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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For repeated data, why we don't use just OLS with sandwich SEs but rather GLS or mixed models?

If I have repeated observations and want to summarize the means at each time point, the OLS will give me the true, raw means, while the GLS will give me means dependent on the selected covariance ...
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What means to report in longitudinal (repeated data) studies without covariates? Raw meand or model-based (GLS) means? They differ!

I have a study with a few repeated observations per subject, recorded at t0...t3. I want to assess the change from baseline at each time point and apply the Dunnett adjustment to get the corrected p-...
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Multilevel model for education data, if individuals within cluster change (school) between time points

If I am wanting to fit a multilevel model across two time points and the first time point is Primary (uk education system, age 7-11 - keystage 2) but the second time point is secondary education (uk - ...
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Difference in clustering standard errors of coeftest and sum

Suppose I have a panel data and would like to look at time fixed effects, i.e. effects constant across "state" but varying over time. My understanding was always, that the estimated ...
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R: Panel Data Clustered Standard Errors

Hi I have a panel regression and like to proof the robustness of my model. I estimated a fixed effects model with double clustered SEs. I estimated: an OLS - pooled model Fixed effects model Index: ...
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Ideal Settings for Longitudinal Models?

The way I see it, logically speaking - Longitudinal Data (e.g. medical patients being measured repeatedly over a period of time) can have one of two forms: Case 1: All patients are measured exactly &...
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Possible censored data and Tobit regression

I want to study the impact of highways on deforestation. I am using annual data on forest cover. I define my deforestation/forest loss variable as a change in forest cover and if the change is zero or ...
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How should vector notation with multiple indices be interpret?

This is a question about the interpretation of mathematical notation in statistical models. Let's say that this equation represents a panel model: $y_{it} = \alpha + \boldsymbol{\beta}' \mathbf{X}_{it}...
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Group by in stata [closed]

Given an existing table that contains a list of observations: colA, colB, value 0, 0, 11 0, 0, 12 0, 1, 11 0, 1, 22 1, 1, 33 How do I ...
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PCA / PCR with longitudinal data

I have a panel data set with a more than 100 variables and want to perform a principal component analysis and eventually a principal component regression. My data has the form of: ...
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Can causal relationships be inferred from a random effects panel model?

Can a causal relationship between two variables be inferred from a random effects panel model? I estimated the following one-way random effects (RE) panel model: $\mathrm{Gini}_{it} = \alpha + \beta \...
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PCA / PCR with longitudinal data

I have a longitudinal data frame with a more than 100 variables and want to perform a pricipal component analysis and eventually a pricipal component regression in R. My data has the form of: ...
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How to deal with left truncation in cox model in R

I have a longitudinal data with 5 follow-ups. My aim is to see the effect of a disease on ability decline at old age. In my study, I have sibling pairs, one with disease (1) and one without disease (0)...
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Scientific reporting of time-varying covariates at different time frequencies

Say I have the following model: $$y_{it} = \gamma_i + \delta {T}_{it} + \zeta Z_{i(k)} + \epsilon_{it}$$ where $y$ is some outcome for household $i$ in month $t$. $\gamma_i$ denotes household fixed ...
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What is the best way to visualise a panel regression?

Simple scatter plots or a correlation matrix can be misleading since they aggregate all years together. What would be te best way to visualise relationships between variables taking time into account? ...
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How do you interpret Beta coefficients for Fixed Effects Panel Data Models?

Let's say we have House Prices across different cities (Bristol, Brighton, London, Glasgow) across time (Monthly data from 2016-2020) and we're trying to predict it using unemployment and crime. t = ...
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How to compare return percentages of products in different lifecycles?

For my project, I am trying to predict return ( when a product in ecommerce sale is returned) rate of products. For the same of simplicity, assume I have 3 static features (dont change in time) and ...
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cross-lagged-model (sem) with moderators

I have longitudinal data and want to do structural equation modeling in form of a cross-lagged-analysis with three moderator variables. My variables are attractiveness (x_t), self-worth (y_t), age (A),...
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Analysis on repeated measurements with only one follow-up outcome

I would like to analyze the association between dietary intake and a specific health outcome. Now suppose I have 100 subjects, each having 10 repeated measurements of dietary intake collected from the ...
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Can I add 3 fixed effect (firm, industry, year) in one Fixed effect panel model in R?

I am using the formula below to estimate the fixed effect panel model in R model_fe <- plm(formula = y~ x, data, index = c("firm ID", "year"),model = "within", effect =...
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plm/fixed effects models: fixef function error - wrong effect argument

I am using the plm function to analyze a large dataset with 120,000 IDs over three years. My specification looks the following: ...
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How to interpret the fixed effects in relation to random effects in mixed effects model?

This is a small subset of my data to show what it looks like because my data set is too large: I want to compare the long-term effect of two types of surgery on weight loss. In my real data set ...
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How to formally test which fixed effects to use with panel data?

I am using panel data consisting of macroeconomic variables on country level and for the time period between 2009 and 2019. I have a balanced panel data set. I performed a Chow test, a Hausman test ...
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R: Test for serial correlation after having used felm

I would like to test if serial correlation is present in my model. I have a large panel data set and I run the regression with felm and let's call the model ...
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Best way to compare income of two groups of people over time

I am planning a research study where, among other things, I want to understand how an intervention changes income in two groups. I plan to collect income data from each individual at three time points....
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Why is there heteroskedasticity even though no relationship seems present in the residual plot?

I estimated a random effects panel model and performed the Breusch-Pagan (BP) test for heteroskedasticity. The test is significant, meaning that there is heteroskedasticity. However, the residual plot ...
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How to test differences of three categories within the same individuals?

Suppose I can observe $Y_{ijt}$, $i = 1,2,..., n$ , $j = 1,2,3$ and $t = $ 3 weeks, 1 months, half a year and one year. I am interested in whether $E(Y|j=1,k) = E(Y|j = 2,k)= E(Y|j=3,k)$ $E(Y|j, k) ...
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Time fixed effect - calculate the net of time effect

I have a data that includes two categories, one being Manchester and another Leeds. This is panel data. I have a Year variable, a dummy for city 0 (Man) 1 (Leeds) and a dummy for each Year. How would ...
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Fixed Effect Model diagnostics using `fiest` package in R

I recently noticed a wonderful R package fixest to run fixed effect estimation in R. In conventional plm package, I know that we ...
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Nested Individuals within a group - meaning?

I am reading "DID Intro" by Stata Corp LLC. It is recently updated, early April 2022. On page 7, it explains how Stata runs a panel-data difference-in-differences regression. My question is ...
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Log Transformation to treat outliers

I am trying to replicate a research paper as part of my Applied Econometrics course, and I came across a particularly vague statement in the reference paper. "Following Malmendier and Tate (2005),...
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Fixed Effects Model with non stationary variables

I'm in a bit of a pinch. I want to make a panel regression model, with N=22 and T=28. I guess this makes it a moderate panel (if not a long one). Not too big a N, but a fairly large T for Panel Data ...
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How to deal with trend of independent variables in panel data regression? (if differencing does not work)

I am running a pooled OLS regression on the following model: Running this regression results in the following results: The R-squared seems so high that I get the suspicion that something goes wrong. ...
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On the defense of "change from baseline" even in randomized trials - can anyone question points in this article?

Many times I read a strong criticism on the change-from-baseline (adjusted for baseline or not) both in randomized and non-randomized. Several people advised "don't even think of reporting the ...
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How to obtain the standard errors in Mean Group (Pesaran, 1995) estimator for panel data?

My question is very specific. I want to know how to obtain the standard errors of the Mean Group coefficients obtained by the Mean Group estimator developed in "Estimating long-run relationships ...
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How to perform a random-effects model to include more than one category?

Sample Panel Data Year Firm_ID Region Industry ROE ROA Tobin_Q ESG Leverage Age Size 2012 1 Asia/Pacific Rim Oil_and_Gas_Refining_and_Marketing 12.19 6.22 1.17 51.24 1.45 1.58 6.51 2013 1 Asia/...
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How to build a paneldata model in R?

We would really appreciate some help building regression model(s) using a paneldata set. The dataset consists of data from retailstores over two years. Our research question are as follows: How does ...
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How to handle regressions with outliers in panel data

I have collected panel data for some countries. I am running several regressions, from simple OLS to IV to panel data methods combined with IV etc. Unfortunately, I see in R that some observations are ...
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Using traj package for clustering a set of rows

I have a dataset that contains the observations of 30 people and each of them had done 20 experiments. But for simplicity let's assume I have a dataset like this: ...
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Longitudinal analysis with different baseline value for the groups

We have four mice groups and each mouse had to find a platform in a pool in this experiment. On D14 (the first day) they did this task for the first time and the latency to the platform (time to find ...
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Logistic regression with counts over sliding windows of time

I am working on a logistic regression model that attempts to predict failure events in the following year over a lot of devices (say 1000) using the previous number of minor incidents that happen in ...
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Estimating time invariate variablies in difference-in-differences with fixed effects

I am using the following fixed effects model that has intercept and slope coefficient that vary across individuals. $Y_{it}$ - dependent vector variable for monthly income for individual i at time t. ...
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repeated cross section v. panel data

What is the best way to describe the difference between a repeated cross-sectional and panel dataset? I consider an example of measuring blood pressure for a set of patients $i\in\{1,...,N\}$. A ...
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How is it possible, that statisticians have OPPOSITE view on the analysis of change from baseline adjusted for baseline?

I always thought, that mathematics, thus statistics, are both strict sciences. So, two mathematicians cannot speak about the same topic and have contrary views on it. In the pharmaceutical industry, ...
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Different number of observations after including control variables

I have two regression models. I am using paneled data on individuals from 2010 up to 2019. For some individuals, I have several years of observations, whereas for others, there are only 2 or so. The ...
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Regression discontinuity using panel data and fixed effects

I am working with a panel of cities and I am studying a policy that affected cities with less than 5,000 inhabitants. I am currently running a year-by-year regression discontinuity to estimate the ...
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Why is the baseline x time interaction included in clinical trials models (MMRM)?

I noticed, that many, many times, when the longitudinal studies are analysed for efficacy, the following components are taken as fixed effects: time treatment time : treatment (interaction) baseline ...
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Is the Generalized Estimating Equtions method a good non-parametric replacement for the Generalized Least Squares?

I want to use GLS on my longitudinal data, but it turns out that residuals are non-normal and is a non-easy way. Not just "transformable" skewness, no known relatioship between mean and ...
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In a randomized trial, should we exclude random intercepts and use only slopes?

Let's say I have a longitudinal study, with patients assessed at several time points, which goal is to compare the treatment vs. placebo. If, theoretically, I used a mixed model to analyse the ...
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Panel data mediation analysis

For my research I need to conduct a mediation analysis on panel data, my data setup is as follows: It is an (unbalanced) panel dataset including about 50 countries and 14 years. I have one dv, one iv ...
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