Section 8 Models for Pooled and Panel Data （8节池和面板数据模型）.pdf

Section 8 Models for Pooled and Panel Data Data definitions • Pooled data occur when we have a “time series of cross sections,” but the observations in each cross section do not necessarily refer to the same unit. • Panel data refers to samples of the same cross-sectional units observed at multiple points in time. A panel-data observation has two dimensions: Xit, where i runs from 1 to n and denotes the cross-sectional unit and t runs from 1 to T and denotes the time of the observation. o A balanced panel has every observation from 1 to n observable in every period 1 to T. o An unbalanced panel has missing data. o Panel data commands in Stata start with xt, as in xtreg. Be careful about models and default assumptions in these commands. Regression with pooled cross sections • The crucial question with pooled cross sections from different time periods is “Does the same model apply in each time period?” o Has inflation changed the real values of some variables, requiring adjustment? o Was the business cycle at different phases in different periods? o Were there changes in technology or regulation that would cause behavior to be different? o Are there other factors that might cause coefficients in one period to differ from those in others? • This is a special case of the Assumption #0 question: Do all observations come from the same model? • Time dummy variables o A very general way of modeling (and testing for) differences in intercept terms or slope coefficients between periods is the use of time dummies. o Including time dummies (for all but one, omitted date in the sample to avoid the dummy-variable trap) alone allows the intercept to have a different value in each p