Questions tagged [paneldata]

Panel data are multi-dimensional data involving measurements over time where observations are for the same subjects each time.

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75 views

Converting monthly data to quarterly

I have monthly shock series, which I want to convert to quarterly form. I have seen several methods like taking average of 3 months or summing 3 months for making a quarter. I would like to know how I ...
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25 views

Comparing Real GDP with different base years and currencies

I have a quarterly panel data of several countries. I have taken the data from Fred. Some countries' real gdp is in chained 2010 prices and some in other years (such as 2015 and 2018). How can I make ...
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Replicate Blundell and Bond (2000) results using R

I want to replicate Blundell and Bond (2000) Table III in R. I'm using the function pgmm from package plm, which (apparently) ...
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45 views

How to interpret fixed effects?

I want to interpret the output of a fixed effects regression and need help with interpreting the country-fixed effects. The regression is the following: ...
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25 views

Econometrics - Panel Data: Relationship between total, within and between

I need to prove the following statement, which is $\hat{\beta}_{total} = W(x)\hat{\beta}_{within} + (I-W(x))\hat{\beta}_{between}$, where $\hat{\beta}_{within}$ is the fixed effect estimator(i.e. the ...
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29 views

How to implement VAR analysis and get IRFs for panel data? [closed]

I would like to do multivariate VAR analysis for panel data. I have only used and coded multivariate VAR for time series and the books like Kilian, Lutkepohl discuss mostly time series VAR analysis. ...
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24 views

Synthetic control question on donors

I'm using synthetic control methods. The treatment group has covariates that are the extrema of the values across itself and all potential donor units. So, say, on covariate $x_1$, the treatment unit ...
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27 views

Can I add a variable that varies only with time in Least Squares Regression model with a time-fixed effects term?

I'm estimating this equation for the trade flows between various countries at time t: ($i$ and $j$ are countries) The last 3 terms are control variables, one of which is oil prices. Can I add oil ...
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27 views

Could a time series be a pooled OLS?

Hello to everyone on the forum, I am currently working with intraday electricity price data. In the electricity market each hour is considered as a different product, because the demand and production ...
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1answer
45 views

Identifying Households in Panel Data

For my thesis, I'm working with a panel dataset that tracks individuals within households. To allow for merging, the dataset provides the household ID in the previous round for each individual. What I'...
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13 views

Should I use panel or cross-sectional weights for survey data when running OLS regression with command “reg”?

if I have a unbalanced panel survey data of four years, I wondered if I still needed to apply panel weights when run "reg", as pool ols regressions on it? Or should I apply cross-sectional ...
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54 views

Panel Data: Fill missing values (on ends) to balance dataset?

So I have this project to work on with panel data. I am using a dataset featuring most European countries and some of my variables are Macroeconomic such as GDP, GDP per Capita. Thing is, for some ...
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13 views

Coefficient omitted due to time fixed effect and multi-collinearity

I am working on a research paper (my first one) where I am dealing with company level unbalanced panel data. There are broadly two types of control variables in the study - a) firm level control ...
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89 views

Stochastic Frontier Analysis (SFA) in Stata: Technical Efficiency Estimates

I am prepared to look quite the fool, but hopefully you can help me. I am trying to perform Stochastic Frontier Analysis on a balanced panel dataset by estimating the following model: I think the ...
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13 views

Interaction term between lagged and non lagged variable Fixed/Random effect model

I am analyzing a panel dataset. I am wondering if I could use an interaction of a lagged variable ( one time step behind) and a non lagged variable ( both continuos indipendent variables) and still ...
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48 views

GDP per Capita in Panel Data: Must the base year be the same for all cross-sections?

I'm trying to run a small project using time series in panel data. One of the variables used is the GDP per capita for a few countries (the countries are the cross-sections). Is there a problem if the ...
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105 views

R's felm() fixed effects vs. factor() within lm()

I am wondering why using felm's fixed effect option versus using the factor() function is different? I was under the impression they were one in the same? I am running a panel regression where i is ...
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24 views

graph of dependent variable after years of restructuring in panel data

i'm not very able to use stata. For my thesis, I have a panel data(1970-2017) for different countries and a lot of variables. In this dataset, there is a dummy (dhairendH) that is equal to one in the ...
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62 views

Fixed Effects Model Interpretation

$$\ln(\text{pay})_{itj}= \alpha_{ij} + \beta\ln(\text{performance})_{jt} + \gamma X_{ijt} + T_t + ε_{ijt}$$ This fixed effects model was used to investigate the link between pay-performance throughout ...
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Error in cbind(yX1[[i]], V1) : number of rows of matrices must match (see arg 2) in r

I estimated a gmm model using pgmm() of the plm package, but received the following error term: ...
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77 views

How to choose between fixed and random effects using economic intuition?

In class, our professor said that when it comes to deciding between estimating panel regression with fixed and random effects we should not just blindly follow the Hausman test, but also think about ...
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43 views

Up-to-date survey of panel data models

I am looking for an up-to-date survey paper or a book chapter on panel data models. I know there are excellent textbooks out there like Wooldridge "Econometric analysis of cross section and ...
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13 views

Random Effects Model with Only Time-variant Independent variable

I'm trying to estimate a panel with random effects where the dependent variable depends on time and id; and the independent variable depends only on id. However, the results that I'm getting are ...
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83 views

Skepticism about the claims of instrument variable validity/exclusion through a statistical test—the Arellano-Bond Test

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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2answers
179 views

Dummy Variables in Panel data

I am building a regression model on some panel data of sales and I am rather new to econometrics. I was thinking of introducing some indipendent variables built as Dummy1*Dummy2 . Is this new ...
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Modelling the effect of crisis on unemployment

We want to estimate the effect of crises on a country's unemployment rate and distinguish the strength of this effect according to the debt level in a country (i.e. via the interaction effect crisis x ...
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How can I obtain monthly unemployment by ethnicity by state for the US?

Grateful for any help, thoughts and direction.
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Trade-off between “extent of controls” and “quasi-experimental”

I apologize in advance for a long and possibly misworded question. I am trying to get to something but I am not exactly sure how to explain it. Hopefully, you can bear with me and provide me with some ...
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Missing trade and FDI data in Time Series

I want to run a panel VARX and some of my variables are bilateral trade and between countries in sub-Saharan Africa and China as well as FDI. Unfortunately the data I could find from official Chinese ...
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1answer
64 views

How to solve duplicate couples error in unbalanced dataset

I am trying to perform a regression on unbalanced panel data in R. In order to set the data as panel data, I use the following code: ...
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16 views

Panel data with state-invariant exogenous value?

I am beginner in panel data. I would like to do a simple regression with a panel of countries for each period but only one (global) exogenous variable in each period (some like that y_{i,t}=x_t). I ...
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1answer
52 views

model design - fixed effects model for paired differences

I have two panels. One panel that consists of an economic indicator variable across firms and years. The second panel consists of the same economic indicator variable across the same firms and years. ...
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38 views

How can I add fixed-effect constant variable in Stata?

I want to test a model like this: alpha denotes full set of country fixed effects and delta denotes full set of year fixed effects in the article in which this model is used. My model is similar to ...
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60 views

How to interpret fixed effect regression R-sq. results for panel data?

I runned a fixed effect regression in Stata (xtreg, fe) for panel data. I obtained below R-sq. results. How should I interpret them? Which one is my main interest(within,below or overall)? How can I ...
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28 views

How to interprete independence between treatment indicator and outcomes?

In Woodridge's textbook "Econometric Analysis of Cross Section and Panel Data", page 907, it says ...the treatment indicator $w$ is statistically independent of ($y_0$, $y_1$), as would occur when ...
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1answer
26 views

Probit with panel data - assumptions violated with endogenous covariate?

I am trying to understand how does the fact that a regressor is endogenous (as a result of reverse causality) in a dynamic probit model violate any assumptions that I may need to make for this model. ...
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32 views

Interpretation of dummy variable : Random Effects Model

I am running a RE regression and I have export similarity index between two countries as the dependent variable and have a dummy variable such as share a border(=1 if countries share border, 0 ...
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8 views

Evaluating the impact of US federal grants

There are a number of challenges with evaluating the impact/effectiveness of federal grants in the U.S. In particular, it's easy to obtain a (somewhat comprehensive) record of transactions between ...
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1answer
248 views

Linear Probability Model Instead of Logit in Fixed Effects Regression

In our panel data analysis we estimated a fixed effects linear probability model (LPM) instead of a fixed effects logit regression because our sample size was quite small (600 individuals) and the ...
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17 views

Handling large percentage of zero-valued observations in the dependent variable in a panel dataset

I am writing a paper using a panel dataset in which my depepent variable has an large percentage amount of zero values observations. Those zero values are real zeros, I mean they are not missing data ...
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24 views

Merging Panel data with two different splits. Is it possible?

I have two data frames with panel data. The first contains data on companies on a yearly basis. The layout is as below: ...
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1answer
18 views

How do I adjust for heterogeneous labor markets when calculating the wage premium?

I have a dataset with mean and median wages for particular geographic areas around the United States. I am interested in calculating the wage premium between some areas. I can already do a simple ...
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1answer
225 views

Dealing with Missing Values in Diff-in-Diff Estimation

To preface this, I am asking this question on the Econ SE because I was made aware on Cross Validated that Difference in Difference estimation is quite an economics specific method. The picture above ...
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28 views

How to run Panel data analysis when data on the dependent variable is on a 5 year interval basis and that on independent variable is on yearly basis?

I am reading a paper which empirically tests if primary exports affect education attainment in LAC countries over the period 1965 to 2010. It uses percentage of secondary school enrollment as ...
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What are the statistical tests I need to perform before I regress GDP on multiple variables?

I'm using data over 10 countries for the period 1975 to 2010. My objective is to check if the chosen regressors have significant effect on GDP. I have very basic knowledge of econometrics which I ...
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1answer
76 views

Can I treat pooled cross-section as panel data and do regression analysis?

I work with a large survey data that is pooled cross-section, i.e, people interviewed are randomly chosen in each time period. This is not panel data. But, I aggregate the individual cells according ...
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1answer
30 views

Data of Inflation and unemployment for a Panel Data

I am looking for data of Inflation and unemployment to run a Panel Data of a Philips Curve. Can anybody help me with some website/source that I can find data like these? In my mind I would need too ...
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136 views

Regarding some econometric problems

How do I know the specification in (3.2) is a chi-square distribution with df k-1? and why is it the case that the asymptotic variance of $\hat{\beta}_{FD}- \hat{\beta}_{OLS}$ is simply the ...
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How to know when survivorship bias is a problem

I have panel data where firms disappear from failure and mergers. Conditional on existing as a stand alone firm, I observe all firms. However, I am differencing two periods (Late - Early), and the ...
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40 views

How to determine correct fixed effects in linear regression model using unbalanced paneldata

I am currently working on a research project regarding the introduction of mandatory earnings guidance regulation in multiple countries within a time span of 10 years (staggered adoption). As I can ...