ch13 Panel Data Methods 《计量经济学导论》课件.pptVIP

Economics 20 - Prof. Anderson A True Panel vs. A Pooled Cross Section Often loosely use the term panel data to refer to any data set that has both a cross-sectional dimension and a time-series dimension More precisely it’s only data following the same cross-section units over time Otherwise it’s a pooled cross-section Pooled Cross Sections We may want to pool cross sections just to get bigger sample sizes We may want to pool cross sections to investigate the effect of time We may want to pool cross sections to investigate whether relationships have changed over time Difference-in-Differences Say random assignment to treatment and control groups, like in a medical experiment One can then simply compare the change in outcomes across the treatment and control groups to estimate the treatment effect For time 1,2, groups A, B (y2,B – y2,A) - (y1,B – y1,A), or equivalently (y2,B – y1,B) - (y2,A – y1,A), is the difference-in-differences Difference-in-Differences (cont) A regression framework using time and treatment dummy variables can calculate this difference-in-difference as well Consider the model: yit = b0 + b1treatmentit + b2afterit + b3treatmentit*afterit + uit The estimated b3 will be the difference-in-differences in the group means Difference-in-Differences (cont) When don’t truly have random assignment, the regression form becomes very useful Additional x’s can be added to the regression to control for differences across the treatment and control groups Sometimes referred to as a “natural experiment” especially when a policy change is being analyzed Two-Period Panel Data It’s possible to use a panel just like pooled cross-sections, but can do more than that Panel data can be used to address some kinds of omitted variable bias If can think of the omitted variables as being fixed over time, then can model as having a composite error Unobserved Fixed Effects Suppose the population model is yit = b0 + d0d2t + b1xit1 +…+ bkxitk + ai + uit Here w