Panel Data - Memorial University of Newfoundland

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cov( v , v ) σ ρ= corr( vit , vis ) = = var( v ) var( ) σ +σ it 2 it is u 2 2 vis u e (15.27) The errors are correlated over time for a given individual, but are otherwise uncorrelated This correlation does not dampen over time as in the AR1 model Principles <strong>of</strong> Econometrics, 3rd Edition Slide 15-44
y =β +β x +β x + e it 1 2 2it 3 3it it LM Principles <strong>of</strong> Econometrics, 3rd Edition e = y −b−bx −bx ˆit it 1 2 2 it 3 3 it 2 ⎧ N T ⎛ ˆ ⎞ ⎫ ∑∑eit NT ⎪ ⎜ ⎟ i= 1 t= 1 ⎪ = ⎝ ⎠ ⎨ −1 N T ⎬ 2( T −1) ⎪ 2 ∑∑eˆ it ⎪ ⎪ i= 1 t= 1 ⎩ ⎪ ⎭ (15.28) GRETL shows this Breusch and Pagan Lagrange multiplier test for random effects by default Slide 15-45
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 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: • The correlation between errors
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

Panel Data - Memorial University of Newfoundland

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