Panel Data Regression Model

Sekolah Tinggi Ilmu Statistik

Jakarta - 2015
 Econometric model

economic model
economic variables and parameters.

statistical model
sampling process with its parameters.

data
observed values of the variables.
 Apa itu data panel?
Darimana data panel diperoleh?
 There are other names for panel data, such as (Gujarati
& Porter, 2008: 591):
pooled data (pooling of time series and cross-sectional
observations), combination of time series and cross-section
data,
longitudinal data (a study over time of a variable or group of
subjects),
event history analysis (studying the movement over time of
subjects through successive states or conditions), and
cohort analysis (e.g., following the career path of 1965
graduates of a business school).
Although there are subtle variations, all these names
essentially connote movement over time of cross-sectional
units. We will therefore use the term panel data in a generic
sense to include one or more of these terms. And we will call
regression models based on such data panel data regression
models.
 Data
Sebutkan data panel di BPS
 Data
Panel data around the world, accessed easly
Benefits of Panel Data (Baltagi, 2013)
Control for individual heterogenity
More informative data, more variability,
more degrees of freedom, less collinearity
among variables, and more efficiency
Dynamic of adjustment
More complicated behavioral model
Benefits of Panel Data (Greene, 2012)
Time and individual variation in behavior unobservable
in cross sections or aggregate time series
Observable and unobservable individual heterogeneity
Rich hierarchical structures
More complicated models
Features that cannot be modeled with only cross
section or aggregate time series data alone
Dynamics in economic behavior
 Benefits of Panel Data (Gujarati & Porter, 2008)
Since panel data relate to individuals, firms, states, countries,
etc., over time, there is bound to be heterogeneity in these
units. Panel data estimation can take such heterogeneity
explicitly
more informative data, more variability, less collinearity
among variables, more degrees of freedom and more
efficiency.
By studying the repeated cross section of observations, panel
data are better suited to study the dynamics of change.
better detect and measure effects that simply cannot be
observed in pure cross-section or pure time series data.
enables to study more complicated behavioral models
can minimize the bias that might result if we aggregate
individuals or firms into broad aggregates.
 Bentuk Umum

= + +
Simbol mengikuti Baltagi (2013), simbol dalam buku lain seperti Greene (2012), dll berbeda

matriks koefisien regresi tidak termasuk

intercept
 Error component
= + +

= + + two-way error
componen
= + one-way error componen
= unobservable individual-specific effect
= disturbance

Di Greene, tertulis:
(menyesuaikan)
= + +
 Analisis Regresi Data Panel
Hanya ini yg
kita pelajari
di STIS
Single equation Multi-equation
Static Static
One-way error component One-way error component
Balanced panel Balanced panel
Unbalanced panel Unbalanced panel
Two-way error component Two-way error component
Balanced panel Balanced panel
Unbalanced panel Unbalanced panel
Dynamic Dynamic
One-way error component One-way error component
Balanced panel Balanced panel
Unbalanced panel Unbalanced panel
Two-way error component Two-way error component
Balanced panel Balanced panel
Unbalanced panel Unbalanced panel
Model Regresi Data Panel
 Bentuk Umum (Greene, 2012:386),
perhatikan simbul-simbul yg berbeda. Penulisan hipotesis, asumsi, dsb
harus menyesuaikan dg simbul pd model
The fundamental advantage of a panel data set over
a cross section is that it will allow the researcher
great flexibility in modeling differences in behavior
across individuals. The basic framework for this
discussion is a regression model of the form

preferences, and so on, all of which are taken to be constant over time t.
1. Common Effect Model (Pooled Regression).Greene (2012)

In the panel data context, this is also called the population

averaged model under the assumption that any latent
heterogeneity has been averaged out
ordinary least squares provides consistent and efficient
estimates of the common and the slope vector .
Example:
 Perlu Uji Asumsi Klasik?
Iya. Selama metode estimasi menggunakan
OLS, maka asumsi-asumsi yang melekat pada
OLS harus terpenuhi.

Bagaimana jika tidak terpenuhi? Greene

(2012:390)
2. Fixed-Effect Model (Least Square Dummy
Variable).Greene (2012:400)

Ommited ci berkorelasi dengan X

 Hati-hati ketika menggunakan LSDV, karena:
1) too many dummy variables, will run up against the degrees
of freedom problem. That is, will lack enough observations
to do a meaningful statistical analysis.
2) many dummy variables in the model, both individual and
interactive or multiplicative, there is always the possibility
of multicollinearity, which might make precise estimation
of one or more parameters difficult. High R-square, little Xs
significant
3) in some situations the LSDV may not be able to identify
the impact of time-invariant variables. (such as distance of
cities, races, etc). Incidentally, the time-invariant variables
are sometimes called nuisance variables or lurking
variables.
 Hati-hati ketika menggunakan LSDV, karena:

4) Have to think carefully about the error term uit . are

several possibilities, including:
a) The error variance is homoskedastic for all cross-section
units, or heteroscedastic
b) The error term is non-autocorrelated, or autocorrelated,
say, of the AR(1) type.
c) The inter-cross sectional error term is correlated with
other, or no such correlation.
 Penjelasan untuk no.4, setelah model diuji
asumsi, dengan menguji struktur variance-
covariance-nya, sesuaikan metode
estimasinya.
a. STATA provides heteroscedasticity-corrected standard errors in the
panel data regression models.
b. Dynamic panel
c. This leads to the so-called seemingly unrelated regression (SURE) model,
originally proposed by Arnold Zellner. See A. Zellner, An Efficient Method of
Estimating Seemingly Unrelated Regressions and Tests for Aggregation
Bias, Journal of the American Statistical Association, vol. 57, 1962,
pp. 348368.
 3. Random Effect Model.Greene (2012)
The fixed effects model allows the unobserved individual
effects to be correlated with the included variables. We then
modeled the differences between units strictly as parametric
shifts of the regression function. For example, an intercountry
comparison may well include the full set of countries for which it
is reasonable to assume that the model is constant.
If the individual effects are strictly uncorrelated with the
regressors, then it might be appropriate to model the individual
specific constant terms as randomly distributed across cross-
sectional units. This view would be appropriate if we believed
that sampled cross-sectional units were drawn from a large
population.
The payoff to this form is that it greatly reduces the number
of parameters to be estimated.
The cost is the possibility of inconsistent estimators, should
the assumption turn out to be inappropriate.
 3. Random Effect Model.Greene (2012)

Asum
si yg
hrs
dipen
uhi
 Model summary
Common effect/pooled regression
yit=+X'it+uit, i = 1,2,...N dan t = 1,2,...T
Fixed effect the dummy variable model,
Individual specific constant terms
= + + +
= (+ ) + +
= i + +
Random effect the error components
model, Compound (composed) disturbance
= + + +
= + + ( + )
 Metode Estimasi Model Common Effect
STRUKTUR MATRIKS VARIANS-KOVARIANS RESIDUAL
Metode Estimasi
Variance-Covariance Cross-sectional correlation
Homocedastis Tidak Ada Ordinary Least Square (OLS)
Generalized Least Square
Heterocedastis Tidak Ada (GLS)/Weighted Least Square (WLS)/
cross sectional weight
Feasible Generalized Least Square
(FGLS)/Seemingly Unrelated
Heterocedastis Ada
Regression (SUR) atau Maximum
Likelihood Estimator (MLE),
Feasible Generalized Least Square
Heterocedastis Ada Serial Correlation (FGLS) dengan proses autoregressive
(AR)
 Metode Estimasi Model Fixed Effect

STRUKTUR MATRIKS VARIANS-KOVARIANS RESIDUAL

Metode Estimasi
Variance-Covariance Cross-sectional correlation
Homocedastis Tidak Ada Ordinary Least Square (OLS)/LSDV

Heterocedastis Tidak Ada Weighted Least Square (WLS)

Homocedastis Ada Seemingly Unrelated Regression (SUR)

 Metode Estimasi Model Random Effect

Karena itu, metode OLS tidak bisa digunakan

untuk mendapatkan estimator yang efisien bagi
model random effects. Metode yang tepat untuk
mengestimasi model random effects adalah
Genaralized Least Squares (GLS).
 Bagaimana menguji struktur varians-
kovarians?

Baca (PR Baca)

Bagaimana menentukan apakah model
common, fixed atau random effect?

Kuliah berikutnya
 TUGAS
INDIVIDU: cari satu set data panel yang
mereprentasikan dependent variable dan
beberapa explanatory variable
KELOMPOK:
Mencari pasangan kelompok. Satu kelas = 12
kelompok
Topik kelompok, boleh dari data salah satu
anggota kelompok
Gambaran topik sudah ada pada kuliah berikutnya
Presentasi pada kuliah ke-5 atau ke-6
Upaya submit bisa dimulai setelah kuliah ke-7
 PAPER
(jumlah halaman dan font menyesuaikan dengan jurnal yang dituju,
sementara bebas)
Judul
Abstrak
JEL (jika diminta)
PENDAHULUAN (terintegrasi antara latar
belakang, masalah dan tujuan)
TEORI (terintegrasi pustaka dengan teori dan
kerangka pemikiran)
METODE (regresi data panel)
HASIL
KESIMPULAN dan REKOMENDASI
Daftar Pustaka