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Author : Jesús M. Carro
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (248 download)
Download or read book Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects written by Jesús M. Carro and published by . This book was released on 2003 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jesús M. Carro
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (248 download)
Download or read book Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects written by Jesús M. Carro and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128144319
Total Pages : 432 pages
Book Rating : 4.1/5 (281 download)
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
Author : Kenneth Train
Publisher : Cambridge University Press
ISBN 13 : 0521766559
Total Pages : 399 pages
Book Rating : 4.5/5 (217 download)
Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Author : Bo E. Honoré
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Moment Conditions for Dynamic Panel Logit Models with Fixed Effects written by Bo E. Honoré and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the construction of moment conditions in discrete choice panel data with individual specific fixed effects. We describe how to systematically explore the existence of moment conditions that do not depend on the fixed effects, and we demonstrate how to construct them when they exist. Our approach is closely related to the numerical "functional differencing" construction in Bonhomme (2012), but our emphasis is to find explicit analytic expressions for the moment functions. We first explain the construction and give examples of such moment conditions in various models. Then, we focus on the dynamic binary choice logit model and explore the implications of the moment conditions for identification and estimation of the model parameters that are common to all individuals.
Author : Manuel Arellano
Publisher : Oxford University Press
ISBN 13 : 0199245282
Total Pages : 244 pages
Book Rating : 4.1/5 (992 download)
Download or read book Panel Data Econometrics written by Manuel Arellano and published by Oxford University Press. This book was released on 2003 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the world's leading experts on dynamic panel data reviews, this volume reviews most of the important topics in the subject. It deals with static models, dynamic models, discrete choice and related models.
Author : Wei Gao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Estimation for Dynamic and Static Panel Probit Models with Large Individual Effects written by Wei Gao and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: For discrete panel data, the dynamic relationship between successive observations is often of interest. We consider a dynamic probit model for short panel data. A problem with estimating the dynamic parameter of interest is that the model contains a large number of nuisance parameters, one for each individual. Heckman proposed to use maximum likelihood estimation of the dynamic parameter, which, however, does not perform well if the individual effects are large. We suggest new estimators for the dynamic parameter, based on the assumption that the individual parameters are random and possibly large. Theoretical properties of our estimators are derived, and a simulation study shows they have some advantages compared with Heckman's estimator and the modified profile likelihood estimator for fixed effects.
Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects written by Hugo Kruiniger and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers inference procedures for two types of dynamic linear panel data models with fixed effects (FE). First, it shows that the closures of stationary ARMAFE models can be consistently estimated by Conditional Maximum Likelihood Estimators and it derives their asymptotic distributions. Then it presents an asymptotically equivalent Minimum Distance Estimator which permits an analytic comparison between the CMLE for the ARFE (1) model and the GMM estimators that have been considered in the literature. The CMLE is shown to be asymptotically less efficient than the most efficient GMM estimator when N approaches the limit infinity but T is fixed. Under normality some of the moment conditions become asymptotically redundant and the CMLE attains the Cramer-Rao lowerbound when T approaches the limit infinity as well. The paper also presents likelihood based unit root tests. Finally, the properties of CML, GMM, and Modified ML estimators for dynamic panel data models that condition on the initial observations are studied and compared. It is shown that for finite T the MMLE is less efficient than the most efficient GMM estimator.
Author : David A. Hensher
Publisher : Cambridge University Press
ISBN 13 : 1107092647
Total Pages : 1219 pages
Book Rating : 4.1/5 (7 download)
Download or read book Applied Choice Analysis written by David A. Hensher and published by Cambridge University Press. This book was released on 2015-06-11 with total page 1219 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully updated second edition of this popular introduction to applied choice analysis, written for graduate students, researchers, professionals and consultants.
Author : Badi H. Baltagi
Publisher : Springer Nature
ISBN 13 : 3030539539
Total Pages : 436 pages
Book Rating : 4.0/5 (35 download)
Download or read book Econometric Analysis of Panel Data written by Badi H. Baltagi and published by Springer Nature. This book was released on 2021-03-16 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly." Professor Kajal Lahiri, State University of New York, Albany, USA. "This book is the most comprehensive work available on panel data. It is written by one of the leading contributors to the field, and is notable for its encyclopaedic coverage and its clarity of exposition. It is useful to theorists and to people doing applied work using panel data. It is valuable as a text for a course in panel data, as a supplementary text for more general courses in econometrics, and as a reference." Professor Peter Schmidt, Michigan State University, USA. “Panel data econometrics is in its ascendancy, combining the power of cross section averaging with all the subtleties of temporal and spatial dependence. Badi Baltagi provides a remarkable roadmap of this fascinating interface of econometric method, enticing the novitiate with technical gentleness, the expert with comprehensive coverage and the practitioner with many empirical applications.” Professor Peter C. B. Phillips, Cowles Foundation, Yale University, USA.
Author : Hugo Kruiniger
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Fixed Effects Versus Random Effects Estimation of Dynamic Panel Data Models written by Hugo Kruiniger and published by . This book was released on 2019 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes new GMM estimators for the panel AR(1) model when the ratio of the variance of the individual effects to the variance of the idiosyncratic errors is large. First, we present a necessary condition for large N, fixed T consistency of any Fixed Effects or Random Effects estimator for this model. This condition is also sufficient for consistency of the FE estimators, which only depend on differences of the data. Next we show that RE estimators can still be consistent when the data is mean-stationary and the ratio of the variances is infinite. For instance, when T>3, the 2-step optimal System estimator is consistent provided that the elements of the weight matrix are consistently estimated. We argue that the RE Quasi ML estimator can be used for this purpose. The commonly used 1-step and 2-step System estimators are inconsistent in this case. We also propose local asymptotic approximations to the distributions of RE GMM estimators that are more accurate than conventional approximations when the data are mean-stationary and the ratio of the variances is large and we discuss conditions for redundancy of the moment conditions that include levels of the data. Finally, we conduct a Monte Carlo study into the finite sample properties of various estimators and related confidence intervals, and to illustrate the usefulness of our new System estimator we revisit the growth study of Levine et al. (2000).
Author : William H. Greene
Publisher : Cambridge University Press
ISBN 13 : 1139485954
Total Pages : 383 pages
Book Rating : 4.1/5 (394 download)
Download or read book Modeling Ordered Choices written by William H. Greene and published by Cambridge University Press. This book was released on 2010-04-08 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is increasingly common for analysts to seek out the opinions of individuals and organizations using attitudinal scales such as degree of satisfaction or importance attached to an issue. Examples include levels of obesity, seriousness of a health condition, attitudes towards service levels, opinions on products, voting intentions, and the degree of clarity of contracts. Ordered choice models provide a relevant methodology for capturing the sources of influence that explain the choice made amongst a set of ordered alternatives. The methods have evolved to a level of sophistication that can allow for heterogeneity in the threshold parameters, in the explanatory variables (through random parameters), and in the decomposition of the residual variance. This book brings together contributions in ordered choice modeling from a number of disciplines, synthesizing developments over the last fifty years, and suggests useful extensions to account for the wide range of sources of influence on choice.
Author : Lászlo Mátyás
Publisher : Springer Science & Business Media
ISBN 13 : 3540758925
Total Pages : 966 pages
Book Rating : 4.5/5 (47 download)
Download or read book The Econometrics of Panel Data written by Lászlo Mátyás and published by Springer Science & Business Media. This book was released on 2008-04-06 with total page 966 pages. Available in PDF, EPUB and Kindle. Book excerpt: This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128158603
Total Pages : 1011 pages
Book Rating : 4.1/5 (281 download)
Download or read book Panel Data Econometrics written by Mike Tsionas and published by Academic Press. This book was released on 2019-06-20 with total page 1011 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel Data Econometrics: Empirical Applications 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
Author : Cesar Perez Lopez
Publisher : Createspace Independent Publishing Platform
ISBN 13 : 9781495250675
Total Pages : 0 pages
Book Rating : 4.2/5 (56 download)
Download or read book ADVANCED ECONOMETRICS with STATA. Concepts and Exercises written by Cesar Perez Lopez and published by Createspace Independent Publishing Platform. This book was released on 2014-01-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers a wide typology of advanced econometric models including models of limited dependent variable, discrete choice, count, censored, truncated and sample selection. Also develop models of simultaneous equations, nonlinear models, multivariate time series models, models with panel and unit roots theory data and cointegrated models. In the last chapters the most typical problems of diagnosis are addressed to check in all econometric model, the analysis of variance and covariance, simple and multiple models, the linear model GLM general and mixed models. The development of practical exercises is performed using STATA software. The content of the book is as follows: Limited dependent variable models Discrete choice models Binary discrete choice models Multiple choice models Logit and Probit ordered models Count data models Censored models: the tobit model Sample selection: truncated models Correction the sample selection: heckman two-step estimation or heckit method Limited dependent variable models with STATA Multi-equational linear models. Simultaneous equations Multi-equational linear models. Structural form and simultaneous equations Multi-equational model in reduced form Structural model identification. Simultaneous equations. MCI estimation Simultaneous equations linear model estimation STATA and simultaneous linear equations models Multivariate time series models: VAR, VARX, VARMA and BVAR models. Cointegration Vector autoregressive VAR models VARMA models Cointegration in VAR models. Johansen test STATA and the VAR and VEC models. Causality and cointegration tests. Johansen test Econometrics panel data. Unit roots and cointegration in panel Panel data econometric models Fixed effects panel data models Random -effects panel data models Dynamic panel data models Logit and Probit panel data models Unit roots and cointegration of panel data STATA and panel data models Logit, Probit and Poisson models with panel data Dynamic panel models estimation. Arellano - bond methodology Non-linear models and systems. STATA and non- linear equations models Tests for diagnosis. Autocorrelation, heteroscedasticity, normality, multicollinearity and influence Conditional heteroscedasticity . ARCH and GARCH tests STATA and the multicollinearity, influence, autocorrelation and heteroscedasticity STATA and the multicolinearity, influence, autocorrelation, heteroscedasticity through menus Simple and multiple variance analysis and the simple and multiple covariance models . General lonear models GLM and mixed models STATA and the analysis of the variance-covariance, the GLM model and mixed models
Author : Pavel Čížek
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (931 download)
Download or read book Robust Estimation and Moment Selection in Dynamic Fixed-effects Panel Data Models written by Pavel Čížek and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anastasia Semykina
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.3/5 (129 download)
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:
