developers to learn, share their knowledge, and build their careers.

Visit Stack Exchange

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.

0
votes
1answer
13 views

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 ...
0
votes
0answers
20 views

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: ...
0
votes
0answers
8 views

Industry and Year Effects in Panel data

I have a panel data set of 4500 firms for the years 2000 - 2017 (around 42,000 firm-year observations) a sample of which is shown below from Excel. I apologize as I do not currently have access to ...
0
votes
0answers
9 views

Constant term gets bigger in fixed effect model

Good afternoon. I am Alif and now currently doing my research on determinants of economic growth in province level in Indonesia. My dependent variable is economic growth (which varies between 0.13 ...
0
votes
0answers
19 views

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 - ...
-1
votes
0answers
4 views

test of hsiao for panel data test of homogeneity of Fisher [on hold]

how can I do Hsioa test in R or the 3 Hsioa Fisher homogeneity tests pFtest(fixed,random) give me the first test of Hsioa
0
votes
0answers
15 views

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 ...
0
votes
0answers
16 views

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 ...
3
votes
1answer
50 views

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($...
1
vote
1answer
22 views

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 ...
0
votes
0answers
16 views

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 ...
0
votes
0answers
12 views

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 + \...
0
votes
0answers
17 views

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 ...
0
votes
0answers
17 views

How to forecast panel data as plm package in R don't have forecast function [closed]

I have last 4 years of mining sector data and want to forecast the production of each company for 2016,2017. Using there last 4 years production number with some key predictor variables. id | period |...
0
votes
0answers
4 views

RNN for predicting binary output: detection of anticipated default on panel data [on hold]

I'm working with panel data trying to detect default from a binary output (Y=1 if default) some months before (let's say 3). So I compute Y as the binary variable that is 1 if there is a default 3 ...
0
votes
0answers
15 views

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 ...
0
votes
0answers
22 views

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}\...
0
votes
0answers
12 views

Data structure for share capital increase

I have the following dataset for share capital increases for the 2010-2017 period: ...
3
votes
1answer
41 views

Diff-in-Diff with multiple treatment groups

I have monthly panel data and I want to estimate the effects of two different treatments that occur in different time periods. The treatment groups are not the same. An individual can belong one, both ...
0
votes
0answers
8 views

Model Change In Incidents Using Three Cohorts

I am working with 6 waves of survey data that represent three different birth cohorts. My outcome is diabetes. Specifically I want to examine trends in the risk of diabetes (incidents). I have read ...
0
votes
0answers
7 views

Time-scale in a discrete time event history (R) with different participant entry times

I'm new to event history analysis, and am having trouble wrapping my head around what the correct timescale is when there is different age of entry and time varying co-variates. In different ...
0
votes
1answer
20 views

Unbalanced Longitudinal Multilevel Model Power Analysis

I am trying to conduct a power analysis on a multilevel longitudinal model (pre-existing household panel dataset) and am having trouble figuring out how to do it (or if it is even needed in the first ...
0
votes
0answers
8 views

Analyzing the effect of time variable using panel data set

I am using a simple panel regression to get at the effect of some policy that was put into effect at year X. The question I have though, is what years I should look ...
1
vote
1answer
26 views

Dealing with non-stationarity in panel data

I am using panel data for my analysis. My dependent variable is non-stationary while all my explanatory variables are stationary. Also, my dependent variable is a bounded variable (an index variable ...
1
vote
0answers
20 views

Fixed effects versus first difference in panel data

In panel data model, both fixed effects model and first difference remove unobserved heterogeneity. If this is the case, when which technique is more appropriate and under what circumstances?
0
votes
0answers
20 views

Inconsistent definitions of panel vs. time-series cross-sectional data--help me decide which country-level employment data is?

I'm hoping to run a multivariate regression on employment levels in the developing world. I'm having trouble deciding whether I have panel or pooled cross-sectional (time-series cross-sectional) data. ...
3
votes
0answers
46 views

Can I use an instrumental variable to control for treatment endogeneity in differences-in-differences model?

I have panel data with two time periods (pre and post) and two groups (treatment and control). I have a differences-in-differences model with the standard estimating equation: \begin{equation} y_{it} ...
0
votes
0answers
11 views

Using zoo for irregular time series in survey datasets

For my research I am using large survey datasets (essentially pooled cross-section, sometimes panel) which are carried out in waves. For example: in one country a 1000 surveys were carried out in 2002 ...
0
votes
0answers
25 views

Running two-way fixed effects quantile regression?

First post so apologies if I miss something here. I need to estimate a quantile regression model with time (year) and unit (city) fixed effects. I have an unbalanced panel with 9 years and 152 cities ...
1
vote
0answers
20 views

Am I interpreting my fixed effects regression correctly?

I am trying to determine the impact of student debt on entrepreneurship. I used a FE model with data from 2003-2014 on each US state. So my explanatory variable is student debt in state i in year t-1. ...
2
votes
2answers
77 views

How can I have both "firm' and 'year' fixed effect using 'bife' fixed-effect logistic regression in R?

I am running a fixed-effect logistic regression using 'bife' command from the 'bife' R-package. Here, I am trying to have both FIRM and YEAR fixed-effects simultaneously. However, the examples I can ...
0
votes
0answers
9 views

Validity of DiD estimator on PISA data

I am trying to investigate the effect of the 2007-2009 Financial crisis on education quality measured by the PISA scores. The proposed model to use is Difference-in-Difference with countries hit by ...
0
votes
0answers
14 views

how to perform a regression when Y represent many stocks returns that are daily ?

i would like to know whats the solution to perform a regression where Y : represent daily (time series )stock returns for N firms is panel data the solution ? if so how to construct the panel
2
votes
1answer
50 views

Statistical significance testing for multiple categorical variables: modeling coefficient of variation of temperature inside houses

I am a beginner in R (and stats), so please excuse the simple nature of my question. I have a range of variables all relating to the physical and social characteristics of households in the UK. I am ...
0
votes
1answer
21 views

Unit Root Test for Panel Data in R

I'm working with a unbalanced panel dataset of 18 countries with quarterly data from 1970 to 2014 of different characteristics per country (housing prices, education level, total population, GDP per ...
0
votes
0answers
18 views

Modelling and Variable Values

I'm trying to estimate labor demand of two different groups, using a panel dataset which consists of $\ N$ industries and $\ T$ years. Assuming heterogeneity among industries, my tentative econometric ...
1
vote
1answer
21 views

Fixed effect and clustering with 3 dimensional data

I have a sample of banks. These vary across time, rating agency and across countries. UPDATE: I trying to capture the effect of a regulatory change (dummy variable, 0/1) on a banks credit rating. I ...
2
votes
0answers
13 views

How do I measure effects over years in longitudinal panel data with individuals?

I'm working with a longitudinal panel dataset that surveys the same few thousand individuals biennially and I have six years of this data. My dependent variable would be how much individuals spend on ...
1
vote
1answer
35 views

Random effects specification in modeling panel (longitudinal) data

I am fitting a negative binomial model with mixed effects on a dataset with repeated measures in time. Each observation is a province-year combination, meaning province 1 year 1, province 1 year 2, ......
0
votes
0answers
9 views

Usage of both FE and RE model in panel data

depending upon the value of Hausman test, RE model has been chosen to run the panel data model of 275 data points. Random effects model does not consider the group effects such as the change due to ...
1
vote
0answers
53 views

Regressing quadratic form x'Ax onto dot product involving x [closed]

I have the following simple panel relation to estimate: $y_{i,t} = \beta_i x_{i,t} + \epsilon_{i,t}$, where $y$ and $x$ however are linked through: $y_{i,t} = w_i'\Omega_t w_i, \\ x_{i,t} = w_i'f_t,...
0
votes
0answers
60 views

R-Squared and F-Statistic for fixed effects regression and robust SE in R

I am dealing with panel data with fixed state and time effects. My analysis showed that I have to construct robust Arellano standard errors, which, when using the coeftest command, do not offer any F-...
0
votes
0answers
16 views

Multiple observations per subject - cross validation approach

I'm working on a modelling task to predict the probability of a customer becoming delinquent using gradient boosting. For each customer there are multiple observations including the borrower's ...
0
votes
0answers
17 views

Ignoring correlation in longitudinal data (Diggle)

I am going through "Analysis of Longitudinal Data" by Diggle, but I am having trouble understanding his succinct explanation of the consequences of ignoring correlation in longitudinal data. Here is a ...
3
votes
0answers
33 views

Does Nickell bias matter in forecasting?

The context is longitudinal data, with $i$ indexing individuals and $t$ indexing time. The goal is predicting $y_{it}$ as a function of lags of $y$ as well as $\mathbf{X}$, which might include lags. ...
0
votes
0answers
18 views

Pooling Two Different Panel Data Sets

I have a very different problem about panel data sets. Firstly I have two panel data sets and these data sets are micro household data sets structured as panel. First one I called Panel 1 and it has (...
0
votes
1answer
79 views

principle component analysis: help with interpretation

I'm teaching PCA to myself for some environmental data analysis. I understand the intuitive and geometric definition, but I'm not quite sure what exactly it's telling me. What exactly do the ...
0
votes
1answer
31 views

Optimal Sample Size/Power Analysis for Panel Data

I'm running a economic experiment. From a previous pilot I already know which size of treatment-effect I can expect. Each participant plays 20 rounds, so it't a repeated measures approach. I want to ...
2
votes
1answer
61 views

How to model and estimate interference and subsequent shocks on panel data?

I have the following setting: In my factory, we have mutliple assembly lines(>10). Each line produces an amout of itmes every day, with some weekly and mothly production peeks. Thus its basically a ...
0
votes
1answer
66 views

R: GMM Estimators in a dynamic panel

I put up a fixed effects regression using panel data with a time lag of the dependant variable, so somthing like this: ...