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Panel Data Models - WU

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.

Data structures: Panel data A special case of a balanced panel is a fixed panel. Here we require that all individuals are present in all periods. An unbalanced panel is one where individuals are observed a different number of times, e.g. because of missing values. …

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