Econometric Analysis of Panel DataProvides students with a comprehensive assessment of the latest panel data techniques, especially for serial correlation, heteroskedasticity, simultaneous equations, dynamic models and incomplete panels. Includes extensive coverage of estimation, testing and prediction methods using panel data. The author uses two data sets to illustrate the techniques and cites several empirical studies so that readers can relate econometric methods with economic applications. Packed with exercises which proceed from single equation to simultaneous equation techniques. |
Contents
Introduction | 1 |
The Oneway Error Component Regression Model | 9 |
The Twoway Error Component Regression Model | 27 |
Copyright | |
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2SLS Amemiya apply assumed asymptotically distributed BGLS bias Breusch cohort compute consistent estimates covariance matrix cross-section denotes derived dummies dynamic EC2SLS effects model efficient equation error component model estimator of ẞ exogenous F-statistic fact feasible GLS estimators fixed effects fixed effects model given Hausman heteroskedastic homoskedastic individual effects likelihood function LM test LM₁ m₁ maximum likelihood measurement error method MINQUE Monte Carlo null hypothesis observed obtained OLS residuals one-way error component panel data panel data model parameters performed period poolability probit probit model problem random effects random effects model regression coefficients regressors remainder disturbances restrictions sample serial correlation set of instruments test statistic transformation two-way error component typical element unbiased variance components variance-covariance matrix vector verify X₁ yields zero μ₁ σ² σλ στ