Univariate Versus Multivariate Modeling of Panel Data: Model Specification and Goodness-of-Fit Testing

Two approaches are commonly in use for analyzing panel data: the univariate, which arranges data in format and estimates just one regression equation; and the multivariate, which arranges data in format, and simultaneously estimates a set of regression equations. Although technical articles the two approaches exist, they do not seem to have had an impact in organizational . This article revisits the connection between the univariate and multivariate approaches, conditions under which they yield the same—or similar—results, and discusses their . The article is addressed to applied researchers. For those familiar only with the approach, it contributes with conceptual simplicity on goodness-of-fit testing and a variety tests for misspecification (Hausman test, heteroscedasticity, autocorrelation, etc.), and simplifies the model to time-varying parameters, dynamics, measurement error, and so on. For all , the comparative and side-by-side analyses of the two approaches on two data sets— data and empirical data with missing values—contributes to broadening their of panel data modeling and expanding their tools for analyses. Both univariate and analyses are performed in Stata and R.