Econometric analysis of Panel data in Stata

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1、ACourseofStataEconometricanalysisofpaneldata+]InstituteofStatisticsandEconometricsNankaiUniversityAugust19,2011+](NankaiUniversity)ACourseofStataAugust19,20111/38Contents1definitionofpaneldata2Linearmodel3Dynamicmodel4Multi-levelmixedeffectmodel5nonlinearpanel+](NankaiUniversity)ACourseofSta

2、taAugust19,20112/38definitionofpaneldataOutlineofSection1definitionofpaneldatatransformationfromlongtowideformattransformationfromwidetolongformatxtsetProblem:replicates+](NankaiUniversity)ACourseofStataAugust19,20113/38definitionofpaneldatatransformationfromlongtowideformat•‚ªTable:•‚ªêâcompna

3、yyearninvestmvaluekstock11935317.63078.52.811936391.84661.752.611937410.65387.1156.921935209.91362.453.821936355.31807.150.521937469.92676.3118.1+](NankaiUniversity)ACourseofStataAugust19,20114/38definitionofpaneldatatransformationfromlongtowideformat°‚ªTable:°‚ªêâyearinvest1mvalue1kstock1inv

4、est2mvalue2kstock21935317.63078.52.8209.91362.453.81936391.84661.752.6355.31807.150.51937410.65387.1156.9469.92676.3118.11938257.72792.2209.2262.31801.9260.21939330.84313.2203.4230.41957.3312.7+](NankaiUniversity)ACourseofStataAugust19,20115/38definitionofpaneldatatransformationfromlongtowide

5、format•‚ª=†•°‚ª.reshapewidestubnames,i(varlist)j(varname)i•I‡3I£Cþ§j•I‡=†•°‚ªI£Cþ"~µgrunfeld.dta••‚ªêâ§òÙ=†•°‚ªêâ§=†company••‚ªI£Cþ§year•°‚ªI£Cþ".reshapewideinvestmvaluekstock,i(company)j(year)+](NankaiUniversity)ACourseofStataAugust19,20116/38definitionofpaneldatatransformationfromlongt

6、owideformat•‚ª=†•°‚ª.reshapewidestubnames,i(varlist)j(varname)i•I‡3I£Cþ§j•I‡=†•°‚ªI£Cþ"~µgrunfeld.dta••‚ªêâ§òÙ=†•°‚ªêâ§=†company••‚ªI£Cþ§year•°‚ªI£Cþ".reshapewideinvestmvaluekstock,i(company)j(year)+](NankaiUniversity)ACourseofStataAugust19,20116/38definitionofpaneldatatransformationfrom

7、widetolongformat°‚ª=†••‚ª.reshapelongstubnames,i(varlist)j(varname)stubnamesL«I‡=†CþcM§i(varlist)L«•‚ªI£Cþ§j(varname)•l°‚ª=†••‚ª#)¤I£Cþ"grunfeld2.dta•°‚ªêâ§òÙ=†••‚ªêâ".reshapelonginvestmvaluekstock,i(year)j(company)+](NankaiUniversity)A