Regression Analysis and Panel Data - A Survival Guide to Using R Applied to Cross Sections, Time Series, and Panels

35 Pages Posted: 1 Dec 2019 Last revised: 1 Apr 2020

See all articles by Joachim Landstrom

Joachim Landstrom

Uppsala University, Dept of Business Administration

Date Written: March 30, 2020

Abstract

This paper discuss linear regression analysis applied on cross sections, on time-series, and on panel data. It also cover 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 implement the discussion in this paper using R on accounting and stock market data.

Keywords: regression analys, panel regressions, robust covariance matrix, panel regression, accounting, finance

Suggested Citation

Landstrom, Joachim, Regression Analysis and Panel Data - A Survival Guide to Using R Applied to Cross Sections, Time Series, and Panels (March 30, 2020). Available at SSRN: https://ssrn.com/abstract=3487658 or http://dx.doi.org/10.2139/ssrn.3487658

Joachim Landstrom (Contact Author)

Uppsala University, Dept of Business Administration ( email )

Box 513
Uppsala, 751 20
Sweden

HOME PAGE: http://www.fek.uu.se

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