Pooling TimeSeries CrossSection DataData sets may combine time series and cross section data. Two types of data sets are:
A pooled regression model assumes common coefficients across the
crosssection 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 ExamplesThe examples in this section use the investment demand data set that is analyzed in Greene [2000, Chapter 15].
Notes
ReferencesNathaniel Beck and Jonathan N. Katz, "What to do (and not to do) with TimeSeries CrossSection Data", American Political Science Review, Vol. 89, 1995, pp. 63447. 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. 945948. A. Bhargava, L. Franzini and W. Narendranathan, "Serial Correlation and the Fixed Effects Model", Review of Economic Studies, Vol. 49, 1982, pp. 533549. A. Buse, "Goodness of Fit in Generalized Least Squares Estimation", American Statistician, Vol. 27, 1973, pp. 106108. William H. Greene, Econometric Analysis, Fourth Edition, 2000, PrenticeHall. 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. 500509.
[SHAZAM Guide home] Including lagged variables as explanatory variablesWhen the var(first.last) where
Estimation with a subset of time series observationsWhen the
