The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice
Lászlo Mátyás, Patrick Sevestre
Springer Science & Business Media, Apr 6, 2008 - Business & Economics - 950 pages
The aim of this third, completely re-written, re-edited and considerably expanded, edition of this book is to provide a general overview of both the basics and - cent, more sophisticated, theoretical developments in panel data econometrics. It also aims at covering a number of ?elds of applications where these methods are used for improving our knowledge and understanding of economic agents’ beh- iors. Since the pioneering works of Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross s- tions and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate, reliable and informative results than would be achievable by one type of series alone. Over the last three decades of the last century, much fundamental work has been done: investigation of the properties of different estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. The more recent years and in particular the ten years elapsed since the second edition of this book have witnessed even more considerable changes. Indeed, our ability to estimate and test nonlinear models have dramatically improved and issues such as the unobserved heterogeneity in nonlinear models, attrition and selectivity bias have received considerable attention. This explains why the number of chapters dealing with such issues has increased in this third edition.
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Error Components Models
Endogenous Regressors and Correlated Effects
Duration Models and Point Processes
GMM for Panel Data Count Models
Spatial Panel Econometrics
Lessons from Panel Data 663
Stochastic Frontier Analysis and Efficiency Estimation
Econometric Analyses of Linked EmployerEmployee Data
Random Coefficient Models 185
Parametric Binary Choice Models
Dynamic Models for Short Panels
Unit Roots and Cointegration in Panels
Software Review 907
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The Econometrics of Panel Data: Fundamentals and Recent Developments in ...
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applied Arellano assumed assumption autoregressive Baltagi bias CE+EV CE+WS CEEV CHAMB2 Chamberlain method cointegration computed consider consistent estimator Correlated Effects covariance matrix cross section cross-sectional denote dependent variable distribution disturbances dummies e-mail Econometrica Economics effects models endogenous error components model error term estimating equations exogenous variables explanatory variables Feasible-GLS fixed effects given GLS estimator GMM estimator GMM2 Hausman heterogeneity heteroskedasticity homoskedastic Hsiao independent individual effects instrumental variables Journal of Econometrics lagged Least Squares likelihood function linear maximum likelihood Monte Carlo null observations obtained optimal orthogonality conditions panel data models parameters of interest Pesaran plim probit model problem random effects random effects models regression model regressors residuals restrictions Root Tests sample Sect serial correlation Sevestre simulation standard errors statistic strictly exogenous structure transformation Trognon uncorrelated unit root unobserved values vector weight matrix