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.


----- Original Message ----
From: "Leeds, Mark (IED)" <Mark.Leeds@morganstanley.com>
To: Megh Dal <megh700004@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@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Megh Dal
Sent: Tuesday, June 12, 2007 12:12 PM
To: r-help@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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