PANELTSP.ZIP Download all the panel data TSP examples as a single zip file

UNIT Panel unit root testing examples from Hall-Mairesse 2003

COV1STEP download (Mar-97) Arellano-Bond (REStud 1991) 1-step COVOC for GMM

COV2STEP download (Mar-97) Arellano-Bond (REStud 1991) 2-step COVOC for GMM

FITEST download (Mar-93) goodness of Fit statistics after Pi matrix model

GMMCHISQ download (Mar-93) chi-squared test of over-id restrictions (@GMMOVID in 4.3)

GMMPANEL download Documentation for the US---- panel examples

GSPD5 download (Jan-94) duplicates a state-year variable to a state-ind-year panel

HHEX download (Apr-93) Hall-Hayashi (1989) dynamic factor model via SUR (no data)

HHGFISH download (Oct-95) Poisson models for panel count data from Hausman, Hall, and Griliches (1984)

HHGNB download (Oct-95) Negative binomial models for panel count data from HHG(84)

LM2TEST download (Mar-97) LM tests for first- and second-order serial correlation, similar to the tests in Arellano-Bond. Requires TSP 4.4.

PANMEANS download (August-98) Shows shows how to do individual means quickly

RDUSBAL download (Apr-93) read USBAL.DAT example dataset which you will need for the US---- examples below

USBALFE download (Apr-93) Fixed Effects and other estimators via PANEL command

USBALGM4 download (Mar-93) strong and weak exogeneity tests, GMM(MASK=...)

USBALGMM download (Mar-93) same as USBALPI, but with GMM and first differencing

USBALME download (Mar-93) GMM with measurement errors

USBALPI download (Mar-93) basic Pi matrix with fixed effects and time-varying coef

USBALPIM download (Mar-93) Pi matrix with measurement errors

YEARDUM download (Mar-94) estimating the average of a set of year dummies

For more panel data examples, see Yoshitsugu Kitazawa Dynamic Data Models page.