Estimation Of Structural Parameters And Marginal Effects In Binary Choice Panel Data Models With Fixed Effects

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Estimation of Structural Parameters and Marginal Effects in Binary Choice Panel Data Models with Fixed Effects

Author : Iván Fernández-Val
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Estimation of Structural Parameters and Marginal Effects in Binary Choice Panel Data Models with Fixed Effects by : Iván Fernández-Val

Download or read book Estimation of Structural Parameters and Marginal Effects in Binary Choice Panel Data Models with Fixed Effects written by Iván Fernández-Val and published by . This book was released on 2005 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed effects estimators of nonlinear panel models can be severely biased due to the incidental parameters problem. In this paper I find that the most important component of this incidental parameters bias for probit fixed effects estimators of index coefficients is proportional to the true value of these coefficients, using a large-T expansion of the bias. This result allows me to derive a lower bound for this bias, and to show that fixed effects estimates of ratios of coefficients and average marginal effects have zero bias in the absence of heterogeneity and have negligible bias relative to their true values for a wide variety of distributions of regressors and individual effects. Numerical examples suggest that this small bias property also holds for logit and linear probability models, and for exogenous variables in dynamic binary choice models. An empirical analysis of female labor force participation using data from the PSID shows that whereas the significant biases in fixed effects estimates of index coefficients do not contaminate the estimates of marginal effects in static models, estimates of both index coefficients and marginal effects can be severely biased in dynamic models. Improved bias corrected estimators for index coefficients and marginal effects are also proposed for both static and dynamic models.

Econometric Analysis of Panel Data

Author : Badi H. Baltagi
Publisher : Springer Nature
ISBN 13 : 3030539539
Total Pages : 436 pages
Book Rating : 4.0/5 (35 download)

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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 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.

The Oxford Handbook of Panel Data

Author : Badi Hani Baltagi
Publisher :
ISBN 13 : 0199940045
Total Pages : 705 pages
Book Rating : 4.1/5 (999 download)

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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.

Complex Systems in Finance and Econometrics

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Econometrics

Author : Badi H. Baltagi
Publisher : Springer Nature
ISBN 13 : 3030801497
Total Pages : 496 pages
Book Rating : 4.0/5 (38 download)

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Book Synopsis Econometrics by : Badi H. Baltagi

Download or read book Econometrics written by Badi H. Baltagi and published by Springer Nature. This book was released on 2022-01-27 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook teaches some of the basic econometric methods and the underlying assumptions behind them. It also includes a simple and concise treatment of more advanced topics in spatial correlation, panel data, limited dependent variables, regression diagnostics, specification testing and time series analysis. Each chapter has a set of theoretical exercises as well as empirical illustrations using real economic applications. These empirical exercises usually replicate a published article using Stata, Eviews as well as SAS. This new sixth edition has been fully revised and updated, and includes new material on limited dependent variables and panel data as well as revision of basic topics like heteroskedasticity, endogeneity, over-identification and specification testing. The author also provides more exercises and empirical examples based on published economic applications.

When Things Fell Apart

Author : Robert H. Bates
Publisher : Cambridge University Press
ISBN 13 : 110756980X
Total Pages : 209 pages
Book Rating : 4.1/5 (75 download)

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Book Synopsis When Things Fell Apart by : Robert H. Bates

Download or read book When Things Fell Apart written by Robert H. Bates and published by Cambridge University Press. This book was released on 2015-09-29 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explores Africa in the late twentieth century, focusing on the logic of political order and the foundations of the state.

Trends and Challenges in Categorical Data Analysis

Author : Maria Kateri
Publisher : Springer Nature
ISBN 13 : 3031311868
Total Pages : 323 pages
Book Rating : 4.0/5 (313 download)

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Book Synopsis Trends and Challenges in Categorical Data Analysis by : Maria Kateri

Download or read book Trends and Challenges in Categorical Data Analysis written by Maria Kateri and published by Springer Nature. This book was released on 2023-07-08 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a selection of modern and sophisticated methodologies for the analysis of large and complex univariate and multivariate categorical data. It gives an overview of a substantive and broad collection of topics in the analysis of categorical data, including association, marginal and graphical models, time series and fixed effects models, as well as modern methods of estimation such as regularization, Bayesian estimation and bias reduction methods, along with new simple measures for model interpretability. Methodological innovations and developments are illustrated and explained through real-world applications, together with useful R packages, allowing readers to replicate most of the analyses using the provided code. The applications span a variety of disciplines, including education, psychology, health, economics, and social sciences.

Heterogeneity and Dynamics in Individual Wages and Labour Market Histories.

Author :
Publisher : Univ Santiago de Compostela
ISBN 13 :
Total Pages : 231 pages
Book Rating : 4./5 ( download)

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Book Synopsis Heterogeneity and Dynamics in Individual Wages and Labour Market Histories. by :

Download or read book Heterogeneity and Dynamics in Individual Wages and Labour Market Histories. written by and published by Univ Santiago de Compostela. This book was released on with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Choice Modelling

Author : Stephane Hess
Publisher : Edward Elgar Publishing
ISBN 13 : 1781003157
Total Pages : 721 pages
Book Rating : 4.7/5 (81 download)

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Book Synopsis Handbook of Choice Modelling by : Stephane Hess

Download or read book Handbook of Choice Modelling written by Stephane Hess and published by Edward Elgar Publishing. This book was released on 2014-08-29 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Choice Modelling, composed of contributions from senior figures in the field, summarizes the essential analytical techniques and discusses the key current research issues. The book opens with Nobel Laureate Daniel McFadden calling for d

Panel Methods for Finance

Author : Marno Verbeek
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110660814
Total Pages : 284 pages
Book Rating : 4.1/5 (16 download)

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Book Synopsis Panel Methods for Finance by : Marno Verbeek

Download or read book Panel Methods for Finance written by Marno Verbeek and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-10-25 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial data are typically characterised by a time-series and cross-sectional dimension. 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, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences. Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications by Marno Verbeek offers the reader: Focus on panel methods where the time dimension is relatively small A clear and intuitive exposition, with a focus on implementation and practical relevance Concise presentation, with many references to financial applications and other sources Focus on techniques that are relevant for and popular in empirical work in finance and accounting Critical discussion of key assumptions, robustness, and other issues related to practical implementation

Advances in Economics and Econometrics

Author : Econometric Society. World Congress
Publisher :
ISBN 13 :
Total Pages : 452 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Advances in Economics and Econometrics by : Econometric Society. World Congress

Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by . This book was released on 2006-08-14 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher description

CCE Estimation of High-dimensional Panel Data Models with Interactive Fixed Effects

Author : Michael Vogt
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (136 download)

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Book Synopsis CCE Estimation of High-dimensional Panel Data Models with Interactive Fixed Effects by : Michael Vogt

Download or read book CCE Estimation of High-dimensional Panel Data Models with Interactive Fixed Effects written by Michael Vogt and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Econometrics of Panel Data

Author : Lászlo Mátyás
Publisher : Springer Science & Business Media
ISBN 13 : 3540758925
Total Pages : 966 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis The Econometrics of Panel Data by : Lászlo Mátyás

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.

A Companion to Theoretical Econometrics

Author : Badi H. Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 047099830X
Total Pages : 736 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis A Companion to Theoretical Econometrics by : Badi H. Baltagi

Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.

Estimation of Structural Models Using Experimental Data From the Lab and the Field

Author : Charles Bellemare
Publisher : Cambridge University Press
ISBN 13 : 1009362658
Total Pages : 139 pages
Book Rating : 4.0/5 (93 download)

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Book Synopsis Estimation of Structural Models Using Experimental Data From the Lab and the Field by : Charles Bellemare

Download or read book Estimation of Structural Models Using Experimental Data From the Lab and the Field written by Charles Bellemare and published by Cambridge University Press. This book was released on 2023-02-09 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral economics provides a rich set of explicit models of non-classical preferences and belief formation which can be used to estimate structural models of decision making. At the same time, experimental approaches allow the researcher to exogenously vary components of the decision making environment. The synergies between behavioral and experimental economics provide a natural setting for the estimation of structural models. This Element will cover examples supporting the following arguments 1) Experimental data allows the researcher to estimate structural models under weaker assumptions and can simplify their estimation, 2) many popular models in behavioral economics can be estimated without any programming skills using existing software, 3) experimental methods are useful to validate structural models. This Element aims to facilitate adoption of structural modelling by providing Stata codes to replicate some of the empirical illustrations that are presented. Examples covered include estimation of outcome-based preferences, belief-dependent preferences and risk preferences.

Using R for Principles of Econometrics

Author : Constantin Colonescu
Publisher : Lulu.com
ISBN 13 : 1387473611
Total Pages : 278 pages
Book Rating : 4.3/5 (874 download)

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Book Synopsis Using R for Principles of Econometrics by : Constantin Colonescu

Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.

Modeling Ordered Choices

Author : William H. Greene
Publisher : Cambridge University Press
ISBN 13 : 1139485954
Total Pages : 383 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Modeling Ordered Choices by : William H. Greene

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.