lect21_2010

# lect21_2010 - 1 32 Introduction to Econometrics Econ 322...

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Unformatted text preview: 1 / 32 Introduction to Econometrics Econ 322 Fall, 2010 Lecture 21: Panel Data Methods November 15, 2010 Topics Covered triangleright Topics Covered Panel Methods Notation Uses of Panel Models Key Idea Traffic Death Data for 1982 Traffic Death Data for 1988 Reasons for Strange estimates eg 1 Panel Data with Two Time Periods Differencing out the unobserved variable Example: Traffic deaths and beer taxes Fixed Effects Estimator Summary of Fixed Effects Estimator Fixed Effects Regression: Estimation 1.“n-1 binary regressors” OLS regression 2.“Entity-demeaned” OLS regression Road Fatality Example (cont) Time Effects Some Theory Assumption 2 Assumption 5 2 / 32 1. Panel data 2. fixed effects estimator 3. time effects Regression Models for Panel Data Topics Covered triangleright Panel Methods Notation Uses of Panel Models Key Idea Traffic Death Data for 1982 Traffic Death Data for 1988 Reasons for Strange estimates eg 1 Panel Data with Two Time Periods Differencing out the unobserved variable Example: Traffic deaths and beer taxes Fixed Effects Estimator Summary of Fixed Effects Estimator Fixed Effects Regression: Estimation 1.“n-1 binary regressors” OLS regression 2.“Entity-demeaned” OLS regression Road Fatality Example (cont) Time Effects Some Theory Assumption 2 Assumption 5 3 / 32 square A panel dataset contains observations on multiple entities (individuals), where each entity is observed at two or more points in time. square Examples: – Data on 420 California school districts in 1999 and again in 2000, for 840 observations total. – Data on 50 U.S. states, each state is observed in 3 years, for a total of 150 observations. – Data on 1000 individuals, in four different months, for 4000 observations total. Notation for panel data Topics Covered Panel Methods triangleright Notation Uses of Panel Models Key Idea Traffic Death Data for 1982 Traffic Death Data for 1988 Reasons for Strange estimates eg 1 Panel Data with Two Time Periods Differencing out the unobserved variable Example: Traffic deaths and beer taxes Fixed Effects Estimator Summary of Fixed Effects Estimator Fixed Effects Regression: Estimation 1.“n-1 binary regressors” OLS regression 2.“Entity-demeaned” OLS regression Road Fatality Example (cont) Time Effects Some Theory Assumption 2 Assumption 5 4 / 32 square A double subscript distinguishes entities (states) and time periods (years) – i = entity (state), N = number of entities, so i = 1 ,...,N – t = time period (year), T = number of time periods t = 1 ,...,T square Data: – Suppose we have 1 regressor. The data are: ( X it ,Y it ) ,i = 1 ,...,N, t = 1 ,...,T – Panel data with k regressors: ( X 1 ,it ,X 2 ,it ,...,X k,it ,Y it ) ,i = 1 ,...,N, t = 1 ,...,T Uses of Panel Models Topics Covered Panel Methods Notation triangleright Uses of Panel Models Key Idea Traffic Death Data for 1982 Traffic Death Data for 1988 Reasons for Strange estimates eg 1 Panel Data with Two Time Periods Differencing out the unobserved variable...
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## This document was uploaded on 10/26/2011 for the course ECON 327 at Rutgers.

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lect21_2010 - 1 32 Introduction to Econometrics Econ 322...

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