Panel Data - Memorial University of Newfoundland

More documents

Recommendations

Info

( , ) INV = f V K it it it (15.1) The data consist of T = 20 years of data (1935-1954) for N = 10 large firms. Value of stock, proxy for expected profits Let y it = INV it and x 2it = V it and x 3it = K it Capital stock, proxy for desired permanent Capital stock y =β +β x +β x + e it 1it 2it 2it 3it 3it it (15.2) Notice the subindices! Principles of Econometrics, 3rd Edition Slide 15-4
INV =β +β V +β K + e t = 1, , 20 GE, t 1 2 GE, t 3 GE, t GE, t INV =β +β V +β K + e t = 1, , 20 WE, t 1 2 WE, t 3 WE, t WE, t (15.3a) yit =β 1+β 2x2it +β 3x3it + eit i= 1, 2; t = 1, , 20 (15.3b) For simplicity we focus on only two firms Principles of Econometrics, 3rd Edition GRETL: smpl firm = 3 || firm = 8 --restrict Slide 15-5
Page 1 and 2: ECON 4551 Econometrics II Memorial
Page 3: The different types of panel data s
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
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
show all

Panel Data - Memorial University of Newfoundland

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?