panel data methods for microeconometrics using stata：用stata为微观面板数据方法..pdfVIP

Panel data methods for microeconometrics using Stata A. Colin Cameron Univ. of California - Davis Prepared for West Coast Stata UsersíGroup Meeting Based on A. Colin Cameron and Pravin K. Trivedi, Microeconometrics using Stata, Stata Press, forthcoming. October 25, 2007 Panel methods for Stata October 25, 2007 1 / 39 1. Introduction Panel data are repeated measures on individuals (i ) over time (t). Regress yit on xit for i = 1, ..., N and t = 1, ..., T. Complications compared to cross-section data: 1 Inference: correct (ináate) standard errors. This is because each additional year of data is not independent of previous years. 2 Modelling: richer models and estimation methods are possible with repeated measures. Fixed e§ects and dynamic models are examples. 3 Methodology: di§erent areas of applied statistics may apply di§erent methods to the same panel data set. Panel methods for Stata October 25, 2007 2 / 39 This talk: overview of panel data methods and xt commands for Stata 10 most commonly used by microeconometricians. Three specializations to general panel methods: 1 Short panel: data on many individual units and few time periods. Then data viewed as clustered on the individual unit. Many panel methods also apply to clustered data such as cross-section individual-level surveys clustered at the village level. 2 Causation from observational data: use repeated measures to estimate key marginal e§ects that are causative rather than mere correlation. Fixed e§ects: assume time-invariant individual-speciÖc e§ects. IV: use data from other periods as