Regression Analysis and Panel Data
35 Pages Posted: 1 Dec 2019
Date Written: November 15, 2019
This paper discuss linear regression analysis applied on cross sections, on time-series, and on panel data. I also covers topics such as heteroscedastic errors, serially correlated errors with HC and HAC covariance matrices. For panel regressions it covers one- and two-way models, fixed effect, pooled and random effects model. The section on panel regressions also covers HC and HAC covariance matrices. Along with the discussion I also implement the discussion using R on accounting and stock market data.
Keywords: regression analys, panel regressions, robust covariance matrix
JEL Classification: panel regression, accounting, finance
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