Panel Data Models
Panel data models provide information on individual behavior, both across individuals and over time. The data and models have both cross-sectional and time-series dimensions. Panel data can be balanced when all individuals are observed in all time periods or unbalanced when individuals are not observed in all time periods. Examples include estimating the effect of education on income, with data across time and individuals; and estimating the effects of income on savings, with data across years and countries.
Handouts, Programs, and Data
Panel Data Models Stata Program and Output
Panel Data Models R Program and Output
Panel Data Models SAS Program and Output
Panel data models: topics covered
Panel data characteristics, panel data types
Variation types (overall, within, and between variation)
Panel data models (pooled model, fixed effects model, and random effects model)
Estimator properties (consistency and efficiency)
Estimators (pooled OLS, between, fixed effects, first differences, random effects)
Tests for choosing between models (Breusch-Pagan LM test, Hausman test)