Econometric Analysis of Panel DataThis new edition of this established textbook reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. The book is packed with the most recent empirical examples from panel data literature, for example, a simultaneous equation on Crime will be added to chapter 7, which will be illustrated with STATA. Data sets will be provided as well as the programs to implement the estimation and testing procedures described in the book on the web site. Additional exercises will be added to each chapter and their solutions will be provided on the web site. The text has also been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models. |
Contents
The Oneway Error Component Regression Model | 11 |
The Twoway Error Component Regression Model | 33 |
Test of Hypotheses with Panel Data | 53 |
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Common terms and phrases
2SLS applied assumed assumption asymptotically distributed autoregressive average Baltagi BGLS bias cointegration compute considered consistent estimates covariance cross-section data set denotes dependent variable derived dummies dynamic panel data EC2SLS Economics efficient endogenous equation error component model exogenous explanatory variables F-statistic feasible GLS estimators fixed effects estimator fixed effects model given GMM estimator Hausman test heterogeneous heteroskedasticity homoskedasticity households Hsiao individual effects instrumental variable Journal of Econometrics lagged least squares LM test logit Maddala methods Monte Carlo Monte Carlo experiments null hypothesis observations obtained OLS residuals one-way error component panel data model panel unit root parameters performed period Pesaran probit model problem random effects model regression model regressors remainder disturbances restrictions serial correlation set of instruments Stata t-statistic test statistic transformation two-way error component unit root tests v₁ variance components variance-covariance matrix vector Wansbeek yields zero