Econometric Analysis of Panel Data Introduction Panel Data Definition Unbalanced Panel Balanced Panel: Short Panel: Long Panel: Panel Data Analysis Unobserved Heterogeneity Cross Section and Time Series Correlation Using Stata (stata_intro)

Introduction Panel Data Panel Data Analysis Definition (Wikipedia Encyclopedia) Examples of Panel Datasets Panel Study of Income Dynamics (PSID) Penn World Table (PWT) Panel Data Analysis A Primer for Panel Data Analysis (Yaffee)

Using Stata Declare Panel Data and Variables xtset (or tsset) xttab Panel Data Analysis: xt commands xtdes xtsum xtdata xtline Panel Data Regression xtreg

Using Stata Hypothesis Testing Advanced Topics xthausman xttest0 xtregar xthtaylor (Hausman-Taylor Estimator) xtivreg (Instrumental Variables Estimation) xtabond (Arellano-Bond Estimator)

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: International Comparison of Economic Growth R. Summers and A. Heston, "The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988," Quarterly Journal of Economics 106, 1991, 327-368. G. Mankiw, D. Romer, and D. Weil, "A Contribution to the Empirics of Economic Growth,“ Quarterly Journal of Economics 107, 1992, 407-437.

Example: International Comparison of Economic Growth yit = Real per capita GDP si = Average saving rate (over 1960-1985) ni = Average population growth rate (over 1960-1985) g+d = 5% COMi = 1 if communist, 0 otherwise OPECi =1 if OPEC, 0 otherwise

Example: Returns to Schooling Cornwell and Rupert Data, 595 Individuals, 7 Years These data were analyzed in Cornwell, C. and Rupert, P., "Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variable Estimators," Journal of Applied Econometrics, 3, 1988, pp. 149-155.  See Baltagi, page 122 for further analysis.  

Example: Returns to Schooling LWAGE = log of wage = dependent variable in regressions EXP = work experience WKS = weeks worked OCC = occupation, 1 if blue collar, IND = 1 if manufacturing industry SOUTH = 1 if resides in south SMSA = 1 if resides in a city (SMSA) MS = 1 if married FEM = 1 if female UNION = 1 if wage set by union contract ED = years of education BLK = 1 if individual is black

Example: Wage Equation Koop and Tobias [2004] The data is available in two parts: Part 1: Time-Variant Data (17,919 obs.) id= Person id (ranging from 1 to 2178) ed = Education lwage = Log of hourly wage pexp = Potential experience trend = Time trend

Example: Wage Equation Part 2: Time-Invariant Data (2178 individuals) ability = Time invariant ability medu = Mother’s education fedu= Father’s education d = Dummy variable for residence in a broken home siblings = Number of siblings.

Example: U. S. Productivity Munnell [1988] Productivity Data 48 Continental U.S. States, 17 Years:1970-1986 STATE = State name, ST ABB=State abbreviation, YR =Year, 1970, . . . ,1986, PCAP =Public capital, HWY =Highway capital, WATER =Water utility capital, UTIL =Utility capital, PC =Private capital, GSP =Gross state product, EMP =Employment,