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Questions tagged [paneldata]

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Need help with positive autocorrelation panel data

Im working on panel regression for school, using 45 cross-sectional (countries) over a 3 year period ('05,'10,'15), 118 observations and 5 independent variables (including const). When running the ...
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8 views

Transforming panel data OLS into cross-sectional economic data model

I am currently stuck on a task where I am interested in estimating the production function for agricultural output using panel data as follows: \begin{equation} y_{it} = x_{it}\beta + \alpha_i + \...
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How do I measure effects over years in panel data with individuals?

I'm working with a longitudinal panel dataset that surveys the same few thousand individuals biennially and I have six years of this data. My dependent variable would be how much individuals spend on ...
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Read CPS ASEC public use file in Python

I'm looking to read the CPS March supplement data files from https://thedataweb.rm.census.gov/ftp/cps_ftp.html into Python as Pandas DataFrames, but each record is ...
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1answer
53 views

Panel Data and Forecasting

I have balanced panel data for around 130 countries, over three years. I ran a fixed effects regression using 'country' as my panel variable, and adding dummies for 'year'. I want to forecast the ...
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Publishing fixed and random effects in one model

I am a health economist working with panel data for a paper I am working on, I use Hausman tests to determine if I should use fixed or random effects estimators in my analysis. For some outcomes ...
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26 views

Nickell Bias in Unbalanced Dynamic Panel Models with binary Dependent Variable

I seem to be unable to tell the forest from the trees in the available literature. Imagine I want to test the impact of an exogenous shock in a dynamic panel setting to a get an impulse response ...
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22 views

Diff-in-diff: Handling correlations within group-level treatment using microdata

Question: What are my best options for handling group-level correlations in a panel differences-in-differences model using StataSE 14.2? Background: I have a Differences-in-Differences (DiD) design ...
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21 views

Panel econometrics for marketing mix analysis: how to include spending that affects all the individuals of a panel?

Dear stack exchangers, in the course of an internship at a microfinance bank in Tajikistan, I have been tasked with assessing the efficiency of different marketing expenses. I will try to expose the ...
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1answer
53 views

Fixed Effects Interpetation

I have some issues understanding the intuition in Fixed Effects models, and the sources of variation they imply. For a concrete example, consider the following regression specification: $$r_{ist}=\...
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1answer
19 views

Categorisation of Harmonised System codes for economic analysis

I work a lot with Harmonised System Codes (https://en.wikipedia.org/wiki/Harmonized_System). In a nutshell, the Harmonised System (HS) provides a way to record all goods based trade in and out of a ...
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1answer
32 views

Extracting group effects from individual fixed effects

I have a conceptual econometrics question I was hoping to get some help with. I have a panel of 100 individual firms over time (10 years) at the quarterly frequency across 10 countries. One of the ...
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1answer
30 views

Do I need to log transform these two kinds of variables?

Before regression (like fixed-effects, random-effects), for these two kinds of variables: 1) Price levels (e.g. price level of capital formation) They are usually ratios like 0.987, 1.022..., based ...
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11 views

How to analyse consumption variation

I have a panel dataset for water consumption for a given population. I would like to estimate whether there is enough variation in water consumption by area to determine whether there were many water ...
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0answers
11 views

Using variables as indices, panel data

I am working on a set of fixed effects panel data regressions in econometrics. One of my variables is an index with a base year, another is a percentage, and there are two other variables that are ...
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1answer
511 views

In panel data application, when using Fama and MacBeth regression is preferable over the fixed or random effect model? thought

When discussing panel data, many econometric books, usually, focus just on fixed or random effect model as means of estimating regression for panel data. Despite this tendency I have seen many papers ...
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1answer
41 views

When does the “stationary” problem become and issue with panel data?

I recently came by a post that states in panel data with small time dimensions the stationarity issue is not present, is this true? can anybody provide a source for this? I'm working with a panel ...
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105 views

Estimating a constant elasticity of substitution (CES) production function

I'm currently on my paper about estimating a CES function for the USA. I use a regular two input function with capital and labour. I would then use nonlinear estimation methods aswell as the kmenta ...
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Panel data: When can I used random effects instead of fixed effects? Are control variables necessary?

I have panel data for individuals in an economy that experienced fluctuations in employment levels. I also have some health information for these individuals, BMI, self-rated health etc., My ...
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2answers
31 views

Should I construct balanced data with only necessary variables or unbalanced data with many potentially usable variables?

When I construct panel data from large household surveys (say, World Bank's Living Standard Measurement Surveys), I try to construct data set with as many potentially usable variables as possible. ...
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26 views

Analysis of panel data with some data not recorded across all time points

I am currently analyzing a panel data-set which records mothers self rated health, BMI and health behaviors across three time points, five years apart each. As this is panel data, following the same ...
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31 views

Cost of production plant

I'm struggling to find a macroeconomic index which embodies the cost to run an average production plan. My problem is that I wanted to divide the annual average cost per employee (which I already ...
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0answers
21 views

How to account for country business cycles in a panel analysis

My data is in panel format (countries by years): T=33 N=20 (or in another case 100). The dependent variable is the unemployment rate. I am interested in controlling for country-specific business ...
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1answer
185 views

Serial correlation and clustered correlation in FE and FD estimators

I'm running a regression on panel data, one time with Fixed Effects and one time with First Differences. The estimators are really different (the FE estimator is statistically significant and the FD ...
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1answer
236 views

Fama Macbeth and double clustering presents inconsistent results

I have a large unbalanced panel data with 460 firms and 1259 days. The model I would like to run is below $$ Y_{it} = \beta X_{it} + \alpha Z_{t} + \epsilon_{it} $$ where $Y_{it}$ is stock return, ...
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113 views

Fixed vs Random effects in panel data

I am an economist interested in looking at panel data on mothers, their husbands and their grandparents to determine the effect of the economic shock of the recession on their self-reported health ...
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2answers
105 views

interpretation: linear regressions with both unit dummies and time dummies

Suppose I have a panel data with N units and T time periods. For model 1 with only unit dummies: $$y_{it} = \text{intercept} + \beta_1 x_{it} + \sum_{j = 2}^{N}\delta_j I\left(i = j\right) + \text{...
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65 views

Under standard regularity conditions derive the asymptotic distribution of β-hat as N → ∞

I am given a non linear panel data regression fixed effects model and asked to derive asymptotic distribution of B-hat as N tends to infinity. If I'm given the sample analog function how would I ...
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3answers
74 views

A question about Fixed effects estimation

I have a fixed effects model as follows: $Y = x_1, x_2, x_3$, (fixed effect), (error term) Is there any way I can check whether Cov($x_1$, (fixed effect)) is larger or smaller than 0? The panel ...
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2answers
128 views

Year effects inconsistent between random effects and fixed effects

I am running a panel data estimation, where I am including year effects. My goal is to see if there is a time trend in the data, after controlling for other factors. Using random effects, I find the ...
2
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1answer
209 views

Interpreting correlation between fixed effect and explanatory variable

I'm dealing with panel data and I chose to do a regression with cross-sectional fixed effects. Some of my explanatory variables (such as $debt_{it}$) do not show very much variation over the time ...
2
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2answers
789 views

Spatial Durbin model in Stata - How it is estimated?

Can someone explain to me how the estimation of the spatial Durbin model is made in Stata ? The documentation of XSMLE command (for spatial panels) says that for dynamic cases the estimator are based ...
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1answer
3k views

Testing for heteroskedasticity in panel data vs time series?

I watched this video on how to check for heteroskedasticity using Stata, and it helped me a lot. But the data example in the video was time series data. He used the Bruesh-Pagan test. ...
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1answer
372 views

Pesaran's CCEP estimator in eviews

I intend to use Pesaran's (2006) common correlated effects pooled (CCEP) estimator. However, I'm not yet very familiar with advanced econometrics and advanced use of eviews. More specifically I want ...
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24 views

How can I find state-level data on the unemployment rate of youth for 2014 and 2015?

I have found state-level, monthly unemployment data for 2014/2015, and I have found national monthly youth unemployment data for 2014/2015. However, I need all four together; State-level, monthly ...
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1answer
117 views

ln(log) of energy consumption in a econometric analysis

i'm applying a panel data analysis. I have four variables; real GDP, trade openness, energy price and energy consumption. I took ln (log)of trade openness,real GDP and energy price. but i cannot ...
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0answers
62 views

OLS estimator panel data

I need to show that the residuals from the regression of $x_{it} - \bar x_i $ on a constant and $\bar x_i $ is just $x_{it} - \bar x_i $ itself. By stnadard OLS regression results, in the simple ...
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1answer
54 views

Panel data, simple rearrangement?

Consider the Correlated Random Effects model $y_{it} = \alpha + x_{it}\beta + \bar x \gamma + w_i + \epsilon_{it} $ where $x_{it}$ is a scalar explanatory variable. The correlated random effects GLS ...
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3answers
3k views

Robust Standard Errors in Fixed Effects Model (using Stata)

I'm trying to figure out the commands necessary to replicate the following table in Stata. This table is taken from Chapter 11, p. 357 of Econometric Analysis of Cross Section and Panel Data, Second ...