Introductory Stata 57: Panel Data First Differencing Method смотреть онлайн

The panel data have two dimensions, across the individuals and over time. The complex structure of the panel data allows us to adopt the methods to estimate the models that only apply to panel data. These methods help us to obtain consistent estimates under certain assumptions. Today, let's learn the first differencing method for panel data models. We will continue to use the panel dataset for the US workers. Please download the dataset from the link below.
https://drive.google.com/file/d/1LS79YDJZGW9k4NIM3YW0-QDp8ExXvzvk/view?usp=sharing

We set the panel data with the xtset command. The panel data are unbalanced. The time variable is "year" with gaps. We can list the first 19 observations for some variables.

The panel data is different from the cross-sectional data for its time component. We observed an individual multiple times. In Stata, we use the time-series operators to represent the lags and the leads of variables. Stata also has the "differenced" operators.

Next, let me show you how to use the differenced operator to perform the first differencing method for panel data models. The first differencing method can eliminate the time-invariant unobserved components in the error term.

#FirstDifferencing #PanelData #TimeSeriesOperator

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*57. Panel Data Methods First *
* Differencing *
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capture log close
log using panel3.log, text replace

set showbaselevels on

*Open a panel dataset for US workers
use "https://134997773-924437014403349320.preview.editmysite.com/uploads/1/3/4/9/134997773/bob5.dta", clear

*Set panel data
xtset ID year

list ID year lwage union in 1/19, sepby(ID)

*Generate lag, lead, difference of log wage
generate l_lwage=l2.lwage

generate f_lwage=f2.lwage

generate d_lwage=s2.lwage

list ID year lwage l_lwage f_lwage d_lwage in 1/19, sepby(ID)

*dynamics of union status
generate f_union=f2.union

tabulate union f_union, row nolabel

*first differencing method for panel data
generate d_union=s2.union

regress d_lwage d_union, noconstant

regress s2.(lwage union), noconstant

log close