In statistics and econometrics, the term panel data refers to multi-dimensional data frequently
involving measurements over time. Panel data contain observations of multiple phenomena
obtained over multiple time periods for the same firms or individuals. In biostatistics,
the term longitudinal data is often used instead, wherein a subject or cluster constitutes a
panel member or individual in a longitudinal study.
Time series and cross-sectional data are special cases of panel data that are in one dimension
only.
Example In the example above, two data sets with a
two-dimensional panel structure are shown, although the second data set might be a three-dimensional
structure since it has three people. Individual characteristics are collected for different
persons and different years. In the left data set two persons are observed over three years.
Because 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 2003 and Person 3 is not observed in 2003 or 2001.
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 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
Household, Income and Labour Dynamics in Australia Survey
British Household Panel Survey Survey of Family Income and Employment
Survey of Income and Program Participation Lifelong Labour Market Database
Panel Study of Income Dynamics Korean Labor and Income Panel Study
Chinese Family Panel Studies German Family Panel
National Longitudinal Surveys Labour Force Survey
Korean Youth Panel Korean Longitudinal Study of Aging
Data sets which have a multi-dimensional panel design
See also Panel analysis
Notes
References Baltagi, Badi H.. Econometric Analysis of
Panel Data. Chichester: John Wiley & Sons. ISBN 978-0-470-51886-1.
Davies, A.; Lahiri, K.. "A New Framework for Testing Rationality and Measuring Aggregate
Shocks Using Panel Data". Journal of Econometrics 68: 205–227. doi:10.1016/0304-4076(94)01649-K.
Davies, A.; Lahiri, K.. "Re-examining the Rational Expectations Hypothesis Using Panel
Data on Multi-Period Forecasts". Analysis of Panels and Limited Dependent Variable Models.
Cambridge: Cambridge University Press. pp. 226–254. ISBN 0-521-63169-6.
Frees, E.. Longitudinal and Panel Data: Analysis and Applications in the
Social Sciences. New York: Cambridge University Press. ISBN 0-521-82828-7.
Hsiao, Cheng. Analysis of Panel Data. New York: Cambridge University Press. ISBN 0-521-52271-4.
External links PSID
KLIPS pairfam
Korea Employment Survey