Hello,
I have a balanced panel model, with 18 sections and 170 points in time. At its current version it is very simple, given that it only contains one explanatory and a constant. I have estimated it in constantparameters form with system GMM FE. Now I want to lift the constantparameters assumption and test for timevariation of the aplha and beta parameters, while also possibly incorporating more determinants in next steps.
I have previously run rolling regression in time series equations, but have not found a similar formula for panel data.
Is there any (ideally readytouse) addin for rolling the time dimension of the sample in panel data?
Thank you in advance!
Rolling estimation with panel data
Moderators: EViews Gareth, EViews Moderator
Re: Rolling estimation with panel data
In order to give more details:
I want to capture the timevariation of the coefficients of the relationship, which involves a balanced panel data of 170 timeobservations across 18 sections. Currently, I have done the timevarying coefficient estimation, only for the crosssection dimension (i.e. with 1 timeobservation); however, this way I cannot incorporate crosssection fixed effects. So, I need to estimate the panel FE specifications for 170T1 time observations (T1=the dimension of the period observations included in the first estimation). One way to do this is to manually estimate 170T1 panel data equations.
However, rolling over the sample may be easier; it will certainly be less timeconsuming. Technically, this could be done by estimating the relationship for an initial subsample, e.g. consisting of 40 out of the total 170time observations. Then, rolling the period could be done, by adding at the end of the period one timeobservation and removing one timeobservation from the start of the sample, across all sections. In this way, the same relationship, for the same number of sections, could be reestimated, by employing LS (in case of TVparameters LS will do the job) with crosssection fixed effects.
Is it possible to adjust the 'roll' or the 'advroll' addins in order to perform panel data estimation with LSFE?
I want to capture the timevariation of the coefficients of the relationship, which involves a balanced panel data of 170 timeobservations across 18 sections. Currently, I have done the timevarying coefficient estimation, only for the crosssection dimension (i.e. with 1 timeobservation); however, this way I cannot incorporate crosssection fixed effects. So, I need to estimate the panel FE specifications for 170T1 time observations (T1=the dimension of the period observations included in the first estimation). One way to do this is to manually estimate 170T1 panel data equations.
However, rolling over the sample may be easier; it will certainly be less timeconsuming. Technically, this could be done by estimating the relationship for an initial subsample, e.g. consisting of 40 out of the total 170time observations. Then, rolling the period could be done, by adding at the end of the period one timeobservation and removing one timeobservation from the start of the sample, across all sections. In this way, the same relationship, for the same number of sections, could be reestimated, by employing LS (in case of TVparameters LS will do the job) with crosssection fixed effects.
Is it possible to adjust the 'roll' or the 'advroll' addins in order to perform panel data estimation with LSFE?

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11553
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Rolling estimation with panel data
The typical rolling regression code works just fine in a panel context, since sample changes are the same.
You'll just need to change a line that estimates an equation to include the fixed effects option
(so rather than something that says .ls you would have something that says .ls(cx=f) ).
You'll just need to change a line that estimates an equation to include the fixed effects option
(so rather than something that says .ls you would have something that says .ls(cx=f) ).
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Re: Rolling estimation with panel data
Thank you Gareth. I will try that.
Re: Rolling estimation with panel data
Gareth,
The 'roll' addin works fine, when I try timeseries; however, trying to apply the 'roll' formula in my panel data results to an error message of the type: "Procedure cannot be run in panel workfiles". Moreover, I couldn't find the .ls command in its code.
Perhaps, I should not use the 'roll.prg' addin, but some code for rolling the sample, as you mention? If yes, could you please provide it?
The 'roll' addin works fine, when I try timeseries; however, trying to apply the 'roll' formula in my panel data results to an error message of the type: "Procedure cannot be run in panel workfiles". Moreover, I couldn't find the .ls command in its code.
Perhaps, I should not use the 'roll.prg' addin, but some code for rolling the sample, as you mention? If yes, could you please provide it?

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11553
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Rolling estimation with panel data
Sorry, Gareth. I do not understand what I am supposed to see in the discussion you refer.
What I understand from the latest posts in that discussion is that rolling of the time dimension in a LS estimation, while keeping the functions and the crosssection unchanged is not an easy task.
Thanks anyway.
What I understand from the latest posts in that discussion is that rolling of the time dimension in a LS estimation, while keeping the functions and the crosssection unchanged is not an easy task.
Thanks anyway.
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