1 / 68

Applied Econometrics

Applied Econometrics. 17. Linear Models for Panel Data . Panel Data Sets. Longitudinal dataNational longitudinal survey of youth (NLSY)British household panel survey (BHPS)Panel Study of Income Dynamics (PSID)German Socioeconomic Panel (GSOEP)Agricultural Resource Management Survey (ARMS)Cros

hawa
Download Presentation

Applied Econometrics

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

    1. Applied Econometrics William Greene Department of Economics Stern School of Business

    2. Applied Econometrics 17. Linear Models for Panel Data

    3. Panel Data Sets Longitudinal data National longitudinal survey of youth (NLSY) British household panel survey (BHPS) Panel Study of Income Dynamics (PSID) German Socioeconomic Panel (GSOEP) Agricultural Resource Management Survey (ARMS) Cross section time series Grunfelds investment data Penn world tables Financial data by firm, year rit rft = ?i(rmt - rft) + eit, i = 1,,many; t=1,many Exchange rate data, essentially infinite T, large N Effects: ?i= ? + vi

    4. 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?

    5. 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

    6. Nested Panel Data Antweiler, W., Nested Random Effects Journal of Econometrics, 101, 2001, 295-313

More Related