Among those statistical packages that excel in programs for panel data analysis are LIMDEP, STATA, and SAS. Although all three packages have procedures dedicated to panel data analysis, LIMDEP and STATA appear to have a particularly rich variety of panel analytic procedures. All three packages have fixed and random effects models, can handle balanced or unbalanced panels, and have one- or two-way random and fixed effects models. Although LIMDEP and STATA have the both Hausman and Sargan tests for specification, SAS has only the Hausman specification test. Both LIMDEP and STATA have the Hausman and Taylor estimator for random effects. All three packages have procedures that can correct for autocorrelation in the models. LIMDEP and STATA have Arellano, Bond and Bover's estimator for dynamic panel models, whereas SAS uses the Parks method. LIMDEP, STATA, and SAS procedures can handle groupwise heteroskedasticity in the random effects model. LIMDEP and STATA have the Hildreth, Houck, and Swamy random coefficients model. Stata has xtreg for performing a random coefficient analysis with only a random intercept. When more than one random coefficient has to be analyzed, one can use the gllamm (generalized linear latent and mixed models) procedure (Twisk, 2003). SAS can perform this kind of analysis with its Mixed procedure. STATA and LIMDEP have procedures for panel corrected standard errors. SAS has a variance component moving average (De Silva) procedure.

http://www.nyu.edu/its/pubs/connect/fall03/yaffee_primer.html

References

Davidson, R. and MacKinnon, J.G. (1993). Estimation and Inference in Econometrics. New York: Oxford University Press, pp. 320, 323.

Greene, W. H. (2002). LIMDEP, version 8.0. Econometric Modeling Guide, Vol 1. Plainview, NY: Econometric Software, Inc., pp.E14-9 - E14-11.

Greene, W. H. (2003). Econometric Analysis. 5th ed. Upper Saddle River: Prentice Hall, pp. 285, 291, 293, 304.

Greenberg, D. Longitudinal Data Analysis, personal communication, September 6, 2003, referring to the research of Nathaniel Beck.

Gujarati, D. (2003). Basic Econometrics. 4th ed. New York: McGraw Hill, pp. 638-640.

Greene, W. H. (2003). LIMDEP Version 8 Econometric Modeling Guide, Vol. 1. Plainview, NY: Econometric Software, pp. E8_1-E8_98; E8_26-E8_30.

Powell, J. and Chay, K. (2003). Semiparametric Censored Regression Models. Downloaded from World Wide Web, September 21, 2003) from http://elsa.berkeley.edu/~kenchay/ftp/binresp/jepfinal.pdf.

SAS Institute (1999). SAS User's Guide, Version 8. Vol 2. Cary, NC: SAS Institute. pp. 1111, 1113, 1114.

Sayrs, L. (1989). Pooled Time Series Analysis. Newbury Park, Ca: Sage, pp.10, 32.

Stata (2003). Cross-Sectional Time Series. College Station, Texas: Stata Press, pp. 10, 62, 93, 224.

Twisk, Jos. W. (2003). Applied Longitudinal Data Analysis for Epidemiology. New York: Cambridge University Press. pp. 250-251.

Woolridge, J. (2002). Econometric Analysis of Cross-Section and Panel Data. MIT Press, pp. 130, 279, 420-449.

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Longitudinal and Panel Data: Analysis and Applications for the Social Sciences

• Analysis of Longitudinal Data by Patrick Heagerty
• Mixed Models : Theory and Applications (Wiley Series in Probability and Statistics) by Eugene Demidenko
• Event History Modeling : A Guide for Social Scientists (Analytical Methods for Social Research) by Janet M. Box-Steffensmeier
• Econometric Analysis of Panal Data by Badi H. Baltagi
• Applied Longitudinal Data Analysis for Epidemiology : A Practical Guide by Jos W. R. Twisk

• Longitudinal and Panel Data : Analysis and Applications in the Social Sciences by Edward W. Frees

[此贴子已经被作者于2005-5-18 5:49:03编辑过]

• Analysis of Panel Data by Cheng Hsiao
• Applied Longitudinal Data Analysis: Modeling Change and Event Occurrence by Judith D. Singer
• Generalized Latent Variable Modeling: Multilevel, Longitudinal, and Structural Equation Models by Anders Skrondal
• Econometric Analysis of Cross Section and Panel Data by Jeffrey M. Wooldridge
• Applied Longitudinal Analysis (Wiley Series in Probability and Statistics) by Garrett Fitzmaurice
• Solutions Manual and Supplementary Materials for Econometric Analysis of Cross Section and Panel Data by Jeffrey M. Wooldridge