Panel Data Toolbox v2.0 is a package for MATLAB that includes functions to estimate the main econometric methods of panel data analysis. The package covers the standard fixed, between and random effects methods, that are extended to allow for instrumental variables, as well as spatial panel data specifications.
Download
Panel Data Toolbox v2.0 and a Journal Paper explaining how it works are available to download:
Journal of Statistical Software paper:
A Panel Data Toolbox for MATLAB (JSS Paper) [Link to IDEAS]
Panel Data Toolbox
The source code and all the examples are available to download from the following repository on GitHub: https://github.com/javierbarbero/PanelDataMATLAB
The most recent version of the toolbox can be downloaded from the repository by clicking the “Download ZIP” button on the right.
Authors
Inmaculada C. Álvarez, Javier Barbero, and José L. Zofío
How to Cite
Please, is you use the Panel Data Toolbox cite as:
Álvarez, Inmaculada C.; Barbero, Javier and Zofío, José L, (2017). A Panel Data Toolbox for MATLAB. Journal of Statistical Software. Volume 76, Issue 6, pp 1-27. http://dx.doi.org/10.18637/jss.v076.i06
Frequently asked questions (FAQ)
What is Panel Data Toolbox?
Panel Data Toolbox is a package that allows estimating popular and
novel panel data models in MATLAB.
Is it free to use Panel Data Toolbox?
Panel Data Toolbox is free to use, but if you use it, please acknowledge
the hard work behind it, and cite it as a reference.
Which econometric methods are available in Panel Data Toolbox?
The following econometric methods ara available.
Cross section:
- Ordinary Least Squares (OLS).
- Instrumental Variables Two Stage Least Squares (IV2SLS).
- Spatial Two Stage Least Squares (S2SLS)
Panel:
- Pooling.
- Fixed effects.
- Between.
- Random effects.
Instrumental Panel:
- Pooling.
- Fixed effects.
- Between.
- Random effects.
- Error components.
Spatial Panel:
- Fixed effects.
- Random effects.
- Error components.
Test:
- Baltagi and Li’s test for serial correlation and random effects.
- Breusch-Pagan’s heteroskedasticity test.
- Breusch-Pagan’s LM test for random effects
- Baltagi, Song, Jung and Koh’s test of spatial autocorrelation, serial correlation and random effects.
- F test of individual effects.
- Hausman test.
- Mundlak variable addition test.
- Pesaran cross-sectional dependence test.
- Test for poolability of the data.
- Ramsey’s Regression Equation Specification Error Test (RESET).
- Sargan’s test of overidentification.
- Wald distance significance test.
- White’s heteroskedasticity test.
- Wooldridge’s serial correlation test.
- Wu’s variable addition test of endogeneity.
Is Panel Data Toolbox open source?
The source code of Panel Data Toolbox is available for download and it is distributed under the GNU GPL-3 license.
What is the license of Panel Data Toolbox source code?
The source code of Panel Data Toolbox is distributed under the GNU GPL-3 license.
What is the oldest version of MATLAB I can use to run Panel Data Toolbox?
Panel Data Toolbox was developed using MATLAB 8.5 (R2015a), but it can be run in
older versions. We have made tests and it works correctly in MATLAB 8.0 (R2012b).
Which are the main differences of Panel Data Toolbox v2.0 with respect to the previous version?
The differences with respect to the previous versión dating back to October 2013 can be seen in the Change Log.