Chapter 35. Pooled Time Series, Cross-Section Data
Data often contain information on a relatively small number of cross-sectional units observed over time. For example, you may have time series data on GDP for a number of European nations. Or perhaps you have state level data on unemployment observed over time. We term such data pooled time series, cross-section data.
EViews provides a number of specialized tools to help you work with pooled data. EViews will help you manage your data, perform operations in either the time series or the crosssection dimension, and apply estimation methods that account for the pooled structure of your data.
The EViews object that manages time series/cross-section data is called a pool. The remainder of this chapter will describe how to set up your data to work with pools, and how to define and work with pool objects.
Note that the data structures described in this chapter should be distinguished from data where there are large numbers of cross-sectional units. This type of data is typically termed panel data. Working with panel structured data in EViews is described in Chapter 36. “Working with Panel Data,” on page 615 and Chapter 37. “Panel Estimation,” beginning on page 647.
The Pool Workfile
The first step in working with pooled data is to set up a pool workfile. There are several characteristics of an EViews workfile that allow it to be used with pooled time series, crosssection data.
First, a pool workfile is an ordinary EViews workfile structured to match the time series dimension of your data. The range of your workfile should represent the earliest and latest dates or observations you wish to consider for any of the cross-section units. For example, if you want to work with data for some firms from 1932 to 1954, and data for other firms from 1930 to 1950, you should create a workfile ranging from 1930 to 1954.
Second, the pool workfile should con-
tain EViews series that follow a user-defined naming convention. For each cross-section spe-
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cific variable, you should have a separate series corresponding to each cross-section/ variable combination. For example, if you have time series data for an economic variable like investment that differs for each of 10 firms, you should have 10 separate investment series in the workfile with names that follow the user-defined convention.
Lastly, and most importantly, a pool workfile must contain one or more pool objects, each of which contains a (possibly different) description of the pooled structure of your workfile in the form of rules specifying the user-defined naming convention for your series.
There are various approaches that you may use to set up your pool workfile:
•First, you may simply create a new workfile in the usual manner, by describing, the time series structure of your data. Once you have a workfile with the desired structure, you may define a pool object, and use this object as a tool in creating the series of interest and importing data into the series.
•Second, you may create an EViews workfile containing your data in stacked form. Once you have your stacked data, you may use the built-in workfile reshaping tools to create a workfile containing the desired structure and series.
Both of these procedures require a bit more background on the nature of the pool object, and the way that your pooled data are held in the workfile. We begin with a brief description of the basic components of the pool object, and then return to a description of the task of setting up your workfile and data (“Setting up a Pool Workfile” on page 571).
The Pool Object
Before describing the pooled workfile in greater detail, we must first provide a brief description of the EViews pool object.
We begin by noting that the pool object serves two distinct roles. First, the pool contains a set of definitions that describe the structure of the pooled time series, cross-section data in your workfile. In this role, the pool object serves as a tool for managing and working with pooled data, much like the group object serves is used as a tool for working with sets of series. Second, the pool provides procedures for estimating econometric models using pooled data, and examining and working with the results from this estimation. In this role, the pool object is analogous to an equation object that is used to estimate econometric specifications.
In this section, we focus on the definitions that serve as the foundation for the pool object and simple tools for managing your pool object. The tools for working with data are described in “Working with Pooled Data,” beginning on page 578, and the role of the pool object in estimation is the focus of “Pooled Estimation,” beginning on page 586.
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Defining a Pool Object
There are two parts to the definitions in a pool object: the cross-section identifiers, and optionally, definitions of groups of identifiers.
Cross-section Identifiers
The central feature of a pool object is a list of cross-section members which provides a naming convention for series in the workfile. The entries in this list are termed cross-section identifiers. For example, in a cross-country study, you might use “_USA” to refer to the United States, “_KOR” to identify Korea, “_JPN” for Japan, and “_UK” for the United Kingdom. Since the cross-section identifiers will be used as a base in forming series names, we recommend that they be kept relatively short.
Specifying the list cross-section identifiers in a pool tells EViews about the structure of your data. When using a pool with the four cross-section identifiers given above, you instruct EViews to work with separate time series data for each of the four countries, and that the data may be held in series that contain the identifiers as part of the series names.
The most direct way of creating a pool object is to select Object/New Object.../Pool. EViews will open the pool specification view into which you should enter or copy-and-paste a list of identifiers, with individual entries separated by spaces, tabs, or carriage returns. Here, we have entered four identifiers on separate lines.
There are no special restrictions on the labels that you can use for cross-section identifiers, though you must be able to form legal EViews series names containing these identifiers.
Note that we have used the “_” character at the start of each of the identifiers in our list; this is not necessary, but you may find that it makes it easier to spot the identifier when it is used as the end of a series name.
Before moving on, it is important to note that a pool object is simply a description of the underlying structure of your data, so that it does not itself contain series or data. This separation of the object and the data has important consequences.
First, you may use pool objects to define multiple sets of cross-section identifiers. Suppose, for example, that the pool object POOL01 contains the definitions given above. You may also have a POOL02 that contains the identifiers “_GER,” “_AUS,” “_SWTZ,” and a POOL03 that contains the identifiers “_JPN” and “_KOR”. Each of these three pool objects defines a
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different set of identifiers, and may be used to work with different sets of series in the workfile. Alternatively, you may have multiple pool objects in a workfile, each of which contain the same list of identifiers. A POOL04 that contains the same identifiers as POOL01 may be used to work with data from the same set of countries.
Second, since pool objects contain only definitions and not series data, deleting a pool will not delete underlying series data. You may, however, use a pool object to delete, create, and manipulate underlying series data.
Group Definitions
In addition to the main list of cross-section identifiers, you may define groups made up of subsets of your identifiers. To define a group of identifiers, you should enter the keyword “@GROUP” followed by a name for the group, and the subset of the pool identifiers that are to be used in the group. EViews will define a group using the specified name and any identifiers provided.
We may, for example, define the ASIA group containing the “_JPN” and “_KOR” identifiers, or the NORTHAMERICA group containing the “_USA” identifier by adding:
@group asia _jpn _kor @group northamerica _usa
to the pool definition.
These subsets of cross-section identifiers may be used to define virtual series indicating whether a given observation corresponds to a given subgroup or not. The ASIA group, for example, can be used along with special tools to identify whether a given observation should be viewed as coming from Japan or Korea, or from one of the other countries in the pool. We describe this functionality in greater detail in “Pool Series” on page 570.
Viewing or Editing Definitions
You may, at any time, change the view of an existing pool object to examine the current list of cross-section identifiers and group definitions. Simply push the Define button on the toolbar, or select View/Cross-Section Identifiers. If desired, you can edit the list of identifiers or group definitions.
Copying a Pool Object
Typically, you will work with more than one pool object. Multiple pools are used to define various subsamples of cross-section identifiers, or to work with different pooled estimation specifications.
To copy a pool object, open the original pool, and select Object/Copy Object… Alternatively, you can highlight the name of the pool in the workfile window, and either select
