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Empirical Methods for Microeconomic Applications

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

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  1. Empirical Methods for Microeconomic Applications William Greene Department of Economics Stern School of Business

  2. Upload Your Project File

  3. 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.

  4. Panel Data

  5. 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 $

  6. Group Sizes

  7. Cluster Correction PROBIT ; Lhs = doctor ; Rhs = one,age,female,educ,married,working ; Cluster = ID $

  8. 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 $

  9. Computed Fixed Effects Parameters

  10. 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 $

  11. A Hausman Test for Fixed Effects

  12. Random Effects and Random Constant

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