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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What are the advantages and disadvantages of including a baseline measurement variable in longitudinal data analysis?

What are the advantages and disadvantages of considering a baseline measurement variable in longitudinal data analysis? A baseline variable could be the number of seizures each patient had per ...
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How to get first difference of count variable for poisson regression

Poisson regression using Panel data requires the dependent variable ($y_{it}$) to be a non-negative count variable. I need to take the first difference of the dependent variable to deal with reverse ...
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Absorbing fixed effects using gsem in Stata

I am trying to run a Poisson fixed effects model using Stata command gsem. Basically, I want to duplicate the results from the following command after setting a ...
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Moderation in cloglog regression

I am testing the effect of climate on task completion and am thinking about including two variables as moderators in my cloglog regression. I am wondering if it makes sense to enter these moderators ...
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XGBoost classification of panel/longitudinal data observations

I have a dataset of several firm quarters for a 10 year period (around 400 firms and around 30 observations per firm). For each quarter, there are a number of annualized financial ratios, which are ...
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20 views

Time varying treatment and PSM

I am trying to create a control group using Propensity score matching for the panel dataset. The issue is that treatment is time-varying. I've read that data can be reshaped as wide format. or ...
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Suitable panel data method for regression

I am working on a project where I want to predict the GPA of students in the $k$th semester based on their GPAs in the last $(k-1)$ semesters. I have a data of 200 students from 2 batches of a 6 ...
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Panel unit root tests - How to determine the lag order?

I am using Pesaran's panel unit root test in the presence of cross-sectional dependence. How do I specify the lag order? I find that the results of my tests changes when I change the number of lags. ...
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How to deal with treatment variable which is determined by the outcome variable

I have a categorical treatment variable, MessageType, that has 12 different values. The outcome variable, Crash, sometimes determines these values. So more crashes lead to certain types of messages, ...
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PanelMatch. Help me [closed]

I value longitude data RLMS. I have data https://drive.google.com/file/d/1jyTMXXY1nBmfheR9XA_5a1znKsvnYC_J/view?usp=sharing I want to divide people into two groups:the treatment group and the control ...
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Is there within and between R^2 for pooled cross section?

I am writing a referee report for a paper that reports within and between $R^2$ for pooled cross-section regression that includes year fixed effects (but no panel or other fixed effects)so the ...
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Why not include random slopes in a mixed model for a paired t-test

In class, we saw how one could use a mixed model as an alternative to the paired t-test. Lets say that we have subjects and each subject is measured twice. So we have a sample before (t = 0) and a ...
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How should I use dummy variables in random effects estimation?

I am doing a research on how one event affects the level of a ratio. I used the following models: 1) ratio = βPost + (error terms) 2) ratio = β1(PostGroup1) + β2(Post*Group2) + (error terms) where '...
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Difference between two-way fixed effects and interaction of effects

I would like to gain some intuition on the differences between models using various fixed effects specifications. This question relates to this one by me: Three way fixed effects vs combining two of ...
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Difference-in-difference regression and random-effects Tobit model

I have a question about the difference-in-differences (DID) model. In general, we use random-effects Tobit model to fit the censored panel data (in Stata command: xttobit...). But to my knowledge, ...
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Performing a Mediation Analysis for Fixed Effects Model in Python

I asked the same question here, as it is a mix between a coding and a statistical question I want to perform a mediation analysis with a fixed effects model as base model in python. I know, that you ...
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Comparison of correlations in longitudinal design

I have a longitudinal design and I want to see if the magnitude of the correlation between two variables, measured at both times points in the same group, changes over time. Importantly, I don't have ...
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Correct estimation of regression model

I am making model to analyze migration from third countries (together 20) to Slovakia, Hungary, Poland and Czechia. I created panel dataset for each pair of country. For example Ukraine-Slovakia, ...
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How to include longitudinal information in logistic regression?

I have a binary outcome $y_i \in \{0,1\}$, $i=1,\dots,n$, and some covariates $x_i\in{\mathbb R}^p$. I am planning to model these using a logistic regression model. However, I also have information ...
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Federated Learning - ROI

I am reading about federated learning and have a quick question 1) I know in federated learning, the model updates are shared to a central server 2) All the parties involved in FL can generate ...
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longitudinal analysis: a cluster switched from control to treatment in R

I have a longitudinal dataset (see below). Up to year 1, $8$ schools ($4$ in Treatment, $4$ in Control) stayed in the study. But in year ...
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How to deal with variables that are follow ups of prior questions when using panel data? [duplicate]

I have a panel data set where one of the variables is employment status is where 1= employed and 0 = not employed. The other variables are for those who have employ=1, such as place of employment, ...
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Testing for Mean Difference in Panel Data?

I have the following problem where I try to test for difference in means between two groups of individuals in a panel data, however, I suspect that due to how I construct the two groups there is ...
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Pooled OLS vs RE and FE

I am conducting research for migration from third countries outside EU to Slovakia, Czechia, Hungary and Poland. I have $t=11$ and $N=20$. I am using Gretl. The only good, economic meaningful ...
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What is the difference between region, year and region-year fixed effects?

I found a paper on the effects of immigration on house prices, it uses fixed effects as a model. When looking at the results I found that the models use region fixed effects while some use year fixed ...
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Controlling variance manually for a latent factor w/ only one manifest indicator using lavaan in R

Using lavaan in R, I'm trying to reproduce a CFA/SEM model from a publication (cf. Figure 1 of https://onlinelibrary.wiley.com/doi/pdf/10.1111/desc.12202). Below is the correlation table and std. dev....
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AbsorbingEffectError running PanelOLS regression with Python

My dataframe looks something like that: ...
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Random-Effects Model: Sigma u equals zero, Breusch-Pagan Lagrange Multiplier equals 1

I have recently encountered a problem while running my Random-Effects Model. I am using an unbalanced panel data set which consists of time-invariant and time-variant variables. The time-invariant ...
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Repeated Measures data set with multiple variables into long format [closed]

Data set: I have a repeated measures RCT data set with a baseline, post-intervention, and follow-up measurement. There are two variables: x and y, as well as a treatment and subject (id) variable. The ...
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How do I report the parameters of a Panel VAR from my output?

I have a panel data with 8 counties and 5 variables. After running Vector Autoregression with lag (p=4) I got the coefficient matrix I attached to https://we.tl/t-90sVrbokxx I was able to transpose ...
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LM vs PLM results in panel data estimation

I'm estimating the effect of immigration on different house prices using panel data, I'm using a simple OLS model with fixed effects. I ran an lm function before ...
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25 views

Understanding the formula for linear mixed model

I have found the below description for the LMM formula in R from: http://www.stat.rutgers.edu/home/yhung/Stat586/Mixed%20model/appendix-mixed-models.pdf. I'm however having trouble understanding why $...
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The definition of a constant term in a fixed effects model

Is it considered necessary to include a constant term in the definition of a panel data model which. among other regressors, includes a variable representing fixed effects?
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Dealing with Heteroskedasticity in Estimated Dependent Variable model

I work on my research in finance concerning pricing of green bonds and I am running a two stage model. Stage 1 regression is an unbalanced panel fixed effects estimation. For each of my 100 green ...
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Bayesian MMRM with Covariance Structure

I use a mixed model for repeated measures (MMRM) to model longitudinal continuous outcomes with individual random slopes. In the R package nlme, I use the following code to fit my data. ...
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23 views

Predictive Modeling on Observations Whose Features Change Over Time

The problem I'm hoping to get some input on is I have a set of observations with associated features and the outcome is whether they convert or not. That said, I acquire additional information about ...
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Backcasting or Not?

I'm doing a research about the relationship of Female Wage Gap and Internet from 1995-2018 (yearly) with fixed effect model. I found some missing data from 2 variables in 1995-2000. Should I do ...
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How fixed effect's mechanism works

It is stated in my econometrics book that fixed effects and first differences estimators when t=2 produce the same result. Trying to demonstrate this statement has led me to see that I haven't ...
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1answer
87 views

Using linear probability model with panel data - what to do when R-squared is low?

I have a dependent variable (innovate) which is binary (0 or 1 outcome) and an independent variable (week). Sample of the panel data: So for instance, firm 1 innovated in week 3, firm 2 innovated in ...
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Age as time variable in a linear mixed model

I'm analyzing an unbalanced longitudinal data set in which subjects underwent a variable number of measurements (maximum 3) of a continuous outcome at different time points. I'm using a linear mixed ...
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Fama MacBeth and Momentum Factor

I am working on a Fama MacBeth regression with excess returns on the LHS and Size, Value an Momentum factors on the RHS. In literature, the Momentum factor is often definded as the cumulative past 6 ...
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23 views

Panel data or separate regression models on count data

I'm trying to find the best way to model count data collected over three years. I have data representing the number of complaints pre-schools in one city has received for the years 2017, 2018 and 2019....
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Is this the correct interpretation of the regression output (panel data)?

I've got some sample data which looks like this: For example, firm 1 took 3 weeks to innovate following X policy change, firm 2 took 6 weeks to innovate following X policy change, etc. Since this is ...
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How to train Prediction model for longitudinal data, with large number of time points?

Given a longitudinal data, that has date (in month-year format) as one of the independent variables and other independent variables being Gross metric tonnes, Tensile strength(UTS), weight per unit ...
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What particular regression use in analysing longitudinal study?

I conducted a longitudinal study (2 waves, 1st wave was in March 2019, and 2nd 6 months later) and wanted to ask how to analyze the data in SPSS using dependant variable in Time 2, controlled variable ...
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Running a first differenced model that accounts for time fixed effects

I have a panel database and I would like to run a dynamic model that accounts for both unit and time fixed effects. For reason related to the structure of the panel, I want to run a model in first ...
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1answer
24 views

Correlation matrices with panel data

When reading through https://www.math.lsu.edu/~smolinsk/Quant_Interview_Prep.pdf, I saw the question "Discuss correlation matrices with panel data" How would you do a correlation matrix with panel ...
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1answer
29 views

Interpretation of intercept in linear mixed model

I have made a Linear mixed model in R, but I'm having trouble interpreting the results. The model is Y ~ Group + TP + (1+TP| Subjectnum, where Y is volume in %, ...
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Implementation and interpretation of time-varying covariates/predictors and their interaction with time in linear mixed effects model

I have a longitudinal design, where we are interested in the relationship between clinical symptoms (continuous data) and brain data (also continuous) both measured over two timepoints. As we have a ...
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Driscoll kraay estimator and R squared

I am doing a panel data regression with Driscoll-Kraay standard errors. Do my R-squared and adjusted R-squared stay the same when using Driscoll-Kraay standard errors?

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