This paper provides an econometric examination of technological knowledge spillovers among countries by focusing on the issue of error cross-sectional dependence, particularly on the different ways-weak and strong-that this dependence may affect model specification and estimation. A preliminary analysis based on estimation of the exponent of cross-sectional dependence provides a clear result in favor of strong cross-sectional dependence. This result has relevant implications in terms of econometric modeling and suggests that a factor structure is preferable to a spatial error model. The common correlated effects approach is then used because it remains valid in a variety of situations that are likely to occur, such as the presence of both forms of dependence or the existence of nonstationary factors. According to the estimation results, richer countries benefit more from domestic R&D and geographic spillovers than poorer countries, while smaller countries benefit more from spillovers originating from trade. The results also suggest that when the problem of (possibly many) correlated unobserved factors is addressed the quantity of education no longer has a significant effect. Finally, a comparison of the results with those obtained from a spatial model provides interesting insights into the bias that may arise when we allow only for weak dependence, despite the presence of strong dependence in the data.

While fixed effects (FE) models are often employed to address potential omitted variables, we argue that these models’ real utility is in isolating a particular dimension of variance from panel data for analysis. In addition, we show through novel mathematical decomposition and simulation that only one-way FE models cleanly capture either the over-time or cross-sectional dimensions in panel data, while the two-way FE model unhelpfully combines within-unit and cross-sectional variation in a way that produces un-interpretable answers. In fact, as we show in this paper, if we begin with the interpretation that many researchers wrongly assign to the two-way FE model—that it represents a single estimate of X on Y while accounting for unit-level heterogeneity and time shocks—the two-way FE specification is statistically unidentified, a fact that statistical software packages like R and Stata obscure through internal matrix processing.

This paper considers the estimation of dynamic panel data models when data are suspected to exhibit cross-sectional dependence. A new estimator is defined that uses cross-sectional dependence for efficiency while being robust to the misspecification of the form of the cross-sectional dependence. We show that using cross-sectional dependence for estimation is important to obtain an estimator that is more efficient than existing estimators. This new estimator also uses nuisance parameters parsimoniously so that it exhibits good small- and large-sample properties even when the number of time periods is large. As an empirical application, we estimate the effect of attending private school on student achievement using a value-added model.

1. The appended data set of the two waves of ACCESS survey from 2014-15 and 2018 for panel data analysis.2. The merged data set of the two waves of ACCESS survey from 2014-15 and 2018 for cross-sectional data analysis.

This file contains all of the cases and variables that are in the original 2014 General Social Survey, but is prepared for easier use in the classroom. Changes have been made in two areas. First, to avoid confusion when constructing tables or interpreting basic analysis, all missing data codes have been set to system missing. Second, many of the continuous variables have been categorized into fewer categories, and added as additional variables to the file.

The General Social Surveys (GSS) have been conducted by the National Opinion Research Center (NORC) annually since 1972, except for the years 1979, 1981, and 1992 (a supplement was added in 1992), and biennially beginning in 1994. The GSS are designed to be part of a program of social indicator research, replicating questionnaire items and wording in order to facilitate time-trend studies. This data file has all cases and variables asked on the 2014 GSS. There are a total of 3,842 cases in the data set but their initial sampling years vary because the GSS now contains panel cases. Sampling years can be identified with the variable SAMPTYPE.

To download syntax files for the GSS that reproduce well-known religious group recodes, including RELTRAD, please visit the "/research/syntax-repository-list" Target="_blank">ARDA's Syntax Repository.

The Monitoring the Future (MTF) project is a long-term epidemiologic and etiologic study of substance use among youth and adults in the United States. It is conducted at the University of Michigan's Institute for Social Research, and funded by a series of investigator-initiated research grants from the National Institute on Drug Abuse. MTF has two components: MTF Main and MTF Panel. From its inception in 1975, the cross-sectional MTF Main study has collected data annually from nationally representative samples of 12,000-19,000 high school seniors in 12th grade located in approximately 135 schools nationwide. Beginning in 1991, similar annual cross-sectional surveys of nationally representative samples of 8th and 10th graders have been conducted. In all, approximately 45,000 students annually respond to about 100 drug use and demographic questions, as well as to about 200 additional questions divided among multiple survey forms on other topics such as attitudes toward government, social institutions, race relations, changing gender roles, educational aspirations, occupational aims, and marital plans. The longitudinal MTF Panel study conducts follow-up surveys with representative subsamples of respondents from each 12th grade cohort participating in MTF Main. From each cohort, a sample of about 2,450 students are selected for longitudinal follow-up, with an oversampling of students who reported prior drug use during their 12th grade survey. Longitudinal follow-up currently spans modal ages 19-30 and 35-60. For surveys at modal ages 19-30, the sample is randomly split into two halves (approx. 1,225 each) to be followed every other year. One half-sample begins its first follow-up the year after high school (at modal age 19), and the other half-sample begins its first follow-up in the second year after high school (at modal age 20). Thus, six young adult follow-up (FU) surveys occur between modal ages 19-30, at modal ages 19/20 (FU1), 21/22 (FU2), 23/24 (FU3), 25/26 (FU4), 27/28 (FU5), and 29/30 (FU6). After age 30, respondents are surveyed every five years: 35, 40, 45, 50, 55, and 60 (these are referred to as FZ surveys). The FZ surveys cover many of the same topics as the 12th grade and FU surveys and include additional questions on life events and health. MTF Panel surveys for the young adults (ages 19-30) were conducted using mailed paper surveys from 1977-2017. In 2018 and 2019, a random half of all those aged 19-30 received a mailed paper survey, while the other half were surveyed using a new procedure that encouraged participation using web surveys (web-push). The FZ surveys (ages 35-60) were conducted using mailed paper surveys through the 2019 data collection. More information about the MTF project can be accessed through the Monitoring the Future website. Annual reports are published by the research team, describing the data collection and trends over time.

The General Social Surveys (GSS) have been conducted by the "https://www.norc.org/Pages/default.aspx" Target="_blank">National Opinion Research Center (NORC) annually since 1972, except for the years 1979, 1981, and 1992 (a supplement was added in 1992), and biennially beginning in 1994. The GSS are designed to be part of a program of social indicator research, replicating questionnaire items and wording in order to facilitate time-trend studies. The 2016-2020 GSS consisted of re-interviews of respondents from the 2016 and 2018 Cross-Sectional GSS rounds. All respondents from 2018 were fielded, but a random subsample of the respondents from 2016 were released for the 2020 panel. Cross-sectional responses from 2016 and 2018 are labelled Waves 1A and 1B, respectively, while responses from the 2020 re-interviews are labelled Wave 2.

The 2016-2020 GSS Wave 2 Panel also includes a collaboration between the General Social Survey (GSS) and the "https://electionstudies.org/" Target="_blank">American National Election Studies (ANES). The 2016-2020 GSS Panel Wave 2 contained a module of items proposed by the ANES team, including attitudinal questions, feelings thermometers for presidential candidates, and plans for voting in the 2020 presidential election. These respondents appear in both the ANES post-election study and the 2016-2020 GSS panel, with their 2020 GSS responses serving as their equivalent pre-election data. Researchers can link the relevant GSS Panel Wave 2 data with ANES post-election data using either ANESID (in the GSS Panel Wave 2 datafile) or V200001 in the ANES 2020 post-election datafile.

This dataset is about book subjects. It has 1 row and is filtered where the books is Econometric analysis of cross section and panel data. It features 10 columns including number of authors, number of books, earliest publication date, and latest publication date.

Abstract

The documented dataset covers Enterprise Survey (ES) panel data collected in Lesotho in 2009 and 2016, as part of Africa Enterprise Surveys rollout, an initiative of the World Bank. The objective of the Enterprise Survey is to obtain feedback from enterprises on the state of the private sector as well as to help in building a panel of enterprise data that will make it possible to track changes in the business environment over time, thus allowing, for example, impact assessments of reforms.

Enterprise Surveys target a sample consisting of longitudinal (panel) observations and new cross-sectional data. Panel firms are prioritized in the sample selection, comprising up to 50% of the sample in the current wave. For all panel firms, regardless of the sample, current eligibility or operating status is determined and included in panel datasets.

Lesotho ES 2009 was conducted from September 2008 to February 2009, Lesotho ES 2016 was carried out in June - August 2016. Stratified random sampling was used to select the surveyed businesses. Data was collected using face-to-face interviews.

Data from 301 establishments was analyzed: 90 businesses were from 2009 only, 89 - from 2016 only, and 122 firms were from 2009 and 2016.

The standard Enterprise Survey topics include firm characteristics, gender participation, access to finance, annual sales, costs of inputs and labor, workforce composition, bribery, licensing, infrastructure, trade, crime, competition, capacity utilization, land and permits, taxation, informality, business-government relations, innovation and technology, and performance measures. Over 90 percent of the questions objectively measure characteristics of a country’s business environment. The remaining questions assess the survey respondents’ opinions on what are the obstacles to firm growth and performance.

Geographic coverage

National

Analysis unit

The primary sampling unit of the study is an establishment. An establishment is a physical location where business is carried out and where industrial operations take place or services are provided. A firm may be composed of one or more establishments. For example, a brewery may have several bottling plants and several establishments for distribution. For the purposes of this survey an establishment must make its own financial decisions and have its own financial statements separate from those of the firm. An establishment must also have its own management and control over its payroll.

Universe

The whole population, or the universe, covered in the Enterprise Surveys is the non-agricultural private economy. It comprises: all manufacturing sectors according to the ISIC Revision 3.1 group classification (group D), construction sector (group F), services sector (groups G and H), and transport, storage, and communications sector (group I). Note that this population definition excludes the following sectors: financial intermediation (group J), real estate and renting activities (group K, except sub-sector 72, IT, which was added to the population under study), and all public or utilities sectors. Companies with 100% government ownership are not eligible to participate in the Enterprise Surveys.

Kind of data

Sample survey data [ssd]

Sampling procedure

Two levels of stratification were used in this country: industry and establishment size.

Industry stratification was designed as follows: the universe was stratified as into manufacturing and services industries - Manufacturing (ISIC Rev. 3.1 codes 15 - 37), and Services (ISIC codes 45, 50-52, 55, 60-64, and 72).

For the Lesotho ES, size stratification was defined as follows: small (5 to 19 employees), medium (20 to 99 employees), and large (100 or more employees). Regional stratification did not take place for the Lesotho ES.

In 2009, it was not possible to obtain a single usable frame for Lesotho. Instead frames were obtained from two government branches: the Chamber of Commerce and the Ministry of Trade, Industry, Cooperatives and Marketing. Those frames were merged and duplicates removed to provide the frame used for the survey.

In 2016 ES, the sample frame consisted of listings of firms from two sources: for panel firms the list of 151 firms from the Lesotho 2009 ES was used and for fresh firms (i.e., firms not covered in 2009) firm data from Lesotho Bureau of Statistics Business Register, published in August 2015, was used.

Mode of data collection

Face-to-face [f2f]

Research instrument

The following survey instruments were used for Lesotho ES: - Manufacturing Module Questionnaire - Services Module Questionnaire

The survey is fielded via manufacturing or services questionnaires in order not to ask questions that are irrelevant to specific types of firms, e.g. a question that relates to production and nonproduction workers should not be asked of a retail firm. In addition to questions that are asked across countries, all surveys are customized and contain country-specific questions. An example of customization would be including tourism-related questions that are asked in certain countries when tourism is an existing or potential sector of economic growth. There is a skip pattern in the Service Module Questionnaire for questions that apply only to retail firms.

Cleaning operations

Data entry and quality controls are implemented by the contractor and data is delivered to the World Bank in batches (typically 10%, 50% and 100%). These data deliveries are checked for logical consistency, out of range values, skip patterns, and duplicate entries. Problems are flagged by the World Bank and corrected by the implementing contractor through data checks, callbacks, and revisiting establishments.

Response rate

Survey non-response must be differentiated from item non-response. The former refers to refusals to participate in the survey altogether whereas the latter refers to the refusals to answer some specific questions. Enterprise Surveys suffer from both problems and different strategies were used to address these issues.

Item non-response was addressed by two strategies: a- For sensitive questions that may generate negative reactions from the respondent, such as corruption or tax evasion, enumerators were instructed to collect "Refusal to respond" (-8) as a different option from "Don't know" (-9). b- Establishments with incomplete information were re-contacted in order to complete this information, whenever necessary.

Survey non-response was addressed by maximizing efforts to contact establishments that were initially selected for interview. Attempts were made to contact the establishment for interview at different times/days of the week before a replacement establishment (with similar strata characteristics) was suggested for interview. Survey non-response did occur but substitutions were made in order to potentially achieve strata-specific goals.

The General Social Surveys (GSS) have been conducted by the National Opinion Research Center (NORC) annually since 1972, except for the years 1979, 1981, and 1992 (a supplement was added in 1992), and biennially beginning in 1994. The GSS are designed to be part of a program of social indicator research, replicating questionnaire items and wording in order to facilitate time-trend studies. This data file has all cases and variables asked on the 2014 GSS. There are a total of 3,842 cases in the data set but their initial sampling years vary because the GSS now contains panel cases. Sampling years can be identified with the variable SAMPTYPE.

To download syntax files for the GSS that reproduce well-known religious group recodes, including RELTRAD, please visit the "/research/syntax-repository-list" Target="_blank">ARDA's Syntax Repository.

Data collected based on secondary sources

The use of panels where the number of time periods and cross section units varies across applications creates a number of challenges for statisticians and econometricians, as well as for economic theory where network interactions are of interest. One very common form of interaction is spatial. Closeness or geographical contiguity is observable and there is a well developed field of spatial econometrics that deals with these issues. When the interaction is unobservable it may be that there is a common factor at work-global warming, for example, or a world financial crisis with pervasive effects globally. But there can also be more local forms of interaction which in addition to spatial patterns could take place in more abstract spaces such as social or economic networks.These abstract interactions can be both strong and weak. Strong interactions do not die away as the number of agents increases or as we move away from a 'neighbourhood'. Weak interactions do.This project will address these issues by developing econometric techniques for taking account of these interactions in a wide range of applications in economics.

analyze the health and retirement study (hrs) with r the hrs is the one and only longitudinal survey of american seniors. with a panel starting its third decade, the current pool of respondents includes older folks who have been interviewed every two years as far back as 1992. unlike cross-sectional or shorter panel surveys, respondents keep responding until, well, death d o us part. paid for by the national institute on aging and administered by the university of michigan's institute for social research, if you apply for an interviewer job with them, i hope you like werther's original. figuring out how to analyze this data set might trigger your fight-or-flight synapses if you just start clicking arou nd on michigan's website. instead, read pages numbered 10-17 (pdf pages 12-19) of this introduction pdf and don't touch the data until you understand figure a-3 on that last page. if you start enjoying yourself, here's the whole book. after that, it's time to register for access to the (free) data. keep your username and password handy, you'll need it for the top of the download automation r script. next, look at this data flowchart to get an idea of why the data download page is such a righteous jungle. but wait, good news: umich recently farmed out its data management to the rand corporation, who promptly constructed a giant consolidated file with one record per respondent across the whole panel. oh so beautiful. the rand hrs files make much of the older data and syntax examples obsolete, so when you come across stuff like instructions on how to merge years, you can happily ignore them - rand has done it for you. the health and retirement study only includes noninstitutionalized adults when new respondents get added to the panel (as they were in 1992, 1993, 1998, 2004, and 2010) but once they're in, they're in - respondents have a weight of zero for interview waves when they were nursing home residents; but they're still responding and will continue to contribute to your statistics so long as you're generalizing about a population from a previous wave (for example: it's possible to compute "among all americans who were 50+ years old in 1998, x% lived in nursing homes by 2010"). my source for that 411? page 13 of the design doc. wicked. this new github repository contains five scripts: 1992 - 2010 download HRS microdata.R loop through every year and every file, download, then unzip everything in one big party impor t longitudinal RAND contributed files.R create a SQLite database (.db) on the local disk load the rand, rand-cams, and both rand-family files into the database (.db) in chunks (to prevent overloading ram) longitudinal RAND - analysis examples.R connect to the sql database created by the 'import longitudinal RAND contributed files' program create tw o database-backed complex sample survey object, using a taylor-series linearization design perform a mountain of analysis examples with wave weights from two different points in the panel import example HRS file.R load a fixed-width file using only the sas importation script directly into ram with < a href="http://blog.revolutionanalytics.com/2012/07/importing-public-data-with-sas-instructions-into-r.html">SAScii parse through the IF block at the bottom of the sas importation script, blank out a number of variables save the file as an R data file (.rda) for fast loading later replicate 2002 regression.R connect to the sql database created by the 'import longitudinal RAND contributed files' program create a database-backed complex sample survey object, using a taylor-series linearization design exactly match the final regression shown in this document provided by analysts at RAND as an update of the regression on pdf page B76 of this document . click here to view these five scripts for more detail about the health and retirement study (hrs), visit: michigan's hrs homepage rand's hrs homepage the hrs wikipedia page a running list of publications using hrs notes: exemplary work making it this far. as a reward, here's the detailed codebook for the main rand hrs file. note that rand also creates 'flat files' for every survey wave, but really, most every analysis you c an think of is possible using just the four files imported with the rand importation script above. if you must work with the non-rand files, there's an example of how to import a single hrs (umich-created) file, but if you wish to import more than one, you'll have to write some for loops yourself. confidential to sas, spss, stata, and sudaan users: a tidal wave is coming. you can get water up your nose and be dragged out to sea, or you can grab a surf board. time to transition to r. :D

Abstract

The documented dataset covers Enterprise Survey (ES) panel data collected in Benin in 2004, 2009 and 2016, as part of Africa Enterprise Surveys rollout, an initiative of the World Bank. The objective of the Enterprise Survey is to obtain feedback from enterprises on the state of the private sector as well as to help in building a panel of enterprise data that will make it possible to track changes in the business environment over time, thus allowing, for example, impact assessments of reforms.

Enterprise Surveys target a sample consisting of longitudinal (panel) observations and new cross-sectional data. Panel firms are prioritized in the sample selection, comprising up to 50% of the sample in the current wave. For all panel firms, regardless of the sample, current eligibility or operating status is determined and included in panel datasets.

Benin ES 2009 was conducted from May 18 to Sept. 30, 2009, Benin ES 2016 was carried out in July - October 2016. Stratified random sampling was used to select the surveyed businesses. Data was collected using face-to-face interviews.

Data from 497 establishments was analyzed: 128 businesses were from 2004 only, 53 - from 2009 only, 88 - from 2016 only, 70 - from 2004 and 2009 only, 56 - from 2009 and 2016 only and 102 firms were from 2004, 2009 and 2016.

The standard Enterprise Survey topics include firm characteristics, gender participation, access to finance, annual sales, costs of inputs and labor, workforce composition, bribery, licensing, infrastructure, trade, crime, competition, capacity utilization, land and permits, taxation, informality, business-government relations, innovation and technology, and performance measures. Over 90 percent of the questions objectively measure characteristics of a country’s business environment. The remaining questions assess the survey respondents’ opinions on what are the obstacles to firm growth and performance.

Geographic coverage

National

Analysis unit

The primary sampling unit of the study is an establishment. An establishment is a physical location where business is carried out and where industrial operations take place or services are provided. A firm may be composed of one or more establishments. For example, a brewery may have several bottling plants and several establishments for distribution. For the purposes of this survey an establishment must make its own financial decisions and have its own financial statements separate from those of the firm. An establishment must also have its own management and control over its payroll.

Universe

The whole population, or the universe, covered in the Enterprise Surveys is the non-agricultural private economy. It comprises: all manufacturing sectors according to the ISIC Revision 3.1 group classification (group D), construction sector (group F), services sector (groups G and H), and transport, storage, and communications sector (group I). Note that this population definition excludes the following sectors: financial intermediation (group J), real estate and renting activities (group K, except sub-sector 72, IT, which was added to the population under study), and all public or utilities sectors. Companies with 100% government ownership are not eligible to participate in the Enterprise Surveys.

Kind of data

Sample survey data [ssd]

Sampling procedure

Three levels of stratification were used in this country: industry, establishment size, and region.

Industry stratification was designed as follows: the universe was stratified as into manufacturing and services industries- Manufacturing (ISIC Rev. 3.1 codes 15 - 37), and Services (ISIC codes 45, 50-52, 55, 60-64, and 72).

For the Benin ES, size stratification was defined as follows: small (5 to 19 employees), medium (20 to 99 employees), and large (100 or more employees).

In 2016 ES, regional stratification was done across five regions: Atlantique, Borgou, Mono, Ouémé and Littoral. In 2009 ES, Cotonou and Other were the two areas selected.

In 2016 ES, the sample frame consisted of listings of firms from three sources: for panel firms, the list of 150 firms from the Benin 2009 ES was used, and for fresh firms (i.e., firms not covered in 2009) lists obtained from National Statistical Institute and Tax Directorate (2013) and the Chamber of Commerce (2016) were used.

In 2009 ES, two sample frames were used. The first one included the official list "Repertoire of Companies in Benin" (2009) from the Chambre de Commerce et d' Industrie du Benin. The second frame (the panel sample) consisted of enterprises interviewed for the Enterprise Survey in 2004, which were to be re-interviewed where they were in the selected geographical regions and met eligibility criteria.

Mode of data collection

Face-to-face [f2f]

Research instrument

The following survey instruments were used for Benin ES 2009 and 2016: - Manufacturing Module Questionnaire - Services Module Questionnaire

The survey is fielded via manufacturing or services questionnaires in order not to ask questions that are irrelevant to specific types of firms, e.g. a question that relates to production and nonproduction workers should not be asked of a retail firm. In addition to questions that are asked across countries, all surveys are customized and contain country-specific questions. An example of customization would be including tourism-related questions that are asked in certain countries when tourism is an existing or potential sector of economic growth. There is a skip pattern in the Service Module Questionnaire for questions that apply only to retail firms.

Cleaning operations

Data entry and quality controls are implemented by the contractor and data is delivered to the World Bank in batches (typically 10%, 50% and 100%). These data deliveries are checked for logical consistency, out of range values, skip patterns, and duplicate entries. Problems are flagged by the World Bank and corrected by the implementing contractor through data checks, callbacks, and revisiting establishments.

Response rate

Survey non-response must be differentiated from item non-response. The former refers to refusals to participate in the survey altogether whereas the latter refers to the refusals to answer some specific questions. Enterprise Surveys suffer from both problems and different strategies were used to address these issues.

Item non-response was addressed by two strategies: a- For sensitive questions that may generate negative reactions from the respondent, such as corruption or tax evasion, enumerators were instructed to collect "Refusal to respond" (-8) as a different option from "Don't know" (-9). b- Establishments with incomplete information were re-contacted in order to complete this information, whenever necessary.

Survey non-response was addressed by maximizing efforts to contact establishments that were initially selected for interview. Attempts were made to contact the establishment for interview at different times/days of the week before a replacement establishment (with similar strata characteristics) was suggested for interview. Survey non-response did occur but substitutions were made in order to potentially achieve strata-specific goals.

This article considers a consistent test for serial correlation of unknown form in the residual of panel data models with interactive fixed effects and possibly lagged dependent variables. Following the spirit of Hong, we construct a test statistic based on the comparison of a kernel-based spectral density estimator and the null spectral density. Under the null hypothesis, our test statistic is asymptotically N(0, 1) as both N and T tend to infinity. In contrast to existing tests for serial correlation, there is no need to specify the order of serial correlation about the alternative. We further examine the local and global power properties of test. A simulation study shows that our test performs well in finite samples. In the empirical application, we apply the test to study the impact of the divorce law reform on divorce rate. We find strong evidence of serial correlation in the residual, and our results show that the divorce law reform has permanent positive effects on divorce rates.

This file differs from the General Social Survey 2014 in that all inapplicable values are set to system missing. The General Social Surveys (GSS) have been conducted by the National Opinion Research Center (NORC) annually since 1972, except for the years 1979, 1981, and 1992 (a supplement was added in 1992), and biennially beginning in 1994. The GSS are designed to be part of a program of social indicator research, replicating questionnaire items and wording in order to facilitate time-trend studies. This data file has all cases and variables asked on the 2014 GSS. There are a total of 3,842 cases in the data set but their initial sampling years vary because the GSS now contains panel cases. Sampling years can be identified with the variable SAMPTYPE.

To download syntax files for the GSS that reproduce well-known religious group recodes, including RELTRAD, please visit the "/research/syntax-repository-list" Target="_blank">ARDA's Syntax Repository.

This paper provides an approach to estimation and inference for nonlinear conditional mean panel data models, in the presence of cross-sectional dependence. We modify Pesaran's (Econometrica, 2006, 74(4), 967-1012) common correlated effects correction to filter out the interactive unobserved multifactor structure. The estimation can be carried out using nonlinear least squares, by augmenting the set of explanatory variables with cross-sectional averages of both linear and nonlinear terms. We propose pooled and mean group estimators, derive their asymptotic distributions, and show the consistency and asymptotic normality of the coefficients of the model. The features of the proposed estimators are investigated through extensive Monte Carlo experiments. We also present two empirical exercises. The first explores the nonlinear relationship between banks' capital ratios and riskiness. The second estimates the nonlinear effect of national savings on national investment in OECD countries depending on countries' openness.

This article considers panel data models with cross-sectional dependence arising from both spatial autocorrelation and unobserved common factors. It proposes estimation methods that employ cross-sectional averages as factor proxies, including the 2SLS, Best 2SLS, and GMM estimations. The proposed estimators are robust to unknown heteroskedasticity and serial correlation in the disturbances, unrequired to estimate the number of unknown factors, and computationally tractable. The article establishes the asymptotic distributions of these estimators and compares their consistency and efficiency properties. Extensive Monte Carlo experiments lend support to the theoretical findings and demonstrate the satisfactory finite sample performance of the proposed estimators. The empirical section of the article finds strong evidence of spatial dependence of real house price changes across 377 Metropolitan Statistical Areas in the US from 1975Q1 to 2014Q4.

Abstract

In 2009, the EU-SILC instrument covered all EU Member States plus Iceland, Turkey, Norway and Switzerland. EU-SILC has become the EU reference source for comparative statistics on income distribution and social exclusion at European level, particularly in the context of the "Program of Community action to encourage cooperation between Member States to combat social exclusion" and for producing structural indicators on social cohesion for the annual spring report to the European Council. The first priority is to be given to the delivery of comparable, timely and high quality cross-sectional data.

There are two types of datasets: 1) Cross-sectional data pertaining to fixed time periods, with variables on income, poverty, social exclusion and living conditions. 2) Longitudinal data pertaining to individual-level changes over time, observed periodically - usually over four years.

Social exclusion and housing-condition information is collected at household level. Income at a detailed component level is collected at personal level, with some components included in the "Household" section. Labour, education and health observations only apply to persons 16 and older. EU-SILC was established to provide data on structural indicators of social cohesion (at-risk-of-poverty rate, S80/S20 and gender pay gap) and to provide relevant data for the two 'open methods of coordination' in the field of social inclusion and pensions in Europe.

The 7th version of the 2009 Cross-Sectional User Database (UDB) as released in July 2015 is documented here.

Geographic coverage

The survey covers following countries: Austria, Belgium, Bulgaria, Czech Republic, Denmark, Germany, Estonia, Greece, Spain, France, Ireland, Italy, Cyprus, Latvia, Lithuania, Luxembourg, Hungary, Malta, Netherlands, Poland, Portugal, Romania, Slovenia, Slovakia, Finland, Sweden, United Kingdom, Iceland, Norway.

Small parts of the national territory amounting to no more than 2% of the national population and the national territories listed below may be excluded from EU-SILC: France - French Overseas Departments and territories; Netherlands - The West Frisian Islands with the exception of Texel; Ireland - All offshore islands with the exception of Achill, Bull, Cruit, Gorumna, Inishnee, Lettermore, Lettermullan and Valentia; United kingdom - Scotland north of the Caledonian Canal, the Scilly Islands.

Analysis unit

• Households;
• Individuals 16 years and older.

Universe

The survey covered all household members over 16 years old. Persons living in collective households and in institutions are generally excluded from the target population.

Kind of data

Sample survey data [ssd]

Sampling procedure

On the basis of various statistical and practical considerations and the precision requirements for the most critical variables, the minimum effective sample sizes to be achieved were defined. Sample size for the longitudinal component refers, for any pair of consecutive years, to the number of households successfully interviewed in the first year in which all or at least a majority of the household members aged 16 or over are successfully interviewed in both the years.

For the cross-sectional component, the plans are to achieve the minimum effective sample size of around 131.000 households in the EU as a whole (137.000 including Iceland and Norway). The allocation of the EU sample among countries represents a compromise between two objectives: the production of results at the level of individual countries, and production for the EU as a whole. Requirements for the longitudinal data will be less important. For this component, an effective sample size of around 98.000 households (103.000 including Iceland and Norway) is planned.

Member States using registers for income and other data may use a sample of persons (selected respondents) rather than a sample of complete households in the interview survey. The minimum effective sample size in terms of the number of persons aged 16 or over to be interviewed in detail is in this case taken as 75 % of the figures shown in columns 3 and 4 of the table I, for the cross-sectional and longitudinal components respectively.

The reference is to the effective sample size, which is the size required if the survey were based on simple random sampling (design effect in relation to the 'risk of poverty rate' variable = 1.0). The actual sample sizes will have to be larger to the extent that the design effects exceed 1.0 and to compensate for all kinds of non-response. Furthermore, the sample size refers to the number of valid households which are households for which, and for all members of which, all or nearly all the required information has been obtained. For countries with a sample of persons design, information on income and other data shall be collected for the household of each selected respondent and for all its members.

At the beginning, a cross-sectional representative sample of households is selected. It is divided into say 4 sub-samples, each by itself representative of the whole population and similar in structure to the whole sample. One sub-sample is purely cross-sectional and is not followed up after the first round. Respondents in the second sub-sample are requested to participate in the panel for 2 years, in the third sub-sample for 3 years, and in the fourth for 4 years. From year 2 onwards, one new panel is introduced each year, with request for participation for 4 years. In any one year, the sample consists of 4 sub-samples, which together constitute the cross-sectional sample. In year 1 they are all new samples; in all subsequent years, only one is new sample. In year 2, three are panels in the second year; in year 3, one is a panel in the second year and two in the third year; in subsequent years, one is a panel for the second year, one for the third year, and one for the fourth (final) year.

According to the Commission Regulation on sampling and tracing rules, the selection of the sample will be drawn according to the following requirements:

1. For all components of EU-SILC (whether survey or register based), the crosssectional and longitudinal (initial sample) data shall be based on a nationally representative probability sample of the population residing in private households within the country, irrespective of language, nationality or legal residence status. All private households and all persons aged 16 and over within the household are eligible for the operation.
2. Representative probability samples shall be achieved both for households, which form the basic units of sampling, data collection and data analysis, and for individual persons in the target population.
3. The sampling frame and methods of sample selection shall ensure that every individual and household in the target population is assigned a known and non-zero probability of selection.
4. By way of exception, paragraphs 1 to 3 shall apply in Germany exclusively to the part of the sample based on probability sampling according to Article 8 of the Regulation of the European Parliament and of the Council (EC) No 1177/2003 concerning

Community Statistics on Income and Living Conditions. Article 8 of the EU-SILC Regulation of the European Parliament and of the Council mentions: 1. The cross-sectional and longitudinal data shall be based on nationally representative probability samples. 2. By way of exception to paragraph 1, Germany shall supply cross-sectional data based on a nationally representative probability sample for the first time for the year 2008. For the year 2005, Germany shall supply data for one fourth based on probability sampling and for three fourths based on quota samples, the latter to be progressively replaced by random selection so as to achieve fully representative probability sampling by 2008. For the longitudinal component, Germany shall supply for the year 2006 one third of longitudinal data (data for year 2005 and 2006) based on probability sampling and two thirds based on quota samples. For the year 2007, half of the longitudinal data relating to years 2005, 2006 and 2007 shall be based on probability sampling and half on quota sample. After 2007 all of the longitudinal data shall be based on probability sampling.

Detailed information about sampling is available in Quality Reports in Related Materials.

Mode of data collection

Mixed

Parallel panel and fresh cross-section samples in recent National Election Study surveys provide valuable leverage for assessing the magnitude of biases in statistical analyses of survey data due to panel attrition and panel conditioning. My analyses employing a variety of typical regression models suggest that substantial panel biases are likely to be fairly rare in these data, even when panel and cross-section respondents have markedly different characteristics. However, two of the dependent variables considered here—campaign interest and turnout—do appear to be sufficiently sensitive to panel effects to warrant significant discounting or adjustment of panel data. I propose adjustments for panel effects in both cross-sectional and dynamic analyses, based upon variants of the "fractional pooling" (Bartels 1996) and "two-stage auxiliary instrumental variables" (Franklin 1990) methods.

The India Human Development Survey (IHDS) is a nationally representative, multi-topic survey of 42,152 households in 1,503 villages and 971 urban neighborhoods across India. Data were originally collected from households during 2004-2005. Interviewers returned in 2011-2012 to re-interview these same households. During both waves of data collection, two one-hour interviews were conducted covering a large range of topics. The goal of the IHDS program is to document changes in the daily lives of Indian households in a society undergoing rapid transition. This particular data collection merges the two waves of IHDS (known as IHDS and IHDS-II) into a harmonized pattern from the perspective view points of individuals, households, and eligible women. The data are presented in three different data formats: cross-sectional, wide, and long to facilitate a broader range of analysis options. Due to the specificity of geography and inclusion of sensitive / identifying topics there is a public-use and restricted-use rendition for each of the nine data files.