I would like to know if there is an available statistical method/test that will determine if there is a significant difference on the effect of independent variable to dependent variable among each groups? The data collected are panel data.
Christian,
one option would be Structural Equation Modeling. This framework offers many approaches to modeling panel data, including:
- Cross-lagged panel models
- Latent growth models
- Latent change score models
- Time-series analysis (DSEM)
In principle, all of these can be extended to model multiple groups, such that you can test whether any parameters differ between groups.
The first three approaches are compared here:
Article Longitudinal Analysis in Occupational Health Psychology: A R...
The fourth is relatively recent:
Article Dynamic Structural Equation Models
Comparing the same effect across different groups involves testing for interaction effects. This can be done with a set of dummy variables to represent the groups.
A useful book on this topic is Aiken & West, Multiple Regression: Testing and Interpreting Interactions.
