The Econometrics Of Panel Data

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Panel Data Econometrics

Author : Manuel Arellano
Publisher : OUP Oxford
ISBN 13 : 0191529672
Total Pages : 244 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis Panel Data Econometrics by : Manuel Arellano

Download or read book Panel Data Econometrics written by Manuel Arellano and published by OUP Oxford. This book was released on 2003-06-26 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling. The book combines methods and applications, so will appeal to both the academic and practitioner markets. The book is divided in four parts. Part I concerns static models, and deals with the problem of unobserved heterogeneity and how the availability of panel data helps to solve it, error component models, and error in variables in panel data. Part II looks at time series models with error components. Its chapters deal with the problem of distinguishing between unobserved heterogeneity and individual dynamics in short panels, modelling strategies of time effects, moving average models, inference from covariance structures, the specification and estimation of autoregressive models with heterogeneous intercepts, and the impact of assumptions about initial conditions and heteroskedacity on estimation. Part III examines dynamics and predeterminedness. Its two chapters consider alternative approaches to estimation from small and large T perspectives, looking at models with both strictly exogenous and lagged dependent variables allowing for autocorrelation of unknown form, models in which the errors are mean independent of current and lagged values of certain conditioning variables but not with their future values. Together Parts II and III provide a synthesis, and unified perspective, of a vast literature that has had a significant impact on recent econometric practice. Part IV reviews the main results in the theory of generalized method of moments estimation and optimal instrumental variables.

Econometric Analysis of Cross Section and Panel Data, second edition

Author : Jeffrey M. Wooldridge
Publisher : MIT Press
ISBN 13 : 0262232588
Total Pages : 1095 pages
Book Rating : 4.2/5 (622 download)

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Book Synopsis Econometric Analysis of Cross Section and Panel Data, second edition by : Jeffrey M. Wooldridge

Download or read book Econometric Analysis of Cross Section and Panel Data, second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

Econometric Analysis of Panel Data

Author : Badi Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 0470518863
Total Pages : 239 pages
Book Rating : 4.4/5 (75 download)

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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.

Panel Data Econometrics

Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128144319
Total Pages : 432 pages
Book Rating : 4.1/5 (281 download)

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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

Panel Data Econometrics with R

Author : Yves Croissant
Publisher : John Wiley & Sons
ISBN 13 : 1118949188
Total Pages : 328 pages
Book Rating : 4.1/5 (189 download)

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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.

Econometrics of Panel Data

Author : Erik Biørn
Publisher : Oxford University Press
ISBN 13 : 0198753446
Total Pages : 417 pages
Book Rating : 4.1/5 (987 download)

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Book Synopsis Econometrics of Panel Data by : Erik Biørn

Download or read book Econometrics of Panel Data written by Erik Biørn and published by Oxford University Press. This book was released on 2016-10-27 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: A graduate text on panel data that takes the reader gradually from simple models and methods in scalar (simple vector) notation to more complex models in matrix notation.

Panel Data Econometrics

Author : Donggyu Sul
Publisher : Routledge
ISBN 13 : 0429752970
Total Pages : 143 pages
Book Rating : 4.4/5 (297 download)

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Book Synopsis Panel Data Econometrics by : Donggyu Sul

Download or read book Panel Data Econometrics written by Donggyu Sul and published by Routledge. This book was released on 2019-02-07 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel data. Aimed at applied researchers who want to learn about panel data econometrics by running statistical software, this book provides clear guidance and is supported by a full range of online teaching and learning materials. It includes practice sections on MATLAB, STATA, and GAUSS throughout, along with short and simple econometric theories on basic panel regressions for those who are unfamiliar with econometric theory on traditional panel regressions.

Econometric Analysis of Panel Data

Author : Badi H. Baltagi
Publisher : Wiley
ISBN 13 : 0470016906
Total Pages : 314 pages
Book Rating : 4.4/5 (7 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 Wiley. This book was released on 2005-09-27 with total page 314 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.

Time Series and Panel Data Econometrics

Author : M. Hashem Pesaran
Publisher : Oxford University Press, USA
ISBN 13 : 0198759983
Total Pages : 1095 pages
Book Rating : 4.1/5 (987 download)

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Book Synopsis Time Series and Panel Data Econometrics by : M. Hashem Pesaran

Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press, USA. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

A Companion to Econometric Analysis of Panel Data

Author : Badi H. Baltagi
Publisher : John Wiley & Sons
ISBN 13 : 0470744030
Total Pages : 322 pages
Book Rating : 4.4/5 (77 download)

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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).

The Econometrics of Panel Data

Author : László Mátyás
Publisher : Springer Science & Business Media
ISBN 13 : 9400901372
Total Pages : 944 pages
Book Rating : 4.4/5 (9 download)

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Book Synopsis The Econometrics of Panel Data by : László Mátyás

Download or read book The Econometrics of Panel Data written by László Mátyás and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 944 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross sections and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and pro bit models, latent variable models, duration and count data models, incomplete panels and selectivity bias, point processes, and simulation techniques.

The Oxford Handbook of Panel Data

Author : Badi Hani Baltagi
Publisher : Oxford Handbooks
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 Oxford Handbooks. This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: Panel data econometrics has evolved rapidly over the past three decades. The field is of both theoretical and practical importance, and methods to deal with micro- and macroeconomic panel data are in high demand from practitioners. Applications in finance, development, trade, marketing, health, labor, and consumer economics attest to the usefulness of these methods in applied economics. THis book is a comprehensive source on panel data. It contains 20 chapters edited by Professor Badi Baltagi--one of the leading econometricians in the area of panel data econometrics--and authored by renowned experts in the field. The chapters are divided into two sections. Part I examines new developments in theory. It includes panel cointegration, dynamic panel data models, incidental parameters and dynamic panel modeling, and panel data models for discrete choice. The chapters in Part II target applications of panel data, including health, labor, marketing, trade, productivity and macro applications in panels.

Panel Data Econometrics

Author : Mike Tsionas
Publisher : Academic Press
ISBN 13 : 0128158603
Total Pages : 1011 pages
Book Rating : 4.1/5 (281 download)

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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 2019-06-20 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

The Econometrics of Multi-dimensional Panels

Author : Laszlo Matyas
Publisher : Springer
ISBN 13 : 3319607839
Total Pages : 456 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis The Econometrics of Multi-dimensional Panels by : Laszlo Matyas

Download or read book The Econometrics of Multi-dimensional Panels written by Laszlo Matyas and published by Springer. This book was released on 2017-07-26 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the econometric foundations and applications of multi-dimensional panels, including modern methods of big data analysis. The last two decades or so, the use of panel data has become a standard in many areas of economic analysis. The available models formulations became more complex, the estimation and hypothesis testing methods more sophisticated. The interaction between economics and econometrics resulted in a huge publication output, deepening and widening immensely our knowledge and understanding in both. The traditional panel data, by nature, are two-dimensional. Lately, however, as part of the big data revolution, there has been a rapid emergence of three, four and even higher dimensional panel data sets. These have started to be used to study the flow of goods, capital, and services, but also some other economic phenomena that can be better understood in higher dimensions. Oddly, applications rushed ahead of theory in this field. This book is aimed at filling this widening gap. The first theoretical part of the volume is providing the econometric foundations to deal with these new high-dimensional panel data sets. It not only synthesizes our current knowledge, but mostly, presents new research results. The second empirical part of the book provides insight into the most relevant applications in this area. These chapters are a mixture of surveys and new results, always focusing on the econometric problems and feasible solutions.

Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes

Author : Feng Qu
Publisher : World Scientific
ISBN 13 : 9811220794
Total Pages : 167 pages
Book Rating : 4.8/5 (112 download)

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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.

Econometrics in Theory and Practice

Author : Panchanan Das
Publisher : Springer Nature
ISBN 13 : 9813290196
Total Pages : 565 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis Econometrics in Theory and Practice by : Panchanan Das

Download or read book Econometrics in Theory and Practice written by Panchanan Das and published by Springer Nature. This book was released on 2019-09-05 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.

The Econometric Analysis of Non-Stationary Spatial Panel Data

Author : Michael Beenstock
Publisher : Springer
ISBN 13 : 3030036146
Total Pages : 280 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis The Econometric Analysis of Non-Stationary Spatial Panel Data by : Michael Beenstock

Download or read book The Econometric Analysis of Non-Stationary Spatial Panel Data written by Michael Beenstock and published by Springer. This book was released on 2019-03-27 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.