Panel Data - Memorial University of Newfoundland

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* Open and summarize data from grunfeld2.gdt (which, luckily for us, is already in wide format!!!) open "c:\Program Files\gretl\data\poe\grunfeld2.gdt" system name="Grunfeld" equation inv_ge const v_ge k_ge equation inv_we const v_we k_we end system estimate "Grunfeld" method=sur --geomean Principles of Econometrics, 3rd Edition Slide 15-14
In GRETL the restrict command can be used to impose the cross-equation restrictions on a system of equations that has been previously defined and named. The set of restrictions is started by restrict and terminated with end restrict. Each restriction in the set is expressed as an equation. Put the linear combination of parameters to be tested on the left-hand-side of the equality and a numeric value on the right. Parameters are referenced using b[i,j] where i refers to the equation number in the system, and j the parameter number. Principles of Econometrics, 3rd Edition Slide 15-15
Page 1 and 2: ECON 4551 Econometrics II Memorial
Page 3 and 4: The different types of panel data s
Page 5 and 6: INV =β +β V +β K + e t = 1, , 20
Page 7 and 8: ( ) ( ) 2 ( ) E e = 0 var e =σ cov
Page 9 and 10: • Let D i be a dummy variable equ
Page 11 and 12: ( ) cov e , e = σ GE, t WE, t GE,
Page 13: Principles of Econometrics, 3rd Edi
Page 17 and 18: There are two situations where sepa
Page 19 and 20: Testing for correlated errors for t
Page 21 and 22: Testing for correlated errors for M
Page 23 and 24: • SUR is OK when the panel is lon
Page 25 and 26: ⎧1 i= 1 ⎧1 i= 2 ⎧1 i= 3 D1 i
Page 27 and 28: H H : β =β = =β 0 11 12 1N : th
Page 29 and 30: F = ( R − U) SSE ( NT − K ) SSE
Page 31 and 32: y =β +β x +β x + e it 1i 2 2it 3
Page 33 and 34: Usually, there is no interest in th
Page 35 and 36: y = b + bx + bx i 1i 2 2i 3 3i b1 i
Page 37 and 38: • In the RE model, the individual
Page 39 and 40: ( ) y =β +β x +β x + e + u it 1
Page 41 and 42: But now there are several correlati
Page 43 and 44: • The correlation between errors
Page 45 and 46: y =β +β x +β x + e it 1 2 2it 3
Page 47 and 48: GRETL shows by default this Breusch
Page 49 and 50: y =β x +β x +β x + v * * * * * i
Page 51 and 52: • There are different ways to cal
Page 53 and 54: • Note that there is within varia
Page 55 and 56: • The RE uses information from bo
Page 57 and 58: If the random error v = u + e it i
Page 59 and 60: y =β +β x +β x + u + e it 1 2 2i
Page 61 and 62: The test statistic to the coefficie
Page 63 and 64: Further issues We can generalise th
Page 65 and 66:
Further issues • Of course it is
Page 67 and 68:
Further issues • You can understa
Page 69 and 70:
Readings Wooldridge’s book on pan
Page 71 and 72:
Principles of Econometrics, 3rd Edi
Page 73 and 74:
yi =β 1+β 2x2i +β 3x3i + ui + ei
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Panel Data - Memorial University of Newfoundland

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