Analysis of Panel Data

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Cambridge University Press, Dec 8, 2014 - Business & Economics - 562 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

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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.

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