Dear all R users, I have a small doubt about panel data analysis. My basic understanding on Panel data is a type of data that is collected over time and subjects. Vector Autoregressive Model (VAR) model used on this type of data. Therefore can I say that, one of statistical tools used for analysis of panel data is VAR model? If you clarify my doubt I will be very grateful. Thanks and regards, Megh ____________________________________________________________________________________ Looking for earth-friendly autos? Browse Top Cars by "Green Rating" at Yahoo! Autos' Green Center. [[alternative HTML version deleted]]
Then what is the difference between panel data and time series data? You said
panel data is data on "same subject being tracked over time". But time
series data also do the same. Please correct me if I am wrong.
----- Original Message ----
From: "Leeds, Mark (IED)" <Mark.Leeds@morganstanley.com>
To: Megh Dal <megh700004@yahoo.com>
Sent: Wednesday, June 13, 2007 8:30:18 PM
Subject: RE: [R] Panel data
not as far as I know. Panel data is quite specific in that it's the
same subject being tracked over time.
A VAR doesn't take advantage of this and doesn't make that assumption
and I don't think it's applicable to
Your problem. I think there is a book by
Hsaio on panel data and possibly another one by Arellano ( spelling )
but I'm not sure what's available in R for doing panel
data estimation. I've never done it. Maybe do a search for "panel
data"
on the search engine and something may come up ?
-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Megh Dal
Sent: Tuesday, June 12, 2007 12:12 PM
To: r-help@stat.math.ethz.ch
Subject: [R] Panel data
Dear all R users,
I have a small doubt about panel data analysis. My basic understanding
on Panel data is a type of data that is collected over time and
subjects. Vector Autoregressive Model (VAR) model used on this type of
data. Therefore can I say that, one of statistical tools used for
analysis of panel data is VAR model? If you clarify my doubt I will be
very grateful.
Thanks and regards,
Megh
________________________________________________________________________
____________
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Browse Top Cars by "Green Rating" at Yahoo! Autos' Green Center.
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Panel data is that you have e.g. several subjects (=individuals,firms,households) being tracked over a certain time (meaning there are repeated observations). One could roughly say that it is a collection of (quite similiar) time series. This makes the analysis better than pooling the whole set but it needs certain econometric tools. An example would be estimating wage elasticities. Time series analysis usually just involves one subject (interest rates, share prices etc.) over some time. Standard books on panel data analysis are also Baltagi: econometric analysis of panel data and Wooldridge: econometric analysis of cross sectional and panel data. Both are not introductionary texts since you do not know the difference between time series and panel data maybe you should start with an introductionary econometrics book like Wooldridge introductory econometrics or Verbeek: modern econometrics. Stefan on Thursday 14 June 2007 07:33:05 Megh Dal wrote: MD > Then what is the difference between panel data and time series data? You said panel data is data on "same subject being tracked over time". But time series data also do the same. Please correct me if I am wrong. MD >
you said : "the observation times were the same for all subjects " can you give me any example where the observation time is different in VAR analysis? regards, ----- Original Message ---- From: Prof Brian Ripley <ripley@stats.ox.ac.uk> To: Megh Dal <megh700004@yahoo.com> Cc: "Leeds, Mark (IED)" <Mark.Leeds@morganstanley.com>; r-help@stat.math.ethz.ch Sent: Thursday, June 14, 2007 12:12:48 PM Subject: Re: [R] Panel data On Wed, 13 Jun 2007, Megh Dal wrote:> Then what is the difference between panel data and time series data? You > said panel data is data on "same subject being tracked over time". But > time series data also do the same. Please correct me if I am wrong.Panel data is about several subjects being tracked over time, so gives a series of related time series. It also known as 'longitudinal data' or 'repeated measures' (perhaps with slightly different emphases). If the observation times were the same for all subjects a vector AR (presumably the one of several senses of 'VAR' being used) could be used, but conventional analyses are via mixed/GEE models (and in simple cases these reduce to a nested anova). There are examples in MASS and in Diggle, Hegarty, Liang and Zeger (cited there).> ----- Original Message ---- > From: "Leeds, Mark (IED)" <Mark.Leeds@morganstanley.com> > To: Megh Dal <megh700004@yahoo.com> > Sent: Wednesday, June 13, 2007 8:30:18 PM > Subject: RE: [R] Panel data > > > not as far as I know. Panel data is quite specific in that it's the > same subject being tracked over time. > A VAR doesn't take advantage of this and doesn't make that assumption > and I don't think it's applicable to > Your problem. I think there is a book by > Hsaio on panel data and possibly another one by Arellano ( spelling ) > but I'm not sure what's available in R for doing panel > data estimation. I've never done it. Maybe do a search for "panel data" > on the search engine and something may come up ? > > > > -----Original Message----- > From: r-help-bounces@stat.math.ethz.ch > [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Megh Dal > Sent: Tuesday, June 12, 2007 12:12 PM > To: r-help@stat.math.ethz.ch > Subject: [R] Panel data > > Dear all R users, > > I have a small doubt about panel data analysis. My basic understanding > on Panel data is a type of data that is collected over time and > subjects. Vector Autoregressive Model (VAR) model used on this type of > data. Therefore can I say that, one of statistical tools used for > analysis of panel data is VAR model? If you clarify my doubt I will be > very grateful. > > Thanks and regards, > Megh > > > > > > ________________________________________________________________________ > ____________ > Looking for earth-friendly autos? > Browse Top Cars by "Green Rating" at Yahoo! Autos' Green Center. > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -------------------------------------------------------- > > This is not an offer (or solicitation of an offer) to buy/se...{{dropped}} > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- Brian D. Ripley, ripley@stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ____________________________________________________________________________________ [[alternative HTML version deleted]]
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