Published

2018-01-01

Estimating dynamic Panel data. A practical approach to perform long panels.

Estimando Datos de panel dinámicos. Un enfoque práctico para abordar paneles largos

DOI:

https://doi.org/10.15446/rce.v41n1.61885

Keywords:

panel data, dynamic panels, XTABOND2, overidentification, endogenous models, Stata. (en)
datos de panel, datos de panel dinámicos, modelos endógenos, sobreidentificación, stata, xtabond2 (es)

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Authors

  • Romilio Labra Lillo Researcher at Complutense Institute for International Studies, Complutense University of Madrid and Agriaquaculture Nutritional Genomic Center (CGNA)
  • Celia Torrecillas Universidad Europea de Madrid

Panel data methodology is one of the most popular tools for quantitative analyses in the field of social sciences, particularly on topics related to economics and business. This technique allows us simultaneously addressing individual effects, numerous periods, and in turn, the endogeneity of the model or independent regressors. Despite these advantages, there are several methodological and practical limitations to perform estimations using this tool. Two types of models can be estimated with Panel data. While those of static nature have been the most developed, for performing dynamic models still remain some theoretical and practical constraints. This paper focus precisely on the latter, dynamics panel data, using an approach that combines theory and praxis, and paying special attention on estimations with macro database, that is to say, dataset with a long period of time and a small number of individuals, also called long panels.

La metodología de Datos de Panel es una de las técnicas más usadas para realizar análisis cuantitativos en el ámbito de las ciencias sociales, especialmente en temas relacionados con la economía y los negocios. Su riqueza reside en que esta técnica permite trabajar con varios periodos de tiempo, incorporar los efectos individuales, y a su vez, tratar la endogeneidad. A pesar de estas ventajas, existen diversos obstáculos para su implementación, tanto metodológicos como operativos. Dentro de los tipos de modelos que se pueden estimar con Datos de Panel, los de carácter estáticos han sido los más desarrollados, persistiendo aún carencias teórico-prácticas para los modelos dinámicos. Este artículo pone precisamente su énfasis en estos últimos, aplicando un enfoque que conjuga la teoría y la praxis, y prestando especial atención a su aplicabilidad para datos macroeconómicos, fundamentalmente para paneles que poseen un período de tiempo largo y un número de individuos pequeño.

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