Serial Correlation in Panel Data

【Ｏｎｌｉｎｅ　Ｃｏｕｒｓｅｓ】
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This video explains the impact of serial correlation in panel data analysis. We discuss the underlying reasons for serial correlation. Then we introduce a test based on Wooldridge (2002). To fix serial correlation, we explore the Newey-West Estimator (robust estimation) and Dynamic Panel Data Estimation. Finally, we have some fun in Stata.

All the material, including slides, data, and the Stata code, is available on GitHub (see Channel pages for a link).

Chapters
0:00 Serial Correlation in Panel Data
0:40 Reasons for Serial Correlation
1:19 Testing for Serial Correlation
2:46 Newey-West Estimator
3:47 Dynamic Panel Data Estimation
4:12 Worked Example in Stata
5:26 Interpretation of Output
6:13 Solutions in Stata

About the course
This course offers a complete introduction to Data Science. You do not have to have any background in statistics, mathematics or the use of software (Stata). We will cover a wide range of topics, including (1) Introduction to statistical models and Stata, (2) Exploring data, (3) Regression analysis, (4) Post estimation analysis, (5) Analysing panel data, (6) Binary choice models, (7) Model specification, and (8) Measuring the immeasurable: CFA (confirmatory factor analysis) and SEM (structural equation models). The academic version of this course was developed using the title “Analysing Qualitative and Quantitative Data” at SOAS University of London (2015-2019). A much more applied version was created for HMRC and delivered from 2012 to 2015. This version is a very applied and hands-on experience in data science – modified for YouTube.

The channel
YUNIKARN focuses on publishing educational content in applied statistics, mathematics, and data science. In these fields, programming skills have become essential. Hence, we cover various programming languages, including Python, Stata, and C++, to tackle problems and for fun.

Hashtags
#datascience #dataanalytics #stata