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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Predictive non-linear model for panel data

I'm working on a study related to an RPGs economy. For each account, I've been given their balance, a flag that denotes different levels of wealth and the date it was measured (day, month and year). <...
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SMOTE and Lagged Observations

I'm doing a project about the effect of synthetic oversampling in a machine learning context (more precise SMOTE for the oversampling of the minority class of a highly imbalanced target variable). The ...
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Logit regression (Panel data): resample?

I have a panel data (all listed companies in the US with quarterly data) in which the dependent variable is 1 if the company was recommended on a investment recommendations website, and 0 otherwise. ...
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Difference-in-difference estimate with individual-level panel data

I've done a difference-in-difference analysis to estimate the impact of removing financial incentives on healthcare quality indicators. For every health clinic in the country, I have a 'performance' ...
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17 views

Fixed Effects: Group level variables but individual level outcomes

tl;dr: In fixed effects and first difference estimation, does having sets of individuals where the change in $X_{it}$ over time is identical lead to estimation problems? When using fixed effects (FE) ...
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analytic weights when the outcome is a standard deviation

I have a research question evaluating the longitudinal divergence of a profit index across businesses within a market. The index is continuous. I plan to use a market-level random-effects model where ...
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How to retrieve the data frame used in a GEE model fit? [migrated]

I have a longitudinal data frame with multiple rows per id. ...
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Path Model with (endogenous) Treatment - which model?

I have collected data on the intention to create a new business of my students. I measured it before the course (t1) and after it (t2). I have data on their absenteeism in class and the time they ...
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Panel Data Models: Do they account for auto-correlation? [Python Package: Linearmodels]

I have a data set of measurements take over the last four years. I am interested in the effects of a treatment. I measure response variable Y in 50 entities with no treatment every month, and; I ...
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Hausman Test when doing Fixed Effects Panel Regression

I'm currently doing a Fixed Effects panel regression on my data and would like to know whether it would be useful to carry out Hausman tests. From what I understood from lectures, the Hausman test ...
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Flexible Regression Specification for Panel Data in Stata

I am currently looking to estimate a somewhat complex regression model to analyze the market value of banks. The model can be found in Calomiris and Nissim (2007), and is pictured below. The model is ...
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50 views

Different results from random effects plm (R) and xtreg (Stata)

I'm trying to convert the analysis from an old research paper from Stata to R. However, I ran into a problem that I have been unable to fix. When I compare the coefficients from the two programs, ...
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Panel data model to test dummy variable IV with little variation

I have never done estimation with panel data, but I want to test the impact of using a particular service on the probation rates in a state's court districts (N=22). I have a balanced data set with ...
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Panel data or something else

I am trying to predict the credit card balances of accounts for N months in the future after giving them a treatment (at month=0) using their characteristics in the month=0. So my modelling data ...
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1answer
49 views

Panel Regression vs. XGBoost Time Series Features

Panel regression is a technique to merge longitudinal and cross sectional data together in a linear model. Linear model doesnt work well since by bringing time series features into the model, it can ...
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37 views

Ordinal longitudinal data with unequal number of responses

I have a dataset that comprises of about 900 subjects. There are baseline independent variables which can be continuous or not (e.g. sex, age etc.). The "response" variable is a series of measurements ...
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How to test if regression coefficients are significantly different?

I have two data sets. Both contain survey data where participants had to forecast the return of the same stocks. I ran two regressions one for group 1 and one for group 2 looking like this ...
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Arellano-Bond with small N and large T

I want to estimate the impact of physicians $L$ on a measure of health $H$ vs. the impact of equipment $K$ on health. I have panel data on each Canadian province for 35 years (N=10, T=35). The model ...
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panel data regression or OLS regression?

I have a panel data on cities across 40 states for two years. My independent variable is a time variable, because I want to see policy outcomes between two time periods. In this case, should I do ...
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Experiment on Qualtrics, simple OLS or Panel with fixed effects?

I ran an experiment that led to the following dataset ...
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Fixed effects regression with a large number of individuals

Does it make sense to use a fixed effect regression to estimate individual effects when the number of individuals is very large (i.e. multiple thousands of $\alpha_i$)? If not, are there any solid ...
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1answer
32 views

Rolling intercept estimation for a data panel

I am working with a panel containing $T$ daily observations (one for each $t = 1, 2, ..., T$) for each element $i$ ($i = 1, 2, ..., N$) of the dependent variable $y$. The panel is unbalanced because ...
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66 views

Why estimate using GEEs inspite of their disadvantages over using ML?

I know sometimes I want to know the population-level estimates, but the problem with GEEs is I can't calculate the likelihood, and therefore all models I make with it aren't comparable, and I don't ...
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Unstable panel VAR / PVAR

Quick question on PVARs. I am using Stata's user-written pvar package. After running the unit root tests using xtunitroot, I ...
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Clustered standard errors and time dummies in panel data

Assume a simple linear regression model, I have $i$ firms and $t=17$ periods $$Y_{it}=\alpha + \beta_2 T_2 + \beta_3 T_3 + \cdots + \beta_{16} T_{16} + \gamma_i + \varepsilon_{it}$$ In this case, $t=...
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1answer
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How to set up first differences model?

I am new to R and only know the very basics. Currently I am trying to estimate a model which is very simple, but I have problems thinking about how to set it up. Precisely, I am trying to estimate the ...
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30 views

Generalized linear model (GLM) for panel data?

I have a panel data and what I need is to use generalized linear model (GLM), but I am confused; that is, I cannot find any related article in which they have used GLM for panel data. Can you share ...
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Panel Data for 20 countries with same independent variable for each country

I am analyzing the impact of US monetary policy variables on capital flows to emerging markets and intend to use panel data analysis. I have data on capital flows for 20 countries individually from ...
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Question about Random Effects, Fixed Effects, Maximum Likelihood Estimation, and the Hausman Test

I am working on my thesis and had initially planned to use panel analysis in Stata with the Hausman test determining whether to estimate using random effect ("RE") or fixed effect ("FE"). However, I ...
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2answers
39 views

Interpretation of the trend coefficients in log-linear model

I want to estimate price of a product, lets say a boat, over time - panel data model. I estimated a model where I control for number of characteristics denoted as $X$ ( e.g. engine size, weight etc.)...
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34 views

Dummy as moderator in regression analysis

I am working on data about the food industry, where companies should be divided according to their region (Asia, Europe, and North America) via dummies. This is supposed to be the moderator variable. ...
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Why can/should I include “undifferenced ” variables in a first difference estimation?

I am reading this paper and try to use their first-difference approach in a similar setting. They are essentially estimating the following first-difference specification, where Yit is Patenting, Xit ...
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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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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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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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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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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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34 views

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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37 views

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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47 views

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 ...