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Explore various empirical methods for microeconomic analysis using panel data, including fixed effects and random effects models. Learn about setting up panel datasets, group sizes, and conducting tests like the Hausman test.
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Empirical Methods for Microeconomic Applications William Greene Department of Economics Stern School of Business
Global Setting for Panels SETPANEL ; Group = the name of the ID variable ; PDS = the name of the groupsize variable to create $ Subsequent model commands state ;PANEL with no other specifications requred to set the panel. Some other specifications usually required for the specific model – e.g., fixed vs. random effects.
Unbalanced Panel Data Set Examine Distribution of Group Sizes Sample ; all$ Setpanel ; Group = id ; Pds = ti $ Create ; t = ndx(id,1) $ Histogram ; if[t=1] ; rhs = ti $
Cluster Correction PROBIT ; Lhs = doctor ; Rhs = one,age,female,educ,married,working ; Cluster = ID $
Fixed Effects Models ? Fixed Effects Probit. ? Looks like an incidental parameters problem. Namelist ; X = age,educ,married $ Probit ; Lhs = doctor; Rhs = X,one ; FEM ; Marginal ; Panel $ Probit ; Lhs = doctor ; Rhs = X,one ; Marginal $
Logit Fixed Effects Models Conditional and Unconditional FE ? Logit, conditional vs. unconditional Logit ; Lhs = doctor ; Rhs = X ; Panel $ (Conditional) Logit ; Lhs = doctor ; Rhs = X ; Panel ; Fixed $