Panel Data - Memorial University of Newfoundland

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• 15.1 Grunfeld’s Investment Data • 15.2 Sets of Regression Equations • 15.3 Seemingly Unrelated Regressions • 15.4 The Fixed Effects Model • 15.4 The Random Effects Model • Extensions RCM, dealing with endogeneity when we have static variables Principles of Econometrics, 3rd Edition Slide 15-2
The different types of panel data sets can be described as: • “long and narrow,” with “long” time dimension and “narrow”, few cross sectional units; • “short and wide,” many units observed over a short period of time; • “long and wide,” indicating that both N and T are relatively large. Principles of Econometrics, 3rd Edition Slide 15-3
Page 1: ECON 4551 Econometrics II Memorial
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 and 14: Principles of Econometrics, 3rd Edi
Page 15 and 16: In GRETL the restrict command can b
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
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Further issues • Of course it is
Page 67 and 68:
Further issues • You can understa
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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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