M17 - Tutorial Time series and Panel data Flashcards

1
Q

within-transformation

A

eliminating alpha by sustracting from each variable for each unit the mean over time

  • -> averages the equation over time for each person
  • -> no individual interferences
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
2
Q

Time series analysis

  • def
  • time series on … or … variables
  • serves to
A

= time-ordered set of values of a variable x which was measured at several points in time
–> time-series on one/more variable/-s

  • serves to:
  • -> describe the ytemporal change of a variable
  • -> forecasting
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
3
Q

Procedure of Time series

A
  1. Visualization of the time series (are there trends, structural breaks?)
  2. Formulation of the model
  3. Estimation of the model (which one has the highest R², but not solely base on it)
  4. Preparation of the forecasts
  5. Assessment of the forecasting quality
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
4
Q

Formulation adn Estimation of time series model

- basic principle

A

time series decomposition

  • trend component
  • cyclic component
  • random component
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
5
Q

why does SPSS drop one dummy?

-

A

if all would be included, there would be perfect collinearity
–> the last dummy is captured by the constant, so all others refer to this dummy

–> if alpha exists: if there is noa lpha, we can include all dummys

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
6
Q

Forecast error

A

the difference between the actual or real and the predicted or forecast value of a time series

–> the bigger k = the mor einto the future i look, the higher the forecasting error

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
7
Q

Projection interval

A

Area in which the unknown value will lie with a certain probability
With 95% confidence are the values for YT+k within the predicted value 1 and value 2 in the period T+k

  • 95% is not 100%
  • there could have been exogenous shocks
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
8
Q

Panel data

  • def
  • two types
  • two formats
A

= contain for the same observation units data for several points in time

  • balanced panel: all obs units have been included in all time perdios
  • unbalanced panel: obs are not available for all obs units for all time periods
  • wide: each line = one obs unit, time-varying variables are stored in separate columns
  • long: each column = one variable ; each obs is integrated several times in the data set, set IDs

disadv

  • panel mortality
  • data collection takes time
  • high costs
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
9
Q

Mannheim Innovation Panel

- why do they bother to do the calls for non-respondents?

A
  • innovation behaviour of german economy in any industries

- if there is a reason why companies are not responding, the results might be baised

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
10
Q

Pooled regression

  • the result of pooled regr is biased, because…
  • the disturbance term is correlated with …
  • 2 regression models:
A
  • the result of pooled rgr is biased, because it does not consider heterogeneity
  • the disturbance term is correlated with the dependent variable (violation of an OLS assumption)
  • models:
    –> fixed effects
    –> random effects
    are there any unobservable influences that correlate with the IV?
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
11
Q

what does within-transformation do?

A

fixed effects disappear

fixed effects: individual heterogeneity

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
12
Q

Hausman test

  • def
  • tests if …
  • H0
A

to assess whether to use fixed or random effects estimation
–> tests if the unobserved effects alphai are independent of the explanatory variables xj

  • H0: alphai is distributed independently of Xj
  • -> if rejected: RER will be subject to unobserved heterogeneity–> use FER (not randomly /dep of Xj)
  • -> if not rejected: FER and RER are consistent, but FER will be inefficient –> use RER (randomly /indep of Xj)
How well did you know this?
1
Not at all
2
3
4
5
Perfectly
13
Q

Adv of FE model

A

the influences of all atributes that are constant over time are considered, irrespectve of whether or not they are observed

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
14
Q

Herfindahl index

A

measure of concentration/ fragmentation

–> large H : large fragmentation (Monopol)

How well did you know this?
1
Not at all
2
3
4
5
Perfectly
15
Q

variable time in time series analysis

A

time can be seen as proceeding completely steadily and unaffected of any other events

How well did you know this?
1
Not at all
2
3
4
5
Perfectly