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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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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51 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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14 views

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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1answer
34 views

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
19 views

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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28 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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35 views

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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27 views

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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Can I regress a country-level variable with a firm-level variable?

Can I regress a country-level variable with a firm-level variable, for example, the country's GDP and the profitability of the firm? If so, then in this case all companies from the same country would ...
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2answers
35 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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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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27 views

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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30 views

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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8 views

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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9 views

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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14 views

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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17 views

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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18 views

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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1answer
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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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32 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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13 views

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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15 views

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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8 views

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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27 views

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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1answer
36 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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1answer
8 views

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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20 views

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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24 views

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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14 views

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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17 views

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
31 views

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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1answer
33 views

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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24 views

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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1answer
32 views

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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58 views

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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21 views

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
48 views

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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10 views

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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15 views

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
60 views

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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14 views

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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32 views

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 ...