Panel Data Toolbox v2.0 is a new package for MATLAB that includes functions to estimate the main econometric methods of panel data analysis. The package covers the standard fixed, between and random effects methods, that are extended to allow for instrumental variables, as well as spatial panel data specifications.
Journal paper describing the functionality of the toolbox can be found here:
Copyright 2013-2019 Inmaculada C. Álvarez, Javier Barbero, José L. Zofío
Álvarez, Inmaculada C.; Barbero, Javier and Zofío, José L, (2017) A Panel Data Toolbox for MATLAB. Journal of Statistical Software. Volume 76, Issue 6, pp 1-27
Álvarez, Inmaculada C., et al. “A Panel Data Toolbox for MATLAB.” Journal of Statistical Software, vol. 76, no. 6, Foundation for Open Access Statistic, 2017, doi:10.18637/jss.v076.i06.
Thanks for a great toolbox. One little issue is the Walt test för joint significance when used to robust standard errors. It seems to use the wrong number of degrees of freedom so that it can e.g. produce a negative F-statistic in this case. To take a concrete example I have a balanced panel with N =17 and T=24, this code panel(Paneldata.Bank_number, Paneldata.Time, y1_consumer, [X1_consumer], 'fe','vartype', 'cluster','clusterid',Paneldata.Time) gives Wald F(96,23) and without the clustered standard errors it gives F(96,295).
Add working paper link