Questions tagged [paneldata]

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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
33 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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14 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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2answers
20 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
17 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
50 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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20 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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17 views

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
51 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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15 views

treatment of non-consecutive periods in panel and ʀ SFA

ɪ am estimating a Stochastic Frontier Analysis (SFA estimated by MʟE) model for a panel of seven periods. ɪ want to know if ɪ can use all the periods in the estimation procedure and how are they ...
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1answer
20 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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1answer
87 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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28 views

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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46 views

Immigration supply shocks, fixed effects and model interpretation

I'm new to this and I've been racking my brains for a couple days trying to understand this model and how to run it in Stata. More than programming help, I think I just don't understand the model well ...
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1answer
32 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 ...
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1answer
675 views

What is a good proxy for government quality?

Is it ok to use corruption as a proxy for government quality?
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1answer
75 views

How to perform unbalanced panel data regression in R?

I am attempting to perform an unbalanced panel data regression in R. My code is as follows: ...
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1answer
23 views

Cross-sectional model vs panel model

I have an unbalanced panel dataset of around 3000 firms for 5 years. My goal is to see if female-owned firm are less likely to survive, so I have a logit model with female-owned dummy as the key ...
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26 views

How do I rebase my GDP with different base year?

My data are the following: Current GDP 1996-2017 Real GDP (base year 1985) - 1996-2009 Current GDP - 2009-2017 Real GDP (base year 2000)- 2009-2017 My question is how would I rebase my data from ...
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34 views

Fixed Effects: Identifying coefficient for interaction term with a constant

Suppose I have a regression of the form: $$ Y_{it}=\beta X_{it}+\beta_{2}X_{it}\times D_{i}+\alpha_{i}+\epsilon_{it} $$ In the above, we have information by country-year on $Y_{it}$ and two ...
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1answer
41 views

Endogeneity problem with a dummy variable

I have a panel data model as following, $$Y_{it}=intercept +B_1X_{it}+B_2Q_{it}+error_{it}$$ where $i$ is for firm and $t$= time. $Y$= trade credit demand, $X$= inventory cycle, as inventory ...
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0answers
53 views

Difference-in-differences with long time horizon and repeated treatments

I have a high-frequency panel dataset on the order of $i=150$ and $t=5000$. I am interested in studying the causal impact of a treatment with the following characteristics: The same unit can be ...
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2answers
36 views

How to treat different frequencies of a time series data?

I have annual GDP, annual CPI, monthly exchange rate, and monthly export data. I would like to go for estimation being monthly stock return as the dependent variable. What are the methods to treat the ...
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1answer
68 views

Fixed Effects Estimation and Inconsistency

Consider estimation of the following population regression function: $G{Y_{it}} = {\beta _0} + {\beta _1}IN{F_{it}} + {\beta _2}DE{M_i} + {\beta _3}POI{L_t} + {\varepsilon _{it}}$ Where: $GY_{it}$ = ...
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18 views

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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1answer
121 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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19 views

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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0answers
25 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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0answers
57 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
82 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
33 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
35 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
59 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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1answer
1k 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
49 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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25 views

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
47 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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32 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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1answer
282 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
415 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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0answers
151 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
116 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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3answers
88 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
155 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 ...
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1answer
410 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 ...
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2answers
1k 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
5k 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
443 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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32 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
151 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 ...