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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. 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

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  1. Econometric Analysis of Panel Data • Panel Data Analysis • Linear Model • One-Way Effects • Two-Way Effects • Pooled Regression • Classical Model • Extensions

  2. Panel Data Analysis • Linear Model Representation

  3. Linear Panel Data Model (1) • One-Way (Individual) Effects

  4. Linear Panel Data Model (1) • One-Way (Time) Effects

  5. Linear Panel Data Model (1) • Two-Way Effects

  6. Linear Panel Data Model (2) • One-Way (Individual) Effects

  7. Linear Panel Data Model (2) • One-Way (Time) Effects

  8. Linear Panel Data Model (2) • Two-Way Effects

  9. Panel Data Analysis • Between Estimator • If ,then the pooled or population-averaged model is more efficient.

  10. Panel Data Analysis Linear Pooled (Constant Effects) Model

  11. Pooled Regression Model • Classical Assumptions • Strict Exogeneity • Homoschedasticity • No cross section and time series correlation

  12. Pooled Regression Model • Extensions • Weak Exogeneity • Heteroschedasticity

  13. Pooled Regression Model • Extensions • Time Series Correlation (with cross section independence for short panels)

  14. Pooled Regression Model • Extensions • Cross Section Correlation (with time series independence for long panels)

  15. Pooled Regression Model • Extensions • Cross Section and Time Series Correlation

  16. Alternative Pool Regression Models • Between (Group Means) Estimator • First-Difference Estimator • Within (Group Mean Deviations) Estimator

  17. Pooled Regression: OLS • Classical Model Estimation (OLS) • Variance estimator is inconsistent because of heteroscedasticity and autocorrelation.

  18. Pooled Regression: OLS • Panel-Robust Variance-Covariance Matrix

  19. Pooled Regression: GLS • The Model • Generalized Least Squares (GLS) • If cross sections are independent (short panels) • where is the consistent estimator of

  20. Pooled Regression: GLS Heteroscedasticity Cross Section Correlation Time Series Correlation

  21. Pooled Regression: GLS • Examples of Time Series Correlation • Equal-Correlation • AR(1) • Stationary(1) • Nonstationary(1)

  22. Model Extensions • Time-invariant regressors • Random regressors • Lagged dependent variables • Dynamic models

  23. 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

  24. Example: Investment Demand • Pooled Model (Population-Averaged Model) • Classical OLS • Panel-Robust OLS • Feasible GLS • Heteroscedastcity • Autocorrelation

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