Linear Regression Models for Panel Data Using SAS, Stata, LIMDEP, and SPSS

Abstract

Panel (or longitudinal) data are cross-sectional and time-series. There are multiple entities, each of which has repeated measurements at different time periods. U.S. Census Bureau’s Census 2000 data at the state or county level are cross-sectional but not time-series, while annual sales figures of Apple Computer Inc. for the past 20 years are time series but not cross-sectional. If annual sales data of IBM, LG, Siemens, Microsoft, and AT&T during the same periods are also available, they are panel data. The cumulative General Social Survey (GSS), American National Election Studies (ANES), and Current Population Survey (CPS) data are not panel data in the sense that individual respondents vary across survey years. Panel data may have group effects, time effects, or the both, which are analyzed by fixed effect and random effect models.