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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Linear mixed model / cross-lagged panel model for longitudinal relationship between imaging metric and symptoms on continuous scale?

Background I'm working with longitudinal volumetric brain data and psychiatric symptoms, measured simultaneously at two time points during childhood (let's call them brain1, brain2, symptom1, symptom2)...
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Specify dynamic structure in a panel regression

I am recently approaching the dynamic panel models proposed by Arellano-Bond (1991), Arellano-Bover (1995) and Blundell-Bond (1998), in particular I am trying to understand the hypotheses underlying ...
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Heteroscedasticity across one dimension in a panel setting

I understand that in a regression setting, heteroscedasticity is present if the vector of residuals of a model has non-constant finite variance. Say you have a (balanced) panel across $i \in I$ and $t ...
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Why do I have a negative R squared if my model has an intercept?

Don't know what else to say, I am running a first difference panel IV model and getting a negative R squared. I imagine it has something to do with instrumental variables but can't figure out what. I ...
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Why is x significant in linear regression but not in mixed model analysis?

I have a dataset ($n=700$) where I measured $x$ and $y$ (continuous) at three points in time ($T_0$, $T_1$, $T_2$). I am interested in running a mixed model analysis in SPSS. When I run normal linear ...
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How to change reference category in R LCMM [migrated]

I created an LCMM model in r and then added a covariate to the call using =~classmb. The issue is the model is using class three as the reference class. I want the model to use class 2 as the ...
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Including descriptive statistics as regressor in a panel model

I have panel data and believe that independent variable X drives changes in Y. However, my hypothesis is that the relationship between X and Y is modified by the volatility of X. Generally speaking, ...
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Panel Data in R - Can I implement a plm regression with categorical data?

I am working (In R) on a panel modelling of an econometric problem. I have : one dependent variable : Y with values in real positive numbers two explanatory variables : VAR_1 (real positive), VAR_2 (...
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Panel data 'binary' treatment with multiple 'odd' start and end times

I am investigating the impact of a county-level policy on crime outcomes. I am using a two-way fixed effects estimator. My exposure (i.e., treatment) is a static binary variable. The binary treatment ...
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Regression coefficient for a logged dependent variable

I am running into a puzzling econometric issue. Here is my data set-up and the model: I am using a two way fixed effects model on a panel data of states. For regression results, I take natural log of ...
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How to conduct a multilevel model/regression for panel data in Python?

I have yearly data over time (longitudinal data) with repeated measures for many of the subjects. I think I need multilevel modeling/regressions to deal with sure-to-be correlated clusters of ...
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treatment effect on unbalanced panel data

I have an unbalanced dataset that contains movie sales data along with some of the characteristics of the movies for several years. One treatment (event) happened in the society in a specific year in ...
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How to deal with different proportions of positive samples in train vs. test data for logistic regression?

I want to train a logistic regression model with random effects. In training data there is only 0.5% of positive individuals, whereas in test set there is around 5% of positives. I want to train a ...
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Correlation based on data from time series of multiple replicas?

I have data on metrics of the performance of industrial plants. For instance, I have data on the number of products assembled/month for plant A from 2010-2020, for plant B from 2013-2018, and so on. I ...
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How to model multiple multivariate time series for binary classification?

The data consist of repeated measurements of multiple individuals, where more variables are measured at each time point. Individuals fall into mutually exclusive groups. Number of measurements may ...
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Skepticism about the claims of instrument variable validity/exclusion through a statistical test—the Arellano-Bond Test (cross-posted)

I am an applied researcher and occasionally come across papers that have panel data and that use dynamic models with both a fixed-effects term and lagged DV (or multiple autoregressive terms): $y_{it} ...
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How do I tell if word frequencies are changing over time?

I have a collection of texts that span about 1000 years. I am interested in the frequency of a particular word in these texts. Specifically, I want to know whether the frequency of the word increased ...
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Should I log a variable that is not normally distributed to be able to make categories for crosstabs?

I’m researching the correlation between democracy and the amount of foreign aid per capita received in developing countries. My database contains panel data from the same population (N=121) in ...
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Difference between longitudinal data and panel data

When trying to grasp the terminology behind some time-series concepts, I have came across Rob Hyndman's article which states the following Econometricians use “panel data” while statisticians use “...
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Explainable model for multiple multivariate time series classification problem?

I have repeated multivariate measurements of multiple individuals, which fall into mutually exclusive groups. Number of measurements may differ with respect to individual, but the grid is equidistant. ...
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R Extract Log Likelihood from a plm object [migrated]

I would like to extract the log likelihood from a plm object. It works fine when using the logLik function from the base ...
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Does the coefficient from regressing a binary variable on a binary outcome only show the effect of when that binary variable is true?

I have a conditional fixed effects logistic regression of parental health shocks (0 if no shock, 1 if health shock) and clinically problematic child development (0 if no development problems in the ...
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Maturing Incomplete Data

Here is my situation: I'm working with expenditures data for recent months which will change as payments are made associated with that month. In Aug 2020, Aug 2020 Expenditures are 900k In Sep 2020, ...
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Multilevel model for change- time-varying variables at different waves to outcome

I am using UKHLS youth survey where an outcome for wellbeing occurs at waves 2,4,6 and 8. I have predictors such as computer screen usage and many others I would like to use occurring at waves 1,3,5,7....
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Choice between static and dynamic panel regression

I have a panel dataset with countries as individuals observed per year. My analysis concerns a macroeconomic study and as often happens in these cases (I would not be wrong but they are commonly ...
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Using a standard OLS linear regression or a panel model for small sample size

I have created a dataset involving certain NLP variables for news-websites over time. The data involves six news-websites which are observed over 27 time periods with some missing data. As I only have ...
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Cluster standard errors at the individual level in a panel

I am replicating findings of a paper that uses a panel of US counties. The baseline specification is a regression like this: $$Y_{zit} = T_{zit} + X_{zt} + a_{t} + b_{i} + u_{zit}$$ Where Y is an ...
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Do I need a multinomial logistic mixed model?

I'm currently working with longitudinal data of patients. These patients are followed for a couple of years and we are interested in two diseases. These diseases can also occur together, can be cured ...
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R package: Quantile regression with multiple group fixed effects and clustered standard error for more than 1 million data points [closed]

Could you please suggest R package for quantile regression that can include group fixed effects and clustered standard error for more than 1 million data points? I am afraid that ...
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Change over time in QOL score

Hoping someone might help point me in the right direction with some questions I had (newby at stats, with 0 experience doing analysis with questionnaire data). Let’s say I have some participants who ...
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Unit root test for large N small T

I have panel data with 83 countries and 7 time periods. hausman test suggested fixed effects, because of heteroskedasticity i choosed FGLS. I heard for this panel data, unit root test is not necessary....
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How to test if IV and DV measuring different things?

After working around a year on my research paper I received a critic from one of my colleagues that question my whole research design. Since I’m not an expert, I wanted to ask if his critic is fair ...
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Gelman & Hill's 'no', 'complete' and 'partial' pooling in the context of longitudinal data

In Gelman and Hill's Data Analysis Using Regression and Multilevel/Hierarchical Models, they present a very compelling idea of 'random' effects offering a kind of compromise between no-pooling (i.e. ...
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Interpreting dichotomous independent variable in two-way fixed effects models

Good evening, Apologies if the question has been answered, but I did search through the archive and did not find something similar to my question. I am curious if I am interpreting a categorical ...
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Propensity score estimation with panel data

I have a panel dataset with data on 3 years (say t-1, t , t+1) and a binary treatment that occurs at t. I plan to conduct a matched diff in diff. as the first step, I use a logit model to calculate ...
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Model selection for panel data

I was wondering about methods that could be used to compare different model specifications when dealing with panel data. In the case of cross-sectional data, a few applicable methods would be (in my ...
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3-level Multilevel Model for Change Equation

I'm running the model below in r for my thesis: ...
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Estimating a network-like structure with lead/lag relations

This is a very general question, but any ideas or hints towards the right direction would be very helpful. Assume a dataset with a number of countries $i = 1, \ldots, N$ and a set of indicators $X \in ...
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Time Fixed Effects vs Structural Break

I currently have a panel data set that contains the quarterly increment of loans initiated from more than 300 cities in China over the period from 2011Q1 to 2020Q2. I want to examine the impact of ...
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6 views

Incorporating non-linear time trends in a system GMM dynamic panel data spec

I am trying to incorporate a time trend into my system gmm regression specification using the pgmm function in the plm package. So far, all attempts to include a time trend, either through the "...
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22 views

Group centering for interactions with within-between mixed panel model

I need to update a model to incorporate an interaction between a time-invariant categorical variable and a demeaned time-variant variable. I'm unsure about how to correctly use group-mean centering ...
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1answer
33 views

Why do the coefficients of cross-sectional fixed effects and time fixed effects become zero?

I currently have a panel data set that contains the quarterly increment of loans initiated from more than 300 cities in China over the period from 2011Q1 to 2020Q2. I want to examine the impact of ...
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17 views

Quadratic growth with only three time points (latent growth curve modeling)

I am trying to model change in, let's say in "depression" [DEP], across three time points (T1-T2-T3). Using Latent Growth Curve Modeling I succeeded to fit a linear model (i.e., intercept ...
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How to do regression discontinuity on panel data in r?

I am a beginner in economics research and I am trying to analyze the impact of reopenings on consumer spending in American counties. I have a panel data containing information about the level of ...
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How to estimate panel data where not all variables are correlated with the individual specific effect?

For an assignment in my masters course microeconometrics I am working with panel data. I need to model log(wage) with gender, race, number of weeks worked in a year, experience, years of education, ...
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Inconsistent Entries in Panel Data

I am working with a longitudinal dataset, and one of the users [unit of observation] has inconsistent gender entries for different readings. Something like: Is there a general rule on how to ...
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8 views

Factor analysis to check variation in a subset of a panel data?

Is there a way that with factor analysis I can check how much variation in a subset of my data is explained by the loadings? I have a large panel of country-year data and I would like to see how much ...
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What statistical test(s) should i use to test each of the following hypotheses?

The outcome variable is financial distress with 3 categories while the independent variables are financial factors and are continuous (about 12 of them). $H_0$: Financial factors have no impact on ...
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How to adress the -0.71 correlation artefact in the pre-post analysis of change from baseline in non-randomized trials?

Let me make some introduction first. It's well known, that in randomized trials, in the pre-post trials, by the formal pharmaceutical regulatory guidelines, both raw post and change scores should be ...
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Interpreting results of Multinomial Logistic Regression- Panel data in Stata

Its Siege here and I really some help I am running a Multinomial logistic regression model (mlogit) on an unbalanced Panel data. First I want to determine the impact of the explanatory variables (7 of ...

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