Table of Contents (PDF)

• Introduction
• 1.1 Data Arrangement
• 1.2 Fixed Effect versus Random Effect Models
• 1.3 Estimation and Software Issues
• 1.4 Data Sets
• Least Squares Dummy Variable Regression
  • 2.1 Model 1 without a Dummy Variable: Pooled OLS
  • 2.2 Model 2 with a Dummy Varialbe
  • 2.3 Visualization of Model 1 and 2
  • 2.4 Least Squares Dummy Variable Regression: LSDV1, LSDV2, and LSDV3
  • 2.5 Estimating Three LSDVs
• Panel Data Models
  • 3.1 Functional Forms and Notation
  • 3.2 Fixed Effect Models
  • 3.3 Random Effect Models
  • 3.4 Hausman Test: Fixed Effects versus Random Effects
  • 3.5 Poolability Test
• One-way Fixed Effect Models: Group Effects
  • 4.1 The Pooled OL Regression Model
  • 4.2 LSDV1 without a Dummy
  • 4.3 LSDV2 without the Intercept
  • 4.4 LSDV3 with Restrictions
  • 4.5 Within Group Effect Model
  • 4.6 Between Group Effect Model: Group Mean Regression
  • 4.7 Testing Fixed Group Effects
  • 4.8 Summary
• One-way Fixed Effect Models: Time Effects
  • 5.1 Least Squares Dummy Variable Models
  • 5.2 Within Time Effect Model
  • 5.3 Between Time Effect Model
  • 5.4 Testing Fixed Time Effects
• Two-way Fixed Effect Models
  • 6.1 Least Squares Dummy Variable Models
  • 6.2 LSDV1 without Two Dummies
  • 6.3 LSDV1 + LSDV2: Drop a Dummy and Suppress the Intercept
  • 6.4 LSDV1 + LSDV3: Drop a Dummy and Impose a Restriction
  • 6.5 LSDV2 + LSDV3: Suppress the Intercept and Impose a Restriction
  • 6.6 LSDV3 with Two Restrictions
  • 6.7 Two-way Within Effect Model
  • 6.8 Using SAS: PROC TSCSREG and PROC PANEL
  • 6.9 Using Stata and LIMDEP
  • 6.10 Testing Two-way Fixed Effects
• Random Effect Models
  • 7.1 One-way Random Group Effect Model
  • 7.2 Estimations in SAS, Stata, and LIMDEP
  • 7.3 One-way Random Time Effect Model
  • 7.4 Two-way Random Effect Model in SAS
  • 7.5 Testing Random Effect Models
  • 7.6 Fixed Effects versus Random Effects
  • 7.7 Summary
• Poolability Test
• Conclusion