Panel Data Econometrics

Common Factor Analysis for Empirical Researchers

Update: April 9, 2023

This website will be regularly updated every quarter. I will upload new data sets and empirical examples. If you want me to include your empirical study as an example (so others can cite your paper), please provide your data (either Stata or cvs format) and program codes with explanations. Also provide the web link to your paper as well. See the below link for <Other codes and related Papers>.

Contents

(click here for detailed contents)

1. Basic Structure of Panel Data

2 Statistical Models for Cross Sectional Dependence

3 Factor Number Identification

4 Decomposition of Panel: Estimation of Common and Idiosyncratic Components

5 Identification of Common Factors

6 Static and Dynamic Relationships

New Addition: STATA codes for CCE and CCMG. See "Stata codes for CCE estimation" in the below.

Explanation for EX6_2.do file

7 Convergence

Undefined notation: 'c' in eq. (7-12) at page 118 is just a large constant to make the panel data be positive for all t. Thanks goes to Steven Parker for pointing out this issue.

Relative convergence with multiple factors: See this note (click here). Thanks goes to Erasmo Papagni for asking this question.

List of Typos: Jamel Saadaoui pointed them out kindly. Click here to see in detail.

8 Appendix: Basic Panel Regressions

Exercise Data and Program Codes

Data and Programs for STATA

Data and Programs for MATLAB

Data and Programs for GAUSS

New: R Programs written by Steven Parker

(Readme file, zip file, Email to Parker)

Other Codes and Related Papers

1. MATLAB codes for Factor number estimations by Hanbat Jeong.

a. Model selection for factor analysis: Some new criteria and performance comparisons, Econometric Review 2018, In Choi and Hanbat Jeong.