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Estimating Dynamic Limited Dependent Variable Models From Panel Data
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Book Synopsis Analysis of Panels and Limited Dependent Variable Models by : Cheng Hsiao
Download or read book Analysis of Panels and Limited Dependent Variable Models written by Cheng Hsiao and published by Cambridge University Press. This book was released on 1999-07-29 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.
Book Synopsis Estimating Dynamic Limited Dependent Variable Models from Panel Data by : Olympia Bover
Download or read book Estimating Dynamic Limited Dependent Variable Models from Panel Data written by Olympia Bover and published by . This book was released on 1997 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Dynamic Limited Dependent Variable Models on Panel Data by : Michael Lechner
Download or read book Estimation of Dynamic Limited Dependent Variable Models on Panel Data written by Michael Lechner and published by . This book was released on 1991 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometric Analysis of Panel Data by : Badi Baltagi
Download or read book Econometric Analysis of Panel Data written by Badi Baltagi and published by John Wiley & Sons. This book was released on 2008-06-30 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has 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.
Book Synopsis Panel Data Econometrics with R by : Yves Croissant
Download or read book Panel Data Econometrics with R written by Yves Croissant and published by John Wiley & Sons. This book was released on 2018-08-10 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Book Synopsis Econometric Analysis of Panal Data by : Badi H. Baltagi
Download or read book Econometric Analysis of Panal Data written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2001-10-31 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 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 and includes new data sets. The use of the standard software packages in the field i.e. STATA, LIMDEP, TSP & SAS are illustrated with new examples. The text has also been fully updated with new material on: non-stationary models, unit roots in panels and cointegration, prediction in panels, serial correlation, heteroskedasticity, and new results on GMM in dynamic panel data models. There is also website providing supplementary material for lecturers.
Book Synopsis Panel Methods for Finance by : Marno Verbeek
Download or read book Panel Methods for Finance written by Marno Verbeek and published by de Gruyter. This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial data are typically characterised by a time-series dimension and a cross-sectional dimension. For example, we may observe financial information on a group of firms over a number of years, or we may observe returns of all stocks traded at NYSE over a period of 120 months. Accordingly, econometric modelling in finance requires appropriate attention to these two -- or occasionally more than two -- dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications. The use of panel data has many advantages, in terms of the flexibility of econometric modeling and the ability to control for unobserved heterogeneity. It also involves a number of econometric issues that require specific attention. This includes cross-sectional dependence, robust and clustered standard errors, parameter heterogeneity, fixed effects, dynamic models with a short time dimension, instrumental variables, differences-in-differences and other approaches for causal inference. After an introductory chapter reviewing the classical linear regression model with particular attention to its use in a panel data context, including several standard estimators (pooled OLS, Fama-MacBeth, random effects, first-differences, fixed effects), the book continues with a more elaborate treatment of fixed effects approaches. While first-differencing and fixed effects estimators are attractive because of their removal of time-invariant unobserved heterogeneity (e.g. manager quality, firm culture), consistency of such estimators imposes strict exogeneity of the explanatory variables (for a finite number of time periods). This is often violated in practice, for example, some explanatory variable explaining firm performance may be partly determined by historical firm performance. An obvious case where this assumption is violated arises when the model contains a lagged dependent variable. A separate chapter will focus on dynamic models, which have received specific attention in the literature, also in the context of financial applications, like the dynamics of capital structure choices. Estimation mostly relies on instrumental variables or GMM techniques. Identification and estimation of such models is often fragile, and the small sample properties may be disappointing. The book continues with a chapter on models with limited dependent variables, including binary response models. The cross-sectional dependence that is likely to be present complicates estimation, and the author discusses pooled estimation, random effects and fixed effects approaches, including the possibility to include lagged dependent variables. This chapter will also discuss problems of attrition and sample selection bias, as well as unbalanced panels in general. Identifying causal effects in empirical work based on non-experimental data is often challenging, and causal inference has received substantial attention in the recent literature. The availability of panel data plays an important role in many approaches. Starting with simple differences-in-differences approaches, a dedicated chapter discusses instrumental variables estimators, matching and propensity scores, regression discontinuity and related approaches.
Book Synopsis Estimation and Testing in Dynamic, Nonlinear Panel Data Models by : Margaret Susan Loudermilk
Download or read book Estimation and Testing in Dynamic, Nonlinear Panel Data Models written by Margaret Susan Loudermilk and published by . This book was released on 2006 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Companion to Econometric Analysis of Panel Data by : Badi H. Baltagi
Download or read book A Companion to Econometric Analysis of Panel Data written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2009-06-22 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: ‘Econometric Analysis of Panel Data’ has become established as the leading textbook for postgraduate courses in panel data. This book is intended as a companion to the main text. The prerequisites include a good background in mathematical statistics and econometrics. The companion guide will add value to the existing textbooks on panel data by solving exercises in a logical and pedagogical manner, helping the reader understand, learn and teach panel data. These exercises are based upon those in Baltagi (2008) and are complementary to that text even though they are stand alone material and the reader can learn the basic material as they go through these exercises. The exercises in this book start by providing some background material on partitioned regressions and the Frisch-Waugh-Lovell theorem, showing the reader some applications of this material that are useful in practice. Then it goes through the basic material on fixed and random effects models in a one-way and two-way error components models, following the same outline as in Baltagi (2008). The book also provides some empirical illustrations and examples using Stata and EViews that the reader can replicate. The data sets are available on the Wiley web site (www.wileyeurope.com/college/baltagi).
Book Synopsis Econometric Analysis of Panel Data by : Badi H. Baltagi
Download or read book Econometric Analysis of Panel Data written by Badi H. Baltagi and published by . This book was released on 1995-01 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 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.
Book Synopsis Panel Data Econometrics by : Mike Tsionas
Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-19 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Book Synopsis Estimating Panel Data Models with Endogeneity and Selection by : Anastasia Semykina
Download or read book Estimating Panel Data Models with Endogeneity and Selection written by Anastasia Semykina and published by . This book was released on 2006 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model by : Huigang Chen
Download or read book Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model written by Huigang Chen and published by International Monetary Fund. This book was released on 2011-10-01 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation results suggest that asymptotically our methodology performs well both in Bayesian model averaging and selection. In particular, LIBMA recovers the data generating process well, with high posterior inclusion probabilities for all the relevant regressors, and parameter estimates very close to their true values. These findings suggest that our methodology is well suited for inference in short dynamic panel data models with endogenous regressors in the context of model uncertainty. We illustrate the use of LIBMA in an application to the estimation of a dynamic gravity model for bilateral trade.
Book Synopsis Dynamic Limited Dependent Variable Models Using Panel Data with Applications to Corporate Dividends by : Fude Cheng
Download or read book Dynamic Limited Dependent Variable Models Using Panel Data with Applications to Corporate Dividends written by Fude Cheng and published by . This book was released on 2002 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes by : Feng Qu
Download or read book Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes written by Feng Qu and published by World Scientific. This book was released on 2020-08-24 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.
Book Synopsis The Oxford Handbook of Panel Data by : Badi Hani Baltagi
Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.
Book Synopsis Handbook of Statistical Modeling for the Social and Behavioral Sciences by : G. Arminger
Download or read book Handbook of Statistical Modeling for the Social and Behavioral Sciences written by G. Arminger and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contributors thoroughly survey the most important statistical models used in empirical reserch in the social and behavioral sciences. Following a common format, each chapter introduces a model, illustrates the types of problems and data for which the model is best used, provides numerous examples that draw upon familiar models or procedures, and includes material on software that can be used to estimate the models studied. This handbook will aid researchers, methodologists, graduate students, and statisticians to understand and resolve common modeling problems.
