By Marc Nerlove, Pietro Balestra (auth.), László Mátyás, Patrick Sevestre (eds.)
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Additional info for The Econometrics of Panel Data: A Handbook of the Theory with Applications
Example text
But we neglect this possibility here. It follows that Iti and the values Xit observed are correlated. Suppose, for example, (1-5) a; , where I Pi 1< 1 and EVit = 0, EVit Vi't' = 0, i # i' or t # t', and EVit Vi't' = i = i' and t = t', for all i and t. Let S = {O, 1, ... ,K} be the set of indices for which, given i, Xit is observed (normally k will be chosen much less than K). r-sl sP. , for T E S. Clearly, this makes the likelihood of the sample much more difficult to determine and introduces some of the parameters, namely f3s, into the relationship between the individual-specific disturbances in (1-4) and the observed past values of the explanatory exogenous variable.
The final section of this introduction briefly considers some extensions to this single one equation model. 1 The Nature of Panel Data A panel data set (also called a longitudinal survey) is one in which a given set of individuals is repeatedly sampled at different points in time. In such a set, several observations are available on each individual. abor Market Experience from the Center for Human Resource Research at Ohio State University and the Panel Study of Income Dynamics from the Survey Research Center at the University of Michigan.
1 Specification In this model, the intercept is allowed to vary from individual to individual, while the slope parameters are assumed to be constant in both the individual and time dimensions. The Covariance Model: Individual Effects Only 35 Consider, by contrast, the case in which all the parameters, including the intercept, are constant. Given a panel sample of N individuals over T periods, the basic linear regression equation takes the form: + (32X2it + ...