st: panel data time series models

[David Airey <david.airey@Vanderbilt.Edu>]

It is common for physiologists to record neuron electrical activity over 
time (perhaps under experimental conditions) and perform time series 
analysis on these data, regardless of which animal the neuron was 
recorded from. I would think that such an analysis mistakes the 
experimental unit as the neuron when it should be the animal. Stata 
implements panel data time series models, though I have little 
experience with them. My feeling is that the panel should be the animal, 
and the neuronal recordings should be within-panel observations. For 
those economists out there on the list, can you point to literature that 
describes the consequences of ignoring the panel, or collapsing over 
panel, on parameter estimates and or Type I/II error rates? Literature 
that uses Stata would be the best.

Cheers,

David Airey, Ph.D.

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