Evaluation of Panel Data Models: Some Suggestions from Time Series

Discussion Paper 97-10

29 Pages Posted: 12 Jan 1998

See all articles by Clive W. J. Granger

Clive W. J. Granger

University of California, San Diego (UCSD) - Department of Economics; Tinbergen Institute

Ling-Ling Huang

University of California at San Diego

Date Written: April 1997

Abstract

The problems of how to evaluate and compare the quality of models formed from panel data are discussed. Using the lessons learnt from the valuation of time series models using post-sample forecasting a variety of tests are suggested using several out-of-sample parts of a panel data set, but un-used regions and time periods. Emphasis is on comparing models and two real-data examples are provided - a transition model of land use in the Amazon region and a production model using Jorgenson's input-output database. Specific consideration is given to data quality and the effect of outliers and to policy model evaluation.

JEL Classification: C22, C23, C32, C33

Suggested Citation

Granger, Clive W. J. and Huang, Ling-ling, Evaluation of Panel Data Models: Some Suggestions from Time Series (April 1997). Discussion Paper 97-10. Available at SSRN: https://ssrn.com/abstract=52400 or http://dx.doi.org/10.2139/ssrn.52400

Clive W. J. Granger (Contact Author)

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3383 (Phone)
858-534-7040 (Fax)

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Ling-ling Huang

University of California at San Diego ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
619-534-3383 (Phone)
619-534-7040 (Fax)

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