“Multidimensional panel data”的意思、由来-开放百科全书

词条

Multidimensional panel data

释义

Analysis of multidimensional panel data
Data sets which have a multidimensional panel design
See also
References

In econometrics, a multidimensional panel data is data of a phenomenon observed over three or more dimensions. This comes in contrast with panel data, observed over two dimensions (typically, time and cross-sections). An example is a data set containing forecasts of one or multiple macroeconomic variables produced by multiple individuals (the first dimension), in multiple series (the second dimension) at multiple times periods (the third dimension) and for multiple horizons (the fourth dimension).

Analysis of multidimensional panel data

A multidimensional panel with four dimensions can have the form

where i is the individual dimension, s is the series dimension, t is the time dimension, and h is the horizon dimension. A general multidimensional panel data regression model is written as

Complex assumptions can be made on the precise structure of the correlations among errors in this model. For example, serial correlation (error terms correlated across time) has multiple distinct meanings. Error terms can be correlated across time for the same series, individual, and horizon. They can be correlated across time and across series for the same individual and horizon, etc. Similarly, heteroskedasticity can be defined across individuals for the same series, time, and horizon, across individuals and different series for the same time and horizon, etc.

Data sets which have a multidimensional panel design

Blue Chip Survey of Professional Forecasters
Survey of Professional Forecasters (ASA-NBER)

References

{{cite book |last=Arellano |first=Manuel |title=Panel Data Econometrics |location=New York |publisher=Oxford University Press |year=2003 |isbn=0-19-924528-2 }}
{{cite journal |last=Davies |first=A. |last2=Lahiri |first2=K. |year=1995 |title=A New Framework for Testing Rationality and Measuring Aggregate Shocks Using Panel Data |journal=Journal of Econometrics |volume=68 |issue=1 |pages=205–227 |doi=10.1016/0304-4076(94)01649-K }}
{{cite book |last=Davies |first=A. |last2=Lahiri |first2=K. |year=2000 |chapter=Re-examining the Rational Expectations Hypothesis Using Panel Data on Multi-Period Forecasts |title=Analysis of Panels and Limited Dependent Variable Models |location=Cambridge |publisher=Cambridge University Press |isbn=0-521-63169-6 |pages=226–254 }}
{{cite book |last=Frees |first=E. |year=2004 |title=Longitudinal and Panel Data: Analysis and Applications in the Social Sciences |location=New York |publisher=Cambridge University Press |isbn=0-521-82828-7 }}
{{cite book |last=Hsiao |first=Cheng |year=2003 |title=Analysis of Panel Data |location=New York |publisher=Cambridge University Press |edition=Second |isbn=0-521-52271-4 }}

PaneldataDatos de panelPaneeliaineisto

2 : Multivariate time series|Statistical data types

随便看

开放百科全书收录14589846条英语、德语、日语等多语种百科知识，基本涵盖了大多数领域的百科知识，是一部内容自由、开放的电子版国际百科全书。

Analysis of multidimensional panel data

Data sets which have a multidimensional panel design

See also

References