Analysis of Panel Data

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Cambridge University Press, Dec 8, 2014 - Business & Economics - 538 pages
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This book provides a comprehensive, coherent, and intuitive review of panel data methodologies that are useful for empirical analysis. Substantially revised from the second edition, it includes two new chapters on modeling cross-sectionally dependent data and dynamic systems of equations. Some of the more complicated concepts have been further streamlined. Other new material includes correlated random coefficient models, pseudo-panels, duration and count data models, quantile analysis, and alternative approaches for controlling the impact of unobserved heterogeneity in nonlinear panel data models.
 

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Contents

Introduction
1
Homogeneity Tests for Linear Regression Models
17
Simple Regression with Variable Intercepts
31
πApproach
69
Dynamic Models with Variable Intercepts
80
Large N and T Asymptotics
130
Static SimultaneousEquations Models
136
VariableCoefficient Models
167
CrossSectionally Dependent Panel Data
327
Dynamic System
369
Incomplete Panel Data
403
Miscellaneous Topics
430
A Summary View
464
References
475
Author Index
507
Subject Index
513

Discrete Data
230
Sample Truncation and Sample Selection
281
Copyright

Other editions - View all

Analysis of Panel Data
Cheng Hsiao
Limited preview - 2014
Analysis of Panel Data
Cheng Hsiao
No preview available - 2014

Common terms and phrases

ANCOVA approach assume assumption asymptotically normally asymptotically normally distributed Bayes estimator bias Chapter cointegration common conditional consistent and asymptotically consistent estimator constant converges covariance matrix cross-sectional data cross-sectional dependence cross-sectional units CV estimator degrees of freedom denotes density dependent variable discussed dynamic efficient equation error term exogenous variables explanatory variables finite fixed-effects given GLS estimator Heckman heterogeneity Hsiao incidental parameters individual effects individual-specific effects inference intercept Kyriazidou lag coefficients least-squares estimator likelihood function likelihood-ratio test linear logit model method normally distributed null obtain panel data Pesaran Prob probability random variable random-effects random-effects model regression model residuals restrictions sample Section serial correlation specific structure tends to infinity test statistic transformed truncated uncorrelated unit root unobserved variance variance–covariance matrix vector yields yyio

About the author (2014)

Cheng Hsiao is Professor of Economics at the University of Southern California. He has worked mainly in integrating economic theory with economic analysis. Professor Hsiao has made extensive contributions in methodology and empirical analysis in the areas of panel data, time series, cross-sectional data, structural modeling, and measurement errors, among other fields. He is the author of the first two editions of Analysis of Panel Data and has been a co-editor of the Journal of Econometrics since 1991. He received his PhD in Economics from Stanford University.

Bibliographic information

QR code for Analysis of Panel Data
TitleAnalysis of Panel Data
Analysis of Panel Data, Cheng Hsiao
Issue 54 of Econometric Society Monographs, ISSN 2059-2507
AuthorCheng Hsiao
Editionillustrated
PublisherCambridge University Press, 2014
ISBN1107038693, 9781107038691
Length538 pages
Subjects ›  › 

Business & Economics / Econometrics
Business & Economics / Economics / General
Business & Economics / Statistics
Computers / Computer Science
  
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