st: Issues in panel analysis

[Scott Talkington <talkings@gmu.edu>]

I'm currently writing a research proposal for an analysis of a simple 
panel dataset with two data points.  That is, there's an entry survey 
and an exit survey.  This is the first time I've analyzed this sort of 
data, and wonder if you folks have any thoughts about what issues might 
come up other than the obvious.  There's considerable variation in the 
dependent variable with individuals as the unit of analysis (with 
approximately 10,000 cases), but the primary independent variable of 
interest is "contextual" or "environmental."  That is, it will be 
aggregated in a way such that about every 100 to 1,000 individuals will 
have same value for the variable.  Most of the other control variables 
won't be aggregated.

So, does the fact that the independent variable is aggregated raise 
methodological issues that undermine the benefits of panel data?  I 
imagine that a lot of panel studies must account for these environment 
variables, but what are the chief pitfalls and how does one adjust for 
them?  Would it be advisable or necessary to conduct a separate analysis 
at a higher level of aggregation and compare the results?  Is there a 
good reference for this kind of analysis that wouldn't take me a 
semester to read and digest?
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/