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Panel Data Models

Panel data ModelsChapter 5 Financial EconometricsMichael HauserWS18/191 / 63 ContentIData structures:Times series, cross sectional, Panel data , pooled dataIStatic linear Panel data Models :fixed effects, random effects, estimation, testingIDynamic Panel data Models :estimation2 / 63 data structures3 / 63 data structuresWe distinguish the following data structuresITime series data :I{xt,t=1,..,T}, univariate series, a price series:Its path over time is modeled. The path may also depend on third , several price series:Their individual as well as their common dynamics is modeled. Third variablesmay be sectional dataare observed at a single point of time for severalindividuals, countries, assets, etc.,xi,i=1,.., interest lies in modeling the distinction of single individuals, theheterogeneity across / 63 data structures: PoolingPooling datarefers to two or moreindependentdata sets of the same time series:We observe return series of several sectors, which are assumed to beindependent of each other, together with explanatory variables.

Content I Data structures: Times series, cross sectional, panel data, pooled data I Static linear panel data models: fixed effects, random effects, estimation, testing I Dynamic panel data models…

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