Panel Data Analysis Using GAUSS

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Presentation transcript:

Panel Data Analysis Using GAUSS 4 Kuan-Pin Lin Portland State University

Panel Data Analysis Hypothesis Testing Panel Data Model Specification Pool or Not To Pool Random Effects vs. Fixed Effects Heterscedasticity Time Serial Correlation Spatial Correlation

Fixed Effects vs. Random Effects Hypothesis Testing Estimator Random Effects E(ui|Xi) = 0 Fixed Effects E(ui|Xi) =/= 0 GLS or RE-LS (Random Effects) Consistent and Efficient Inconsistent LSDV or FE-LS (Fixed Effects) Consistent Inefficient Possibly Efficient

Random Effects vs. Fixed Effects Fixed effects estimator is consistent under H0 and H1; Random effects estimator is efficient under H0, but it is inconsistent under H1. Hausman Test Statistic

Random Effects vs. Fixed Effects Alternative Hausman Test (Mundlak Approach) Estimate the random effects model with the group means of time variant regressors: F Test that g = 0

Hypothesis Testing Fixed Effects Model Random Effects Model

Heteroscedasticity The Null Hypothesis Based on the auxiliary regression LM test statistic is NR2 ~ 2(K), N is total number of observation (i,t)s.

Cross Sectional Correlation The Null Hypothesis Based on the estimated correlation coefficients Breusch-Pagan LM Test (Breusch, 1980) As T  ∞ (N fixed)

Cross Sectional Correlation Bias adjusted Breusch-Pagan LM Test (Pesaran, et.al. 2008)

Time Serial Correlation The Model and Null Hypothesis LM Test Statistic

Joint Hypothesis Testing Random Effects and Time Serial Correlation The Model Joint Test for AR(1) and Random Effects

Joint Hypothesis Testing Random Effects and Time Serial Correlation Based on OLS residuals :

Joint Hypothesis Testing Random Effects and Time Serial Correlation Marginal Tests for AR(1) & Random Effects Robust Test for AR(1) & Random Effects Joint Test Equivalence

Panel Data Analysis Extensions Seeming Unrelated Regression Allowing Cross-Equation Dependence Fixed Coefficients Model Dynamic Panel Data Analysis Using FD Specification IV and GMM Methods Spatial Panel Data Analysis Using Spatial Weights Matrix Spatial Lag and Spatial Error Models

References Baltagi, B., Li, Q. (1995) Testing AR(1) against MA(1) disturbances in an error component model. Journal of Econometrics, 68, 133-151. Baltagi, B., Bresson, G., Pirotte, A. (2006) Joint LM test for homoscedasticity in a one-way error component model. Journal of Econometrics, 134, 401-417. Bera, A.K., W. Sosa-Escudero and M. Yoon (2001), Tests for the error component model in the presence of local misspecification, Journal of Econometrics 101, 1–23. Breusch, T.S. and A.R. Pagan (1980), The Lagrange multiplier test and its applications to model specification in econometrics, Review of Economic Studies 47, 239–253. Pesaran, M.H. (2004), General diagnostic tests for cross-section dependence in panels, Working Paper, Trinity College, Cambridge. Pesaran, M.H., Ullah, A. and Yamagata, T. (2008), A bias-adjusted LM test of error cross-section independence, The Econometrics Journal,11, 105–127.