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Econometric Analysis of Panel Data. Panel Data Analysis Linear Model One-Way Effects Two-Way Effects Pooled Regression Classical Model Extensions. Panel Data Analysis. Linear Model Representation. Linear Panel Data Model (1). One-Way (Individual) Effects. Linear Panel Data Model (1).

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econometric analysis of panel data
Econometric Analysis of Panel Data
  • Panel Data Analysis
    • Linear Model
      • One-Way Effects
      • Two-Way Effects
    • Pooled Regression
      • Classical Model
      • Extensions
panel data analysis
Panel Data Analysis
  • Linear Model Representation
linear panel data model 1
Linear Panel Data Model (1)
  • One-Way (Individual) Effects
linear panel data model 15
Linear Panel Data Model (1)
  • One-Way (Time) Effects
linear panel data model 2
Linear Panel Data Model (2)
  • One-Way (Individual) Effects
linear panel data model 28
Linear Panel Data Model (2)
  • One-Way (Time) Effects
panel data analysis10
Panel Data Analysis
  • Between Estimator
  • If ,then the pooled or population-averaged model is more efficient.
panel data analysis11
Panel Data Analysis

Linear Pooled (Constant Effects) Model

pooled regression model
Pooled Regression Model
  • Classical Assumptions
    • Strict Exogeneity
    • Homoschedasticity
    • No cross section and time series correlation
pooled regression model13
Pooled Regression Model
  • Extensions
    • Weak Exogeneity
    • Heteroschedasticity
pooled regression model14
Pooled Regression Model
  • Extensions
    • Time Series Correlation (with cross section independence for short panels)
pooled regression model15
Pooled Regression Model
  • Extensions
    • Cross Section Correlation (with time series independence for long panels)
pooled regression model16
Pooled Regression Model
  • Extensions
    • Cross Section and Time Series Correlation
alternative pool regression models
Alternative Pool Regression Models
  • Between (Group Means) Estimator
  • First-Difference Estimator
  • Within (Group Mean Deviations) Estimator
pooled regression ols
Pooled Regression: OLS
  • Classical Model Estimation (OLS)
  • Variance estimator is inconsistent because of heteroscedasticity and autocorrelation.
pooled regression ols19
Pooled Regression: OLS
  • Panel-Robust Variance-Covariance Matrix
pooled regression gls
Pooled Regression: GLS
  • The Model
  • Generalized Least Squares (GLS)
    • If cross sections are independent (short panels)
    • where is the consistent estimator of
pooled regression gls21
Pooled Regression: GLS

Heteroscedasticity

Cross Section Correlation

Time Series Correlation

pooled regression gls22
Pooled Regression: GLS
  • Examples of Time Series Correlation
    • Equal-Correlation
    • AR(1)
    • Stationary(1)
    • Nonstationary(1)
model extensions
Model Extensions
  • Time-invariant regressors
  • Random regressors
  • Lagged dependent variables
  • Dynamic models
example investment demand
Example: Investment Demand
  • Grunfeld and Griliches [1960]
    • i = 10 firms: GM, CH, GE, WE, US, AF, DM, GY, UN, IBM; t = 20 years: 1935-1954
    • Iit = Gross investment
    • Fit = Market value
    • Cit = Value of the stock of plant and equipment
example investment demand25
Example: Investment Demand
  • Pooled Model (Population-Averaged Model)
  • Classical OLS
  • Panel-Robust OLS
  • Feasible GLS
    • Heteroscedastcity
    • Autocorrelation