[R] Panel data

[Prof Brian Ripley]

On Wed, 13 Jun 2007, Megh Dal wrote:

> Then what is the difference between panel data and time series data? You 
> said panel data is data on "same subject being tracked over time". But 
> time series data also do the same. Please correct me if I am wrong.

Panel data is about several subjects being tracked over time, so gives a 
series of related time series.  It also known as 'longitudinal data' or 
'repeated measures' (perhaps with slightly different emphases).

If the observation times were the same for all subjects a vector AR 
(presumably the one of several senses of 'VAR' being used) could be used, 
but conventional analyses are via mixed/GEE models (and in simple cases 
these reduce to a nested anova).

There are examples in MASS and in Diggle, Hegarty, Liang and Zeger (cited 
there).


> ----- Original Message ----
> From: "Leeds, Mark (IED)" <Mark.Leeds at morganstanley.com>
> To: Megh Dal <megh700004 at yahoo.com>
> Sent: Wednesday, June 13, 2007 8:30:18 PM
> Subject: RE: [R] Panel data
>
>
> not as far as I know. Panel data is quite specific in that it's the
> same subject being tracked over time.
> A VAR doesn't take advantage of this and doesn't make that assumption
> and I don't think it's applicable to
> Your problem. I think there is a book by
> Hsaio on panel data and possibly another one by Arellano ( spelling )
> but I'm not sure what's available in R for doing panel
> data estimation. I've never done it. Maybe do a search for "panel data"
> on the search engine and something may come up ?
>
>
>
> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Megh Dal
> Sent: Tuesday, June 12, 2007 12:12 PM
> To: r-help at stat.math.ethz.ch
> Subject: [R] Panel data
>
> Dear all R users,
>
> I have a small doubt about panel data analysis. My basic understanding
> on Panel data is a type of data that is collected over time and
> subjects. Vector Autoregressive Model (VAR) model used on this type of
> data. Therefore can I say that, one of statistical tools used for
> analysis of panel data is VAR model? If you clarify my doubt I will be
> very grateful.
>
> Thanks and regards,
> Megh
>
>
>
>
>
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595