Information about Panel Data
In statistics and econometrics, the term panel data refers to two-dimensional data. In marketing, panel data refers to data collected at the point-of-sale (also called scanner data).
Data are broadly classified according to the number of dimensions. A data set containing observations on a single phenomenon observed over multiple time periods is called time series. In time series data, both the values and the ordering of the data points have meaning. A data set containing observations on multiple phenomena observed at a single point in time is called cross-sectional. In cross-sectional data sets, the values of the data points have meaning, but the ordering of the data points does not. A data set containing observations on multiple phenomena observed over multiple time periods is called panel data. Alternatively, the second dimension of data may be some entity other than time. For example, when there is a sample of groups, such as siblings or families, and several observations from every group, the data is panel data. Whereas time series and cross-sectional data are both one-dimensional, panel data sets are two-dimensional.
Data sets with more than two dimensions are typically called multi-dimensional panel data.
In the example above, two data sets with a two-dimensional panel structure are shown. Individual characteristics (income, age, sex) are collected for different persons and different years. In the left data set two persons (1, 2) are observed over three years (2003, 2004, 2005). Due to the fact that each person is observed every year, the left-hand data set is called a balanced panel, whereas the data set on the right hand is called an unbalanced panel, since Person 1 is not observed in year 2005 and person 3 only in 2004.
where
is the individual dimension and 
is the time dimension. A general panel data regression model is written as 
Different assumptions can be made on the precise structure of this general model. Two important models are the fixed effects model and the random effects model. The fixed effects model is denoted as
are individual-specific, time-invariant effects (for example in a panel of countries this could include geography, climate etc.) and because we assume they are fixed over time, this is called the fixed-effects model. The random effects model assumes in addition that
and
that is, the two error components are independent from each other.
Hsiao, Cheng, 2003. Analysis of Panel Data, Cambridge University Press.
Davies, A. and Lahiri, K., 2000. "Re-examining the Rational Expectations Hypothesis Using Panel Data on Multi-Period Forecasts," Analysis of Panels and Limited Dependent Variable Models, Cambridge University Press.
Davies, A. and Lahiri, K., 1995. "A New Framework for Testing Rationality and Measuring Aggregate Shocks Using Panel Data," Journal of Econometrics 68: 205-227.
Frees, E., 2004. Longitudinal and Panel Data, Cambridge University Press.
Gow, I.D., Ormazabal G. and Taylor D.J., "Correcting for Both Cross-Sectional and Time-Series Dependence in Accounting Research," [1]
Debt, AIDS, Trade in Africa (or DATA) is a multinational non-government organization founded in January 2002 in London by U2's Bono along with Bobby Shriver and activists from the Jubilee 2000 Drop
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Data are broadly classified according to the number of dimensions. A data set containing observations on a single phenomenon observed over multiple time periods is called time series. In time series data, both the values and the ordering of the data points have meaning. A data set containing observations on multiple phenomena observed at a single point in time is called cross-sectional. In cross-sectional data sets, the values of the data points have meaning, but the ordering of the data points does not. A data set containing observations on multiple phenomena observed over multiple time periods is called panel data. Alternatively, the second dimension of data may be some entity other than time. For example, when there is a sample of groups, such as siblings or families, and several observations from every group, the data is panel data. Whereas time series and cross-sectional data are both one-dimensional, panel data sets are two-dimensional.
Data sets with more than two dimensions are typically called multi-dimensional panel data.
Example
| balanced panel: | unbalanced panel: | |
|---|---|---|
 |  |
In the example above, two data sets with a two-dimensional panel structure are shown. Individual characteristics (income, age, sex) are collected for different persons and different years. In the left data set two persons (1, 2) are observed over three years (2003, 2004, 2005). Due to the fact that each person is observed every year, the left-hand data set is called a balanced panel, whereas the data set on the right hand is called an unbalanced panel, since Person 1 is not observed in year 2005 and person 3 only in 2004.
Analysis of Panel Data
A panel has the form
where
is the individual dimension and is the time dimension. A general panel data regression model is written as
Different assumptions can be made on the precise structure of this general model. Two important models are the fixed effects model and the random effects model. The fixed effects model is denoted as
are individual-specific, time-invariant effects (for example in a panel of countries this could include geography, climate etc.) and because we assume they are fixed over time, this is called the fixed-effects model. The random effects model assumes in addition that
and
that is, the two error components are independent from each other.
Data sets which have a panel design
- German Socio-Economic Panel (SOEP)
- Household, Income and Labour Dynamics in Australia Survey (HILDA)
- British Household Panel Survey (BHPS)
- Survey of Income and Program Participation (SIPP)
- Lifelong Labour Market Database (LLMDB)
- Panel Study of Income Dynamics (PSID)
Data sets which have a multi-dimensional panel design
- Livingston Survey
- ASA-NBER Survey of Professional Forecasters
- Blue Chip Survey of Professional Forecasters
References
Arellano, Manuel. Panel Data Econometrics, Oxford University Press 2003. [www.cemfi.es]Hsiao, Cheng, 2003. Analysis of Panel Data, Cambridge University Press.
Davies, A. and Lahiri, K., 2000. "Re-examining the Rational Expectations Hypothesis Using Panel Data on Multi-Period Forecasts," Analysis of Panels and Limited Dependent Variable Models, Cambridge University Press.
Davies, A. and Lahiri, K., 1995. "A New Framework for Testing Rationality and Measuring Aggregate Shocks Using Panel Data," Journal of Econometrics 68: 205-227.
Frees, E., 2004. Longitudinal and Panel Data, Cambridge University Press.
Gow, I.D., Ormazabal G. and Taylor D.J., "Correcting for Both Cross-Sectional and Time-Series Dependence in Accounting Research," [1]
See also
External links
Statistics is a mathematical science pertaining to the collection, analysis, interpretation or explanation, and presentation of data. It is applicable to a wide variety of academic disciplines, from the physical and social sciences to the humanities.
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Econometrics is concerned with the tasks of developing and applying quantitative or statistical methods to the study and elucidation of economic principles.[1] Econometrics combines economic theory with statistics to analyze and test economic relationships.
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- For other uses, see Data (disambiguation).
Debt, AIDS, Trade in Africa (or DATA) is a multinational non-government organization founded in January 2002 in London by U2's Bono along with Bobby Shriver and activists from the Jubilee 2000 Drop
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dimension (Latin, "measured out") is a parameter or measurement required to define the characteristics of an object—i.e., length, width, and height or size and shape.
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data set (or dataset) is a collection of data, usually presented in tabular form. Each column represents a particular variable. Each row corresponds to a given member of the data set in question.
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In statistics, signal processing, and econometrics, a time series is a sequence of data points, measured typically at successive times, spaced at (often uniform) time intervals.
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In statistics, signal processing, and econometrics, a time series is a sequence of data points, measured typically at successive times, spaced at (often uniform) time intervals.
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The German Socio-Economic Panel (SOEP) is a longitudinal panel dataset of the population in Germany. It is a household based study which started in 1984 and which reinterviews adult household members annually.
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The Household, Income and Labour Dynamics in Australia (HILDA) survey is an Australian household-based panel study which began in 2001. It has been used for examining issues such as the incidence of persistent poverty; assets and income in the transition to retirement; the
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The British Household Panel Survey (BHPS), carried out at the Institute for Social and Economic Research of the University of Essex, is an instrument for social and economic research. A sample of British households was drawn and first interviewed in 1991.
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The Survey of Income and Program Participation (SIPP) is a statistical survey conducted by the Demographic Statistical Methods Division of the United States Census Bureau. The main objective of the SIPP is to provide accurate and comprehensive information about the income of
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The Lifelong Labour Market Database (LLMDB2) is a panel data set, owned by the Department for Work and Pensions in Britain. LLMDB2 holds a 1% sample from the new National Insurance Recording System (NIRS2) and is a fully representative sample of around 600000 people.
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Panel (data) analysis is statistical method, widely used in social science, epidemiology and econometrics, which deals with two-dimensional panel data. The data are usually collected over time and over the same individuals and then a regression is run over these two dimensions.
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