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TD Panel

This document contains an exercise on panel data econometrics. It asks students to: 1. Explain the advantages and disadvantages of using panel data. 2. Write the individual and aggregate model specifications in matrix form. 3. Declare panel data in Stata and describe the panel. 4. Estimate a fixed effects model and interpret the results. 5. Interpret results from a random effects estimation. 6. Choose between fixed and random effects models and justify the choice. Annexes provide Stata output to complete the exercise.

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0% found this document useful (0 votes)
28 views3 pages

TD Panel

This document contains an exercise on panel data econometrics. It asks students to: 1. Explain the advantages and disadvantages of using panel data. 2. Write the individual and aggregate model specifications in matrix form. 3. Declare panel data in Stata and describe the panel. 4. Estimate a fixed effects model and interpret the results. 5. Interpret results from a random effects estimation. 6. Choose between fixed and random effects models and justify the choice. Annexes provide Stata output to complete the exercise.

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smati
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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École Supérieure Privée des Technologies de l’Information et de

Management de Nabeul
Année Universitaire 2018-2019
TD en Econométrie des Données de Panel
Niveau : 1IF
Enseignant ; DR Akram SMATI

Exercice 1(10points)

On souhaite expliquer le niveau du produit intérieur brut (Y) en fonction de l’investissement


direct étranger (X1) pour 36 pays durant la période 1998-2018.

1. Quels sont les avantages et les inconvenants de l’utilisation des données de panel ?
2. Ecrire le modèle pour un individu sous forme matricielle.
3. Ecrire le modèle agrégé (celui de l’ensemble des individus) sous forme matricielle.
4. Comment peut-on déclarer les données de panels sur STATA ?
5. Comment peut in qualifier ce Panel ? Justifier.
6. Donner le syntaxe (la commande) pour estimer le modèle à effets fixes.
7. Interpréter les résultats de l’estimation du modèle à effets fixes.
8. Compléter les valeurs manquantes pour F(?;?) =119.09
9. Interpréter les résultats de l’estimation du modèle à effets aléatoires.
10. Quel modèle nous choisissons entre un modèle à Effets Fixes et un modèle à Effets
Aléatoires ? Justifier votre réponse.

Annexes de l’Exercice

. syntaxe monquant
panel variable: countrycode (strongly balanced)
time variable: Year, 1998 to 2018
delta: 1 unit
summarize Y X1

Variable | Obs Mean Std. Dev. Min Max


-------------+--------------------------------------------------------
Y| 748 26393.55 16477.91 2353.987 87716.73
X1 | 685 1.76e+10 4.10e+10 10000 3.40e+11

1
Synataxe monquant pour estimation à effets fixes
Fixed-effects (within) regression Number of obs = 681
Group variable: countrycode Number of groups = 36

R-sq: within = 0.1561 Obs per group: min = 8


between = 0.0861 avg = 18.9
overall = 0.0816 max = 21

F(?;?) = 119.09
corr(u_i, Xb) = 0.1626 Prob > F = 0.0000

------------------------------------------------------------------------------
Y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X1 | 5.14e-08 4.71e-09 10.91 0.000 4.22e-08 6.07e-08
_cons | 24887.66 158.0846 157.43 0.000 24577.23 25198.08
-------------+----------------------------------------------------------------
sigma_u | 16793.155
sigma_e | 3504.8479
rho | .95825957 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(35, 644) = 355.12 Prob > F = 0.0000

. est store EQ1

. xtreg Y X1, re

Random-effects GLS regression Number of obs = 681


Group variable: countrycode Number of groups = 36

R-sq: within = 0.1561 Obs per group: min = 8


between = 0.0861 avg = 18.9
overall = 0.0816 max = 21

Wald chi2(1) = 120.63


corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

------------------------------------------------------------------------------
Y| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X1 | 5.17e-08 4.71e-09 10.98 0.000 4.25e-08 6.10e-08
_cons | 25720.3 2778.71 9.26 0.000 20274.13 31166.47
-------------+----------------------------------------------------------------
sigma_u | 16637.811
sigma_e | 3504.8479
rho | .95750976 (fraction of variance due to u_i)
------------------------------------------------------------------------------

2
. hausman EQ1

---- Coefficients ----


| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| EQ1 . Difference S.E.
-------------+----------------------------------------------------------------
X1 | 5.14e-08 5.17e-08 -2.90e-10 1.90e-10
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic

chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 2.33
Prob>chi2 = 0.1272

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