Econometric Analysis of Panel DataEconometric Analysis of Panel Data has become established as one of the leading textbooks for students of panel data. The significantly revised and updated third edition from one of the leading researchers and writers in this field builds upon the success of previous editions, and includes the most recent empirical examples from panel data literature. Updated topics include dynamic panels, nonstationary panels, limited dependent variable models, heteroskedastic panels, heterogeneous panels and spatial panels. Other notable features of this third edition:
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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 Baltagi BGLS bias Bwithin cointegration compute considered consistent estimates covariance cross-section data set denotes dependent variable derived dummies Durbin-Watson statistic dynamic panel data EC2SLS Econometric Theory Economics efficient equation error component model exogenous F-statistic feasible GLS estimator fixed effects estimator fixed effects model given GMM estimator Hausman test heterogeneous heteroskedasticity homoskedasticity individual effects Journal of Econometrics lagged least squares LM test 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 poolability problem random effects model regression model regressors reject the null remainder disturbances restrictions sample serial correlation set of instruments standard errors Stata Table test statistic transformation two-way error component unit root tests v₁ variance components variance-covariance matrix vector Wansbeek yields zero