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Panel Data Analysis Using GAUSS 2 Kuan-Pin Lin Portland State University Fixed Effects Model Within Model Representation Fixed Effects Model Model Assumptions Fixed ... – PowerPoint PPT presentation

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Title: Panel%20Data%20Analysis%20Using%20GAUSS


1
Panel Data Analysis Using GAUSS
  • 2
  • Kuan-Pin LinPortland State University

2
Fixed Effects Model
  • Within Model Representation

3
Fixed Effects Model
  • Model Assumptions

4
Fixed Effects Model Model Estimation
  • Within Estimator FE-GLS

5
Fixed Effects Model Model Estimation
Transformation Approach
  • Let FT,T-1,1T/?T be the orthonormal matrix of
    the eigenvectors of QT IT-iTiT/T, where FT,T-1
    is the Tx(T-1) eigenvector matrix corresponding
    to the eigenvalues of 1. Define

6
Fixed Effects Model Model Estimation
  • Panel-Robust Variance-Covariance Matrix
  • Consistent statistical inference for general
    heteroscedasticity, time series and cross section
    correlation.

7
Fixed Effects Model Model Estimation ML
  • Normality Assumption

8
Fixed Effects Model Model Estimation ML
  • Log-Likelihood Function
  • Since Q is singular and Q0, we use orthonomral
    transformation of the eigenvectors of Q, we
    maximize

9
Fixed Effects Model Model Estimation ML
  • ML Estimator

10
Fixed Effects ModelHypothesis Testing
  • Pool or Not Pool
  • F-Test based on dummy variable model constant or
    zero coefficients for D w.r.t F(N-1,NT-N-K)
  • F-test based on fixed effects (unrestricted)
    model vs. pooled (restricted) model

11
First-Difference Model
  • First-Difference Representation
  • Model Assumptions

12
First-Difference ModelModel Estimation
  • First-Difference Estimator OLS
  • Consistent statistical inference for general
    heteroscedasticity, time series and cross section
    correlation should be based on panel-robust
    variance-covariance matrix.

13
First-Difference ModelModel Estimation
  • First-Difference Estimator GLS

14
First-Difference ModelModel Estimation
Transformation Approach
  • The first-difference operator D is a (T-1)xT
    matrix with elements
  • Using the transformation matrix (DD?)-1/2D, then
    we have the Forward Orthogonal Deviation Model

15
First-Difference ModelModel Estimation
Transformation Approach
  • FD-GLS
  • Consistent statistical inference for general
    heteroscedasticity, time series and cross section
    correlation should be based on panel-robust
    variance-covariance matrix.

16
References
  • B. H. Baltagi, Econometric Analysis of Panel
    Data, 4th ed., John Wiley, New York, 2008.
  • W. H. Greene, Econometric Analysis, 7th ed.,
    Chapter 11 Models for Panel Data, Prentice Hall,
    2011.
  • C. Hsiao, Analysis of Panel Data, 2nd ed.,
    Cambridge University Press, 2003.
  • J. M. Wooldridge, Econometric Analysis of Cross
    Section and Panel Data, The MIT Press, 2002.
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