Econometrics 17. Linear Models for panel data
Econometrics 17. Linear Models for Panel Data
Panel Data sets 口 Longitudinal data National longitudinal survey of youth (nls) British household panel survey ( Bhps Panel Study of Income Dynamics( PsiD a Cross section time series Grunfeld's investment data Penn world tables a Financial data by firm year t-rt=β(rmt-rt)+ti=1,,many;t=1,…many EXchange rate data, essentially infinite T, large n Effects:β=β+
Panel Data Sets Longitudinal data ◼ National longitudinal survey of youth (NLS) ◼ British household panel survey (BHPS) ◼ Panel Study of Income Dynamics (PSID) Cross section time series ◼ Grunfeld’s investment data ◼ Penn world tables Financial data by firm, year ◼ rit – rft = i (rmt - rft) + εit, i = 1,…,many; t=1,…many ◼ Exchange rate data, essentially infinite T, large N ◼ Effects: i= + vi
Terms of art a Cross sectional vs, time series variation (history consumption function studies Heterogeneity a group effects(individual effects) Fixed effects and or random effects Substantive differences? Is it possible to tell them apart in observed data?
Terms of Art Cross sectional vs. time series variation - (history: consumption function studies) Heterogeneity Group effects (individual effects) Fixed effects and/or random effects ◼ Substantive differences? ◼ Is it possible to tell them apart in observed data?
Panel data u Rotating panels: Spanish household survey Spanish income study http://www.cemfi.es/valbarran/0008r.pdf) Efficiency analysis: Efficiency measurement in rotating panel data,Heshmati, A, Applied conomics30,1998,pp.919930 o Hierarchical(nested )data sets: Student outcome, by year, district, school, teacher
Panel Data Rotating panels: Spanish household survey ◼ Spanish income study (http://www.cemfi.es/~albarran/0008r.pdf) ◼ Efficiency analysis: “Efficiency measurement in rotating panel data,” Heshmati, A, Applied Economics, 30, 1998, pp. 919-930 Hierarchical (nested) data sets: Student outcome, by year, district, school, teacher
Nested panel data a Antweiler. w nested random effects Journal of econometrics 101, 2001, 295-313 Sulfide concentration year, country, station B+B,(logGDP/kmst+B3log(k/Lct+B4Communist+ +阝sog(O∥ Pr ice)2+βt+st+vs+Ws
Nested Panel Data Antweiler, W., Nested Random Effects…” Journal of Econometrics, 101, 2001, 295-313 2 1 2 c,s,t 3 c,t 4 8 9 , , , Sulfide concentration(year,country,station=t,c,s) = β +β (logGDP/km ) +β log(K/L) ... + log( Pr ) c t c s t c s s Communist Oil ice t v w + + + + + +