Panel data methods for microeconometrics using Stata

A. Cameron

West Coast Stata Users' Group Meetings 2007 from Stata Users Group

Abstract: This presentation provides an overview of the subset of methods for panel data and the associated Stata xt commands most commonly used by microeconometricians. First, attention is focused on a short panel, meaning data on many individual units and few time periods. Examples include longitudinal surveys of many individuals and panel datasets on many firms. Then the data can be viewed as being clustered on the individual unit and panel methods used are also applicable to other forms of clustered data such as cross-section data from individual-level surveys conducted at many villages with clustering at the village level. Second, emphasis is placed on using the repeated measures aspect of panel data to estimate key marginal effects that can be interpreted as measuring causation rather than mere correlation. The leading methods assume time-invariant individual-specific effects (or “fixed effects”). Instrumental variables (IV) methods can also be used, with data from periods other than the current year potentially serving as instruments. Third, some analyses use dynamic models rather than static models. Particular interest lies in fitting models with both lagged dependent variables and fixed effects. The paper additionally surveys other panel methods used in econometrics, such as those for nonlinear models and those for dynamic panels with many periods of data.

Date: 2007-10-31
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://repec.org/wcsug2007/cameronwcsug.pdf presentation slides (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:wsug07:13

Access Statistics for this paper

More papers in West Coast Stata Users' Group Meetings 2007 from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().