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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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 ...
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15 views

What can explain a wrong sign on difference-in-difference estimator?

I am trying to estimate the casual impact of treatment T on outcome Y based on an unbalanced panel data. The data consists of two subsamples: subsample A and subsample B. Based on context of the ...
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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 ...
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1answer
35 views

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 ...
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36 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 ...
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14 views

Which countries should i remove from a panel data based on the coefficients for capital accumulation

My question may sound more econometrical than about economics at the begining, but it is the contrary. I am working with a panel data of about 150 countries and it is cointegrated. My variables are ...
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1answer
68 views

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,...
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21 views

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 ...
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1answer
34 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 ...
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1answer
33 views

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 ...
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35 views

Do people detrend panel data before estimation?

For a panel data i= entity and t= time, must the data be stationary for each country before estimation? Thus, should the data for each entity be detrended before estimation? Or maybe you should not ...
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How to interpret fixed effects from a binary logit model in which all dependent variables are categorical? Marginal effects does not work

The study is on survey data from UK households with a lot of missing variables. I ran a logit regression to predict the probability of Y (binary variable)and estimated the corresponding marginal ...
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1answer
68 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 ...
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116 views

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$$...
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26 views

Advice on research methodology

I had wanted to ask this community for some advice on some potential methodologies I am developing. Context: I want to evaluate the effectiveness of a component of this scholarship program, which ...
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12 views

SIPP longitudinal data

I am looking to merge the various core data files from SIPP - 1989 to 2014 - so that I can exploit its panel and cross section features. Basically I want to create one dataset for all these years ...
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1answer
75 views

Interpretation of coefficients in a regression with a lagged dependent variable

I have estimated the following dynamic panel data model using GMM:           $\ln Y_{it}=\beta_0+\beta_1\ln Y_{it-1}+\beta_2\ln X_{it-1}+\epsilon_{it} $ where $Y$ is employment and $X$ is productivity....
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1answer
59 views

Is there any confliction in dataset and sample period description here?

Dasgupta,2019, p.2598 documented that they consider all nonfinancial firms in Worldscope, Compustat Global, and Compustat North America data sets from 1990 to 2012 However, they used the [-2;+5] ...
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2answers
221 views

How to justify the treatment and control groups for Difference-In-Difference with staggered implementation of laws?

A. Background: Dong, 2019 and Dasgupta, 2019 used the same way to generate the treatment and control groups because they all learn about the impact of the same laws on different dependent variables. I ...
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0answers
32 views

Alternative ways of visualizing longitudinal macro data?

Problem: Visualizing longitudinal is challenging when the dataset has large number of panel members. A common ways to visualize such data is to either make a large set of small individual plots such ...
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1answer
115 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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32 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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1answer
121 views

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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1answer
58 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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0answers
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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1answer
30 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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1answer
28 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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29 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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59 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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16 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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211 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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1answer
54 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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1answer
315 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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34 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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1answer
71 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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302 views

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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1answer
97 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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1answer
45 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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1answer
97 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
252 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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19 views

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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48 views

How can I obtain monthly unemployment by ethnicity by state for the US?

Grateful for any help, thoughts and direction.
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0answers
48 views

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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0answers
20 views

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
136 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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1answer
61 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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54 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 ...