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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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....
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How do I instruct R that there are no duplicates in my data? [duplicate]
I am trying to construct a panel dataframe in R.
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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 ...
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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. ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 (...
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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 ...
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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, ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 :)
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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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