Thank you! How about the random coefficient model? Does it apply for repeated time-series and cross-sectional data as mine? And for natural experiment, I really do not know ho to justify how nature the data is.... Could you give me some suggestions?

In a panel data analysis, you can't use both year and place to indicate an unit, and you're oly allowed to adopt one of them. So, the words "A in year 1 and place 1" "A in year 2 and place 1" are not correct. If you want to use panel data analysis, you should say like this, "A in year 1" "A in year 2" "B in year 1" "B in year 2". Alternatively, you may apply panel data methods to other data structures, in which case you can say "A in place 1" "A in place 2" "B in place 1" "B in place 2".

Therefore, your understanding about panel data may be wrong, which leads to your intention to apply panel data analysis to your data and to your purpose, both of which don't match with panel in my opinion.

Furthermore, I think I have a clear comprehension of your purpose. Don't you want compare the control group and the treatment group to test the effects of a certain policy? If the answer is yes, then I'm sure that no other methods are better than a natural experimental model. But I have no time to explain now, and you can refer to a textbook.

[此贴子已经被作者于2007-5-1 22:27:48编辑过]

Thank you very much, Buding!

I understand what you mean about panel data, so it seems panel methods does not apply to such kind of data.

Yes, I want to test the effect of a policy, which use dummy variables. If natural experiment model helps, I will try to analyze the data with that.

I think Stata won't recognize your data as a panel. If you use some other software like Matlab, you can apply the panel methods by calculate everything explicitly.

No need to rely on panel methods if your concern is to test a policy. You have to check that the policy is really exogenous at least conditional exogenous. (that is one criterion of natural experiment). If not, you have to come up with a good IV. How to construct an IV and how to check robustness of results is a long story. It really depends on the underlying economy behind the econometrics. you may consult the following books:

1. an introductory level. upper undergraduate Introduction to econometrics by Stock and Watson. you are in China, it is easy to get a cheap copy in bookstores.

2. if you have a solid background in econometrics, you can refer to the recent book Microeconometrics: theory and application by Cameron and Trivedi. some nice guy posted this book in this forum. This is an excellent text but quite advanced.

3. if you are really good in econometrics, then go go go to James Heckman to read his papers and lecture notes.

the first book is enough for a good understanding and basic practices.

have fun

dgxc,thank you very much!