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Econometric analysis of panel data

Author: Badi Hani Baltagi
Publisher: Chichester [u.a.] : Wiley, 2008.
Edition/Format:   Print book : English : 4. edView all editions and formats
Summary:

"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  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Badi Hani Baltagi
ISBN: 0470518863 9780470518861 9780470747872 0470747870
OCLC Number: 254600651
Description: XIII, 351 S. ; 25 cm
Contents: Preface xi 1 Introduction 1 1.1 Panel Data: Some Examples 1 1.2 Why Should We Use Panel Data? Their Benefits and Limitations 6 Note 11 2 The One-way Error Component Regression Model 13 2.1 Introduction 13 2.2 The Fixed Effects Model 14 2.3 The Random Effects Model 17 2.4 Maximum Likelihood Estimation 22 2.5 Prediction 23 2.6 Examples 24 2.7 Selected Applications 31 2.8 Computational Note 31 Notes 31 Problems 32 3 The Two-way Error Component Regression Model 35 3.1 Introduction 35 3.2 The Fixed Effects Model 35 3.3 The Random Effects Model 37 3.4 Maximum Likelihood Estimation 42 3.5 Prediction 44 3.6 Examples 45 3.7 Selected Applications 48 Notes 50 Problems 50 4 Test of Hypotheses with Panel Data 57 4.1 Tests for Poolability of the Data 57 4.2 Tests for Individual and Time Effects 63 4.3 Hausman's Specification Test 72 4.4 Further Reading 81 Notes 82 Problems 82 5 Heteroskedasticity and Serial Correlation in the Error Component Model 87 5.1 Heteroskedasticity 87 5.2 Serial Correlation 92 Notes 112 Problems 113 6 Seemingly Unrelated Regressions with Error Components 115 6.1 The One-way Model 115 6.2 The Two-way Model 116 6.3 Applications and Extensions 117 Problems 119 7 Simultaneous Equations with Error Components 121 7.1 Single Equation Estimation 121 7.2 Empirical Example: Crime in North Carolina 124 7.3 System Estimation 130 7.4 The Hausman and Taylor Estimator 133 7.5 Empirical Example: Earnings Equation Using PSID Data 136 7.6 Further Reading and Extensions 140 Notes 141 Problems 142 8 Dynamic Panel Data Models 147 8.1 Introduction 147 8.2 The Arellano and Bond Estimator 149 8.3 The Arellano and Bover Estimator 155 8.4 The Ahn and Schmidt Moment Conditions 158 8.5 The Blundell and Bond System GMM Estimator 160 8.6 The Keane and Runkle Estimator 162 8.7 Further Developments 164 8.8 Empirical Examples 170 8.9 Further Reading 173 Notes 178 Problems 179 9 Unbalanced Panel Data Models 181 9.1 Introduction 181 9.2 The Unbalanced One-way Error Component Model 181 9.3 Empirical Example: Hedonic Housing 187 9.4 The Unbalanced Two-way Error Component Model 191 9.5 Testing for Individual and Time Effects Using Unbalanced Panel Data 193 9.6 The Unbalanced Nested Error Component Model 196 Notes 200 Problems 201 10 Special Topics 205 10.1 Measurement Error and Panel Data 205 10.2 Rotating Panels 208 10.3 Pseudo-panels 210 10.4 Alternative Methods of Pooling Time Series of Cross-Section Data 214 10.5 Spatial Panels 216 10.6 Short-run vs. Long-run Estimates in Pooled Models 219 10.7 Heterogeneous Panels 220 10.8 Count Panel Data 226 Notes 233 Problems 233 11 Limited Dependent Variables and Panel Data 237 11.1 Fixed and Random Logit and Probit Models 237 11.2 Simulation Estimation of Limited Dependent Variable Models with Panel Data 245 11.3 Dynamic Panel Data Limited Dependent Variable Models 246 11.4 Selection Bias in Panel Data 251 11.5 Censored and Truncated Panel Data Models 256 11.6 Empirical Applications 260 11.7 Empirical Example: Nurses Labor Supply 262 11.8 Further Reading 266 Notes 268 Problems 269 12 Nonstationary Panels 273 12.1 Introduction 273 12.2 Panel Unit Roots Tests Assuming Cross-sectional Independence 275 12.3 Panel Unit Roots Tests Allowing for Cross-sectional Dependence 284 12.4 Spurious Regression in Panel Data 287 12.5 Panel Cointegration Tests 292 12.6 Estimation and Inference in Panel Cointegration Models 298 12.7 Empirical Example: Purchasing Power Parity 301 12.8 Further Reading 303 Notes 308 Problems 308 References 311 Index 337
Responsibility: Badi H. Baltagi.
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