Pooling Time-Series Cross-Section Data
Data sets may combine time series and cross section data. Two types of data sets are:
A pooled regression model assumes common coefficients across the
cross-section units. The
where depvar is the dependent variable, indeps is a list of the
explanatory variables and options is a list of desired options.
The examples in this section use the investment demand data set that is analyzed in Greene [2000, Chapter 15].
Nathaniel Beck and Jonathan N. Katz, "What to do (and not to do) with Time-Series Cross-Section Data", American Political Science Review, Vol. 89, 1995, pp. 634-47.
Nathaniel Beck, Jonathan N. Katz, R. Michael Alvarez, Geoffrey Garrett and Peter Lange, "Government Partisanship, Labor Organization and Macroeconomic Performance: A Corrigendum", American Political Science Review, Vol. 87, 1993, pp. 945-948.
A. Bhargava, L. Franzini and W. Narendranathan, "Serial Correlation and the Fixed Effects Model", Review of Economic Studies, Vol. 49, 1982, pp. 533-549.
A. Buse, "Goodness of Fit in Generalized Least Squares Estimation", American Statistician, Vol. 27, 1973, pp. 106-108.
William H. Greene, Econometric Analysis, Fourth Edition, 2000, Prentice-Hall.
J. Kmenta, Elements of Econometrics, 1986, Macmillan.
Richard W. Parks, "Efficient Estimation of a System of Regression Equations when Disturbances are both Serially and Contemporaneously Correlated", Journal of the American Statistical Association, Vol. 62, 1967, pp. 500-509.
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Including lagged variables as explanatory variables
Estimation with a sub-set of time series observations