Abstract
In this chapter, we will consider pooling time-series of cross-sections. This may be a panel of households or firms or simply countries or states followed over time. Two well-known examples of micro panel data in the U.S. are the Panel Study of Income Dynamics (PSID) and the National Longitudinal Survey (NLS). These are characterized by a large number of households N observed over a finite number of time periods T. The PSID began in 1968 with 4802 families, including an over-sampling of poor households. Annual interviews were conducted and socioeconomic characteristics of each of the families and of roughly 31,000 individuals who have been in these or derivative families were recorded. The list of variables collected is over 5000. The NLS followed five distinct segments of the labor force. The original samples include 5020 older men, 5225 young men, 5083 mature women, 5159 young women, and 12, 686 youths. There was an over-sampling of blacks, hispanics, poor whites, and military in the youth survey. The list of variables collected runs into the thousands. In contrast to micro panel surveys, one can use macro panels for countries over time. These have to be expressed in the same currency and in real terms. This can be done using the Penn World Table (PWT), which provides purchasing power parity and national income accounts converted to international prices. The World Bank provides World Development Indicators (WDI), and the International Monetary Fund provides World Economic Outlook Databases and International Financial Statistics. In this chapter we will focus on dealing with the econometrics of micro panels characterized with large N and short T and refer the reader to Baltagi (Econometric Analysis of Panel Data (Wiley: Chichester), 2013) for a more extensive treatment of panel data.
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01 January 2022
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H. Baltagi, B. (2021). Pooling Time-Series of Cross-Section Data. In: Econometrics. Classroom Companion: Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-80149-6_12
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