Stern School of Business


Panel Data Econometrics

Panel Data Sets

Professor W. Greene
Department of Economics
Office: MEC 7-78, Ph. 998-0876, Fax. 995-4218
E-mail: wgreene@stern.nyu.edu
Home Page: http://stern.nyu.edu/~wgreene

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Notes: The following list points to a series of data sets.  We will use some of these in our class discussions.  A number of others are provided for students to analyze as part of their study of the topic.  Note, there are two major cross country data bases online that provide a wealth of interesting data.  These can be accessed directly:  (The sites are accessed below just by clicking the names.)

The Penn World Tables
Barro's Cross Country Data

There are many other sources of data on the web.  One that is particularly rich is the archives of the Journal of Applied Econometrics: (Click here to visit)

Data below are provided in three formats: (1) The 'Text format' is a plain vanilla ascii text file containing the variable names at the top of the file followed by the variables, arranged neatly in the file. (2) The .XLS is the closest thing we have right now to a generic file format.  Most econometric programs can import an Excel spreadsheet file.  If your cannot, you can use Excel to write it in another format, or, perhaps, use the ASCII text file. (3) If you are using LIMDEP or NLOGIT, the project file can be imported directly into the program, as is.

 

 


Cit     = total cost of transformation of financial and physical resources into loans and
             investments = the sum of the five cost items described below;
Y1it    = installment loans to individuals for personal and household expenses;
Y2it    = real estate loans;
Y3it    = business loans;
Y4it    = federal funds sold and securities purchased under agreements to resell;
Y5it    = other assets;
W1it    = price of labor, average wage per employee;
W2it    = price of capital = expenses on premises and fixed assets divided by the dollar value of
       of premises and fixed assets;
W3it    = price of purchased funds = interest expense on money market deposits plus expense of
       federal funds purchased and securities sold under agreements to repurchase plus interest
       expense on demand notes issued by the U.S. Treasury divided by the dollar value of
       purchased funds;
W4it    = price of interest-bearing deposits in total transaction accounts = interest expense on
       interest-bearing categories of total transaction accounts;
W5it    = price of interest-bearing deposits in total nontransaction accounts = interest expense on
       total deposits minus interest expense on money market deposit accounts divided by the
       dollar value of interest-bearing deposits in total nontransaction accounts;
T    = trend variable, t = 1,2,3,4,5 for years 1996, 1997, 1998, 1999, 2000
The data in the file are for a translog cost function, linearly homogeneous in the input prices.  Specifically,
C = log(Cost/W5), W1,W2,W3,W4 = log(Wj/W5), Q1,...,Q5 = log(Ym), and the squared and cross product
terms are W11, W12,..., Q11,Q12,..., W1Q1,...,W4Q5, T, T2, TW1,...,TW4, TQ1,...,TQ5.

LCARPCAP = log of per capita number of cars
See Baltagi (2001, p. 24) for analysis of these data. The article on which the analysis is based is Baltagi, B. and Griffin, J., "Gasolne Demand in the OECD: An Application of Pooling and Testing Procedures," European Economic Review, 22, 1983, pp. 117-137.  The data were downloaded from the website for Baltagi's text.

FOOD = dummy for firm in food industry
These data were analyzed in Bertschek, I. and M. Lechner, "Convenient Estimators for the Panel Probit Model," Journal of Econometrics, 87, 2, 1998, pp. 329-372.  See, also, Greene, Econometric Analysis, 5th ed., (2003) for various analyses, and Greene, W. "Convenient Estimators for the Panel Probit Model: Further Results, Empirical Economics, 2004.  These data are not publicly available.  Extracts from the data set will be provided in class.

 

  

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