Econometric Analysis of Panal Data

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Wiley, Oct 31, 2001 - Business & Economics - 304 pages
This substantially revised second edition of the leading graduate textbook on panel data provides a reworked coverage of panel data techniques from a key author in this field. Updated topics include dynamic panels, limited dependent variable panel data models, spatial panels, GMM estimation, prediction in panels, serial correlation, heteroskedasticity, nested error component models, pseudo-panels, rotating panels, unbalanced panels and heterogeneous dynamic panels.

New material has been added to include:

  • nonstationary panels with illustrations of their applications in economics including unit roots in panels and cointegration in panels

  • spatial panel data models

  • web site addresses for panel data sources

  • recent empirical studies and worked examples using standard software
Packed with additional exercises, which can be assigned for classroom use, the author proceeds from single equation methods to simultaneous equation methods, making this text entirely accessible to graduate students.

A review of the first edition of Econometric Analysis of Panel Data

"This is a definitive book written by one of the architects of modern panel data
econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly. Since its first publication in 1995, it has quickly become a standard accompanying text in advanced econometrics courses around the world, and a major reference for researchers doing empirical work with longitudinal data." — Professor Kajal Lahiri - State University of New York, Albany, USA


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Contents

The Oneway Error Component Regression Model
11
The Twoway Error Component Regression Model
31
Test of Hypotheses with Panel Data
51
Copyright

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