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Miscellaneous / ML PROC / Panel
Data /
Pindyck & Rubinfeld / QDV / Time Series / Advanced
Panel Data TSP Examples
PANELTSP.ZIP all the panel data TSP examples as a
single zip file
UNIT Panel unit root testing examples from
Hall-Mairesse 2003
COV1STEP (Mar-97) Arellano-Bond (REStud 1991)
1-step COVOC for GMM
COV2STEP (Mar-97) Arellano-Bond (REStud 1991)
2-step COVOC for GMM
FITEST (Mar-93) goodness of Fit statistics after
Pi matrix model
GMMCHISQ (Mar-93) chi-squared test of over-id
restrictions (@GMMOVID in 4.3)
GMMPANEL Documentation for the
GSPD5 (Jan-94) duplicates a state-year variable
to a state-ind-year panel
HHEX (Apr-93) Hall-Hayashi (1989) dynamic
factor model via SUR (no data)
HHGFISH (Oct-95) Poisson models for panel count
data from Hausman, Hall, and Griliches (1984)
HHGNB (Oct-95) Negative binomial models for
panel count data from HHG(84)
LM2TEST (Mar-97) LM tests for first- and
second-order serial correlation, similar to the tests in Arellano-Bond. Requires TSP 4.4.
PANMEANS (August-98) Shows shows how to do
individual means quickly
RDUSBAL (Apr-93) read USBAL.DAT example dataset which you will need for the
USBALFE (Apr-93) Fixed Effects and other
estimators via PANEL command
USBALGM4 (Mar-93) strong and weak exogeneity
tests, GMM(MASK=...)
USBALGMM (Mar-93) same as USBALPI, but with GMM
and first differencing
USBALME (Mar-93) GMM with measurement errors
USBALPI (Mar-93) basic Pi matrix with fixed
effects and time-varying coef
USBALPIM (Mar-93) Pi matrix with measurement
errors
YEARDUM (Mar-94) estimating the average of a set
of year dummies
For
more panel data examples, see Yoshitsugu Kitazawa Dynamic
Data Models page.
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