Building and Analyzing Panel Data Models
Keywords:
Panel Data, Fixed Effects, Random Effects, Econometric Modeling, Model Diagnostics, Time Series, Cross-Sectional Data, Estimation MethodsAbstract
This article is devoted to the theoretical and practical aspects of building and analyzing panel data models. Panel data, combining the advantages of cross-sectional and time series data, plays an important role in identifying dynamic relationships between variables. The article examines in detail the main models, such as fixed effects and random effects, their estimation methods, and the criteria for selecting models. The methodology for model diagnostics and interpretation of the obtained results is also discussed. The presented approaches serve as a solid basis for research in economic, social, and other fields.
References
B. H. Baltagi, Econometric Analysis of Panel Data. Cham, Switzerland: Springer, 2021.
J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data. Cambridge, MA, USA: MIT Press, 2023.
S. C. Ahn and Y. Lee, “Estimation of dynamic panel data models with interactive effects,” Journal of Econometrics, vol. 216, no. 1, pp. 18–42, 2020.
C. De Chaisemartin and X. D’Haultfoeuille, “Two-way fixed effects estimators with heterogeneous treatment effects,” American Economic Review, vol. 110, no. 9, pp. 2915–2946, 2020.
C. Hsiao, Analysis of Panel Data. Cambridge, U.K.: Cambridge University Press, 2022.
J. Bai and S. Ng, “Panel data models with interactive effects: A survey,” Journal of Econometrics, vol. 220, no. 1, pp. 1–26, 2021.
S. Kripfganz, “Generalized method of moments estimation of dynamic panel data models with cross-sectional dependence,” Journal of Econometrics, vol. 220, no. 1, pp. 109–131, 2021.
A. C. Cameron and P. K. Trivedi, Microeconometrics Using Stata. College Station, TX, USA: Stata Press, 2022.
A. Goodman-Bacon, “Difference-in-differences with variation in treatment timing,” Journal of Econometrics, vol. 225, no. 2, pp. 254–272, 2021.
M. Arellano, Panel Data Econometrics. Oxford, U.K.: Oxford University Press, 2021.
J. Bai, “Fixed-effects dynamic panel models with interactive effects,” Econometric Theory, vol. 37, no. 4, pp. 618–650, 2021.
G. S. Maddala and K. Lahiri, Introduction to Econometrics, 5th ed. Hoboken, NJ, USA: Wiley, 2020.
W. H. Greene, Econometric Analysis, 9th ed. New York, NY, USA: Pearson, 2021.
P. Kennedy, A Guide to Econometrics, 7th ed. Malden, MA, USA: Wiley-Blackwell, 2020.
D. N. Gujarati and D. C. Porter, Basic Econometrics, 6th ed. New York, NY, USA: McGraw-Hill Education, 2021.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 U. Z. Rakhimova, Komilova Vazira
This work is licensed under a Creative Commons Attribution 4.0 International License.
