Hi, dear researchers.
I am running panel regression in STATA. My time series dataset contains 3 countries covering 25 years with 7 variables.
The variable I need is found to be significant as the result of panel regression. However, when I run simple OLS regression for each country separately, the required variables show the significance for only two countries. What would you recommend in this case? Which model should I use?
I recommend conducting visual analysis first. You can use this work presenting a visual framework for panel data:
Poster A Visual Framework for Longitudinal and Panel Studies (with ...
In order to choose the best model you can use out-of-sample evaluation of predictions produced by alternative models.
Here let me recommend the metrics presented here:
Conference Paper Data Formats and Visual Tools for Forecast Evaluation in Cyb...
Generally, panel regression should produce more accurate predictions compared to separate OLS models, but it is the question of assumptions.
When the results obtained for a composite are inconsistent across the separate entities, the combined result is confounded. Numerous articles on various manifestations of this ubiquitous problem, including methods for detecting such confounding, and potential remedies, may be found in the following open access eJournal: https://ODAJournal.com
Type "paradox" or "panel" in the search box.
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