Importing unbalanced panel

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mikeguima
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Joined: Wed Mar 14, 2018 8:07 am

Importing unbalanced panel

Postby mikeguima » Wed Mar 14, 2018 8:39 am

Hello everyone,

I'm currently trying to figure out the correct way to set up a workfile correctly for my dataset. My data (I send the excel file attached) is unbalanced panel data in the sense that not all the firms (my dissertation is in finance) have data for all years (from 2005 to 2016). My goal is to setup a pooled OLS model for my data.

When I imported the data, Eviews set the workfile data as "unstructured/undated", but it doesn't look correct since my data is dated. Therefore, i'd like to know what the best way to structure the data would be for the purpose of my study and how I could do that. I looked into Eview's users guide but I didn't find it very clear.

I'm running Eviews 10.

Thank you in advance!
Attachments
Sample Eviews.xlsx
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EViews Gareth
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Re: Importing unbalanced panel

Postby EViews Gareth » Wed Mar 14, 2018 9:27 am

Once you have brought it in as undated, click on Proc->Structure/Resize Current Page and change the structure type to dated panel. Then enter the name of your cross-section and date series, and you should be good.
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mikeguima
Posts: 19
Joined: Wed Mar 14, 2018 8:07 am

Re: Importing unbalanced panel

Postby mikeguima » Wed Mar 14, 2018 9:37 am

Should I leave the default "balance between starts and ends" ticked? In addition, the software reports "Indicies do not uniquely identify observations. 32 duplicate date(s) found". Create CELLID to identify observations". What does this mean and should I click yes or no?

Thank you!

EViews Matt
EViews Developer
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Re: Importing unbalanced panel

Postby EViews Matt » Wed Mar 14, 2018 10:03 am

It looks like the data for several companies, such as Bollore, is present in the Excel file twice. That will mess up the restructuring to a dated panel.

mikeguima
Posts: 19
Joined: Wed Mar 14, 2018 8:07 am

Re: Importing unbalanced panel

Postby mikeguima » Wed Mar 14, 2018 11:08 am

EViews Matt wrote:It looks like the data for several companies, such as Bollore, is present in the Excel file twice. That will mess up the restructuring to a dated panel.

Indeed!! :shock: Thank you very much! I would have never noticed that! It's working perfectly now! Thank you!

mikeguima
Posts: 19
Joined: Wed Mar 14, 2018 8:07 am

Re: Importing unbalanced panel

Postby mikeguima » Wed Mar 14, 2018 11:37 am

One more question that arose: I need to include year dummies in this estimation. One of the variables Eviews generates is "year", menaing the year for each observation. If I include "year" in the estimation of my regression is it analogous to including year dummies or if not, is there other way to do it?

startz
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Re: Importing unbalanced panel

Postby startz » Wed Mar 14, 2018 11:45 am

year is just the value of the year. If you want dummies try @expand(year)

EViews Gareth
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Re: Importing unbalanced panel

Postby EViews Gareth » Wed Mar 14, 2018 11:46 am

Or include period fixed effects.
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mikeguima
Posts: 19
Joined: Wed Mar 14, 2018 8:07 am

Re: Importing unbalanced panel

Postby mikeguima » Wed Mar 14, 2018 11:58 am

I tried @expand(year) but it returns a "near singular matrix" error.

Period fixed effects seems to be working! I went to the panel options tab, period and fixed effects, is it correct?

I also wanted to estimate using the White or Huber-White Var/Covar matrix estimator to validate inference under heteroscedasticity and autocorrelation, but I can't seem to find it in the options now that the data is set as panel. Do you now where I can find that option?

Thank you again!


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