Deck 16: Panel Data Models

Question 1

If N is the number of individuals observed in each of T time periods,what is generally true of a "long,narrow" panel?

A)T > N
B)N > T
C)N = T
D)N^1/2 < T²

Answer 1

A

Question 2

In which model are coefficient estimates determined by variation within individuals rather than variation across individuals?

A)pooled model
B)fixed effects
C)random effects
D)none of these

Answer 2

B

Question 3

Which type of model does not have a coefficient that varies with t or i ?

A)a pooled model
B)fixed effects
C)random effects
D)none of these

Answer 3

A

Question 4

If you perform a Hausman test on a random effects model and have a test statistic that exceeds your critical value,which of the following is not correct?

A)at least one of the regressors in the RE model is endogenous
B)none of the common coefficient estimates in the RE model will be significantly different in the FE model
C)FE may be the preferred estimation technique
D)this model may be better estimated using the Hausman-Taylor estimator

Question 5

What is the primary advantage of using panel data rather than a large cross- section data set collected over time?

A)it allow you to control for individual heterogeneity
B)it allows the effects of legislation to be estimated
C)it gives you more degrees of freedom
D)it allow coefficients to vary over time

Question 6

Which of these assumptions indicates homoskedasticity?

A)E(e_it)= 0
B)var(e_it)= E(e²_it)= $\sigma$ ²
C)cov(e_it,e_js)= E(e_it,e_js)= 0 for i j or t s
D)cov(e_it,x_2it)= 0,cov(e_it,x_3it)

Question 7

Which model is also called an error components model?

A)pooled model
B)fixed effects
C)random effects
D)none of these

Question 8

Which type of model has coefficients that vary with i and t?

A)pooled model
B)fixed effects
C)random effects
D)none of these

Question 9

Which of these assumptions means all error terms are uncorrelated?

A)E(e_it)= 0
B)var(e_it)= E(e²_it)= $\sigma$ ²
C)cov(e_it,e_js)= E(e_it,e_js)= 0 for i j or t s
D)cov(e_it,x_2it)= 0,cov(e_it,x_3it)

Question 10

Which of the following assumptions must be made in order to use the pooled least squares estimator,but is relaxed in the cluster robust model?

A)E(e_it)= 0
B)var(e_it)= E(e²_it)= $\sigma$ ²
C)cov(e_it,e_js)= E(e_it,e_js)= 0 for i j or t s
D)cov(e_it,x_2it)= 0,cov(e_it,x_3it)

Question 11

Which of the following is not a reason random effects (RE)results may be preferred to fixed effects (FE)?

A)RE accounts for the random sampling process that generated the data
B)RE is a GLS estimator so in large samples it has a smaller variance than FE which is a least squares estimator
C)RE produces a coefficient for race,gender,or other individual characteristics that are constant over time
D)RE estimates are more robust in the case of endogenous regressors

Question 12

Which of the following is not an estimation technique utilizing panel data?

A)a pooled model
B)fixed effects
C)random effects
D)probit

Question 13

When should the Hausman-Taylor estimator be used?

A)when a RE model has some endogenous regressors
B)when FE is statistically insignificant
C)when you do not have any information as to which regressors are endogenous
D)when you want to estimate RE on a long,narrow data set

Question 14

If N is the number of individuals observed in each of T time periods,what is generally true of a "short,wide" panel?

A)T > N
B)N > T
C)N = T
D)N^1/2 < T²

Question 15

Which type of model has coefficients that vary with i,but are constant with t?

A)pooled model
B)fixed effects
C)random effects
D)none of these

Question 16

For a random effects model the least squares estimator is unbiased and consistent.The errors can be corrected for potential heterogeneity using _________________,but the estimator with minimum variance is _______________.

A)cluster-robust standard errors,GLS
B)White's correction,ML
C)2SLS,fixed effects
D)cluster-robust standard errors,pooled

Question 17

Which of these assumptions means the errors are uncorrelated with all x's?

A)E(e_it)= 0
B)var(e_it)= E(e²_it)= $\sigma$ ²
C)cov(e_it,e_js)= E(e_it,e_js)= 0 for i j or t s
D)cov(e_it,x_2it)= 0,cov(e_it,x_3it)

Question 18

How do you test for endogenous regressors,or correlation between the error term and any regressor in a random effects model?

A)estimate coefficients with RE and FE,then perform a Hausman test of equality
B)estimate the model capturing estimated residuals,then regress residuals on all regressors and perform an F-test
C)estimate RE model capturing estimated residuals,then estimate coefficients of correlation with each regressor
D)estimate RE and FE models and perform an F test on each model individually.If the difference between the F statistics is significant,conclude endogeneity.

Question 19

If you perform a Hausman test on a random effects model and have a test statistic that exceeds your critical value,what should you conclude?

A)all of the regressors in the RE model are exogenous
B)none of the common RE and FE coefficients are significantly different
C)at least one of the coefficients is significantly different from zero
D)at least one of the regressors in the RE model is endogenous

Question 20

What is the difference between balanced and unbalanced panels?

A)unbalanced panels have some observations missing,balanced do not
B)balanced panels are demographically representative of the population being studied,unbalanced are not
C)balanced panels have an equal number of observations above and below the mean of the dependent variable,unbalanced panels are skewed
D)a balanced panel has T = N,an unbalanced panel has N>T or N

Question 21

Suppose you have a long,narrow panel of data and estimate a single equation with indicator variables and interaction terms for the individuals.In doing this what assumption from the pooled model have you relaxed?

A)coefficients on variables are equal across individuals
B)errors are uncorrelated with any x's
C)expected value of errors are zero
D)variances of error terms are equal across individuals

Question 22

Suppose you have a long,narrow panel of data and estimate a single equation with indicator variables and interaction terms for the individuals.In doing this what assumption from the pooled model have you maintained?

A)coefficients on variables are equal across individuals
B)errors are uncorrelated with any x's
C)expected value of errors are zero
D)variances of error terms are equal across individuals

Question 23

When an equation is estimated for each individual jointly,taking into account contemporaneous correlation the resulting model is a(n)

A)Hausman-Taylor model
B)SUR
C)ECM
D)VEC