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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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Should I include location fixed effects if I'm interested in part of the variation across locations when people move?

I have a panel consisting of individuals who moved at some point within the panel's time frame, where the panel ID (id) represents individuals, and the time ID (date) represents days of the year. The ...
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Recommended Commodity Price Datasets

I am working on a project involving bond issuance and commodities. I'm wondering whether anyone has any recommendations for the best commodity price data sets for economic research. Ideally, I would ...
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Should I use a Long Run First Difference model or an autoregressive distributed lag (ADL) model?

I have a panel data set with 30 countries and 40 years (1980-2020), and I'm interested in the long run relationship between several welfare program policy measures (e.g., how much income to programs ...
user307997's user avatar
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Unit root tests in panel data

I'm currently engaged in a panel data analysis project in R, focusing on multiple economic variables (such as GDP, Gross Fixed Capital Formation, etc.) for EU27 countries spanning the period 1995-2015....
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System GMM Estimator

Consider the dynamic linear model given by: \begin{equation} y_{it} = \rho y_{i,t-1} + \alpha_i + \nu_{it} \end{equation} where $\alpha_i$ represents individual fixed effects. The GMM two-step ...
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Diagnostic tests on models using panel data

I am trying to replicate Islam(1995) Convergence model for EU countries. I know that LSDV estimator is biased,however i have applied it in order to compare the results with other methods. My question ...
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GLS estimation procedure for the Random Effect model

Consider a simple panel regression model: $$y_{it}=\beta x_{it}+a_i+u_{it}=\beta x_{it}+\epsilon_{it}$$ where $\epsilon_{it}=a_i+u_{it}$ Question: I need to explain the fixed effects estimator and the ...
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Self-selection problem can be solved in panel data analysis?

Assume that there are two variables $x$ and $y$ and they both have trend. For example, (case 1) During covid-19, government spending($x$) and inflation($y$) are both increased (case 2) A productive ...
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Staggered difference-in-difference for binary outcome and time-to-outcome

I am trying to find out the effect of a training program for employees by answering 2 questions: Does taking training increase the probability of an employee getting promoted? Does taking training ...
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Controlling for Log population with Log GDP per Capita outcome in OLS

Bartlett and Partnoy (BP) (2020) show that OLS with natural log dependent variables that are ratios must include the ln(denominator) on the RHS or they must assume that the numerator and denominator ...
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data on US college spending

I am writing a research paper on college spending and profit optimization. I need data on US colleges' expenditures, revenues, and the total number of students. Since I am not from the US I am not ...
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Q about Panel data with single observation units

I hope you all are doing well. I am doing my research using panel data. In my dataset, almost 150 firms are being examined across 2014 - 2018, but only 321 observations were collected. What is worse ...
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How does one include a "linear time trend"

I've seen this mentioned often in papers, but I never fully got what it means. Below I simulating some diff-in-diff type of data with Stata. How would a "linear trend" be included in a two-...
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Stata command for Dynamic Panel Production Function estimation

Consider a production function to be estimated, $$(*) y_{it} = \beta_0 +\beta_k k_{it} +\beta_l l_{it} + a_i +\omega_{it} +\varepsilon_{it}$$ where $\omega_{it}=\rho\omega_{i,t-1}+\xi_{it}$. The ...
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How to handle missing median and mean values for a panel dataset when a full subdivison is observed?

I am creating a panel dataset for earnings based on English local authorities (local administrative districts). In 2009 and 2019, some local authorities were combined to create a single local ...
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Individual level covariates used in this difference-in-difference paper: a mistake?

This paper uses a differece-in-differences (DID) approach to assess the effect of adding quizzes and assignments on exam grades. The data come from 3 different sections that one of the authors taught, ...
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How do I set up a staggered difference-in-differences design in R?

I have data which looks like this: ...
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Panel data with Sector year fixed effects on R

I am trying to replicate the following econometric equation from the paper "How do french manufacturing firms react to Energy shocks ?" s denotes sectors,i denotes firms, and t denotes year....
BAL's user avatar
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How to overcome the problem of duplicates in Panel data in R

I tried to convert my data to panel data but i kept experiencing an error message. The data is in the form of likert scale. The error message was duplicate couples (id-time) in resulting pdata.frame ...
musa's user avatar
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What is the difference between fixed effect regression and (panel) fixed effect regression?

What's the difference between fixed effect regression and (panel) fixed effect regression?
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Lags in the context of panel data

Suppose that one wishes to find out the impact of some variable (e.g. the money supply) on GDP using panel data. I have two questions about this: Usually, would one lag the independent variable (e.g. ...
afreelunch's user avatar
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When should I NOT control for unit-fixed effects?

I see most of the applied econometrics papers using the two-way fixed effects model, controlling for time and units fixed effects, so: $$y_{it}=\alpha_{i}+ \gamma_{t} +\beta x_{it} +\epsilon_{it}$$ I ...
Oalvinegro's user avatar
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1 answer
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unobserved heterogeneity and time fixed effects

I understand that if there are correlated effects i.e. (one of) our explanatory variables are correlated with unobserved heterogeneity $\alpha_{i}$ then there will be omitted variable bias. Because ...
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In Panel Data models, could we apply the existing Unit Root Tests (i.e. IPS) to the residuals in order to test for Cointegration?

The Engle Granger approach suggests that we check the regression residuals stationarity with ADF test and if the residuals are stationary, even if not all other model variables are, we can say there ...
Econom0nster's user avatar
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Setting up a panel data set - 2019-2020 sample

Given a 1 year (2019-2020) panel data set with around 3650 observations I have faced some issues when setting up the data in Stata. My intention is to see if the pandemic resulted in any effects on ...
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Fixed effects vs first differences when $T = 2$

My understanding is that fixed effects and first differences are numerically equivalent when $T = 2$ (i.e. we have a panel dataset with two time periods). When I checked this with an example, it ...
afreelunch's user avatar
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Include 'year' as an independent variable to deal with autocorrelation?

I'm working on an econometrics project for which I'm trying to study the impact of factors such as p.c. GDP growth, exports, inflation and interest rate on the debt-to-GDP ratio of a country, for 4 ...
viktor nikiforov's user avatar
2 votes
1 answer
42 views

Why include start-of-period values in first difference estimation?

I am currently reading the Paper of Dippel et al. (2015), where the authors estimate the causal effect of imports on voting behavior in Germany. Therefore, they estimate the following first-difference ...
Lea Birm's user avatar
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1 answer
93 views

Is the exogeneity condition required for GLS with panel data a form of strict exogeneity?

Consider the following regression model using panel data: $$y_{it}=x_{it} + u_{it}$$ According to Wooldridge (2010), Chapter 7.4, the first assumption required for Generalized Least Squares (GLS) in a ...
meryasks's user avatar
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1 answer
61 views

Value added at current price and deflation

I am currently working with Value Added at current price per industry per country per year (VALU variable available on OECD stats) and I'm trying to use the Value Added for all the European Countries (...
John's user avatar
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Test for Multicolinearity

i recently ran a regression with fixed effects. As expected, STATA removed one of the dummy-variables, as well as every time-invariant variable (educ). My question is now. Why does STATA also removes ...
Karl Seidl's user avatar
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2 answers
151 views

Fixed time effects or fixed individual effects?

I have the following question or problem. I am currently using panel data to predict the hourly wage. I have only used the variable "union" as an influence variable from the initial model, ...
manofthousandnames's user avatar
2 votes
1 answer
585 views

How to use panel data for a time series machine learning problem?

I am trying to determine if machine learning models provide better predictions of stock market returns when a proxy for investor sentiment is included as factor in the explanatory data. I am using ...
Andrew's user avatar
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Adoption of agricultural technologies empirical research

At the moment I am working on my bachelor thesis about the adoption of agricultural technologies. More specifically, I want to study the effect of improved market access (infrastructure) and access to ...
Arnold's user avatar
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Pooled OLS, fixed effects and random effects yield very similar results

I have used pooled OLS, fixed effects and random effects to estimate a model and the results are as expected. I expected coefficients to differ quite significantly for the different techniques and ...
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How can I add yearly control variables on daily Panel data?

I am working on a dataset where I have to regress daily stock return on daily ESG momentum scores, including some control variables. For market based measure of risk factors, I have added Fama-French ...
Asif Zahir's user avatar
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Is there granger causality that can be applied to panel data with structural breaks?

I have panel data containing various macroeconomic variables (for example: interest rate, output, unemployment). I would like to run a Granger causality test on some of them, but there are structural ...
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Which econometric model should I use?

I have the following model Expenditures = a + $b_1$ Output + $b_2$ Labor + $b_3$ CapitalStock + $b_4$ D where D is dummy variable that is Categorical. If tax is imposed, it takes 1. Or if tax is not ...
studentp's user avatar
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Clustering Standard Errors for Panel Data with multiple clusters

I have a Group-Firm-Year panel data set (i.e., multiple firms make up a group). Suppose I have exogenous variation at the group level over time. In a panel regression with firm and time fixed effects ...
kurofune's user avatar
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2 answers
106 views

Dynamic panel textbook

which books do you recommend for understanding dynamic panel models including Arellano-Bond, System GMM, etc? Ideally intuitive and not too advanced. Thanks :)
Maria's user avatar
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Clustering of standard errors in Fixed Effects models

Why is there still a block structure in the covariance-variance matrix, and consequently a need for clustering of standard errors in fixed-effects models? Shouldn't demeaning solve the serial ...
cc88's user avatar
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In difference-in-difference method, should I code treatment exposure as 0 or missing for pre treatment rounds?

In my data, there are some pre-treatment rounds, and some post-treatment rounds. I use months of exposure to treatment in my analysis. So for post-treatment rounds, I have positive values for months ...
Jan3's user avatar
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1 answer
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How to estimate a system of equations with missing values in dependent variable with sureg?

I am trying to estimate vote shares of different parties. So, suppose I have 4 parties, each having its own column in the data set. Hence, the sum would be tending to 1. Now, if a party does not ...
Anisha Garg's user avatar
2 votes
0 answers
231 views

Missing values in difference-in-differences

To give a background of the problem: I'm performing a difference-in-differences analysis to estimate the effect of a treatment, say A. I have a panel data with 5 rounds and about 3000 observations in ...
Jan3's user avatar
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1 answer
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When I should concern if the number of observation varies quite a bit?

I am running an international regression, the number of observations and adjusted R-squared is as below In Column 1, we only consider the effect of a leniency law without any additional controls, and,...
Phil Nguyen's user avatar
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where can I download financial statements (or financial data) for firms in many industries in one shot?

I'm interested in doing some empirical analysis of firm's financial statements (such as asset, working capital, operating cost, etc) for many firms across industries over the past few years. Where can ...
ExcitedSnail's user avatar
3 votes
1 answer
377 views

When to use dynamic panel data models

I recently got a comment that I should use dynamic panel data model instead of a static one because my outcome is likely to be serially correlated. I guess it makes sense for my application, but it ...
Papayapap's user avatar
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3 votes
2 answers
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Fixed effects vs first difference

Or more generally, what are the reasons for the absolute dominance of the fixed effects estimators to control for unobserved heterogeneity in large N, short T panel settings? I get that random effects ...
Papayapap's user avatar
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2 votes
1 answer
438 views

Why we need to add firm and year relating independent variables in two-way fixed effect model?

From what I know, these terms are very basic in econometrics but I still not yet fully got it. To me, year fixed effect is to control time-variant omitted variables and firm fixed effect is to control ...
Phil Nguyen's user avatar
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3 votes
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A doubt on summary statistic of post*treat variable of a paper using DID (Dong,2019)

Generalized DID or Staggered DID are DID using staggered treatment events. In Dong,2019's paper, he uses the framework as below: $Margin_{ikjt}$ = $\alpha$ + $\beta$ $(Leniency Law)_{kt}$ + $\delta$$...
Phil Nguyen's user avatar
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