Estimating Causal Effects from Panel Data with Dynamic Multivariate Panel Models

By Jouni Helske, Santtu Tikka in Bayesian Infererence Causal Inference R Package

December 14, 2022



Panel data are ubiquitous in scientific domains such as sociology and econometrics. Various modeling approaches have been presented for the analysis of such data including dynamic panel models, cross-lagged panel models, and their extensions. Existing panel data modeling approaches typically impose some restrictive assumptions on the data-generating process, such as Gaussian errors, effects that are constant in time, or univariate responses. With the goal of surmounting these restrictions, we present the dynamic multivariate panel model (DMPM) that supports both time-varying and time-invariant effects, multiple simultaneous responses across a wide variety of distributions, and arbitrary dependency structures of lagged responses of any order. We employ a Bayesian approach to the estimation of the model parameters and leverage state-of-the-art Markov chain Monte Carlo methods for simulation of the posterior distribution. We demonstrate the use of DMPM by applying the model to both real and synthetic data.

Posted on:
December 14, 2022
1 minute read, 145 words
Bayesian Infererence Causal Inference R Package
Markov Chain Monte Carlo Panel Data
See Also:
dynamite: An R Package for Dynamic Multivariate Panel Models
A Bayesian spatio-temporal analysis of markets during the Finnish 1860s famine
Efficient Bayesian generalized linear models with time-varying coefficients: The walker package in R