Analysis of Panel Data / Edition 2

Analysis of Panel Data / Edition 2

by Cheng Hsiao, Hsiao Cheng
     
 

View All Available Formats & Editions

ISBN-10: 0521818559

ISBN-13: 9780521818551

Pub. Date: 02/28/2003

Publisher: Cambridge University Press

A review of the basic econometric methods that have been used to analyze panel data--data collected by observing a number of individuals over a period of time--focuses on methods for improving the efficiency of the estimates.

Overview

A review of the basic econometric methods that have been used to analyze panel data--data collected by observing a number of individuals over a period of time--focuses on methods for improving the efficiency of the estimates.

Product Details

ISBN-13:
9780521818551
Publisher:
Cambridge University Press
Publication date:
02/28/2003
Series:
Econometric Society Monographs Series, #34
Edition description:
Revised Edition
Pages:
384
Product dimensions:
5.98(w) x 9.02(h) x 0.98(d)

Related Subjects

Table of Contents

Part I. Introduction: 1. Advantages of panel data; 2. Issues involved in utilizing panel data; 3. Outline of the monograph; Part II. Analysis of Covariance: 4. Introduction; 5. Analysis of covariance; 6. An example; Part III. Simple Regression with Variable Intercepts: 7. Introduction; 8. Fixed-effects models: least-squares dummy-variable approach; 9. Random-effects models: estimation of variance-components models; 10. Fixed effects or random effects; 11. Tests for misspecification; 12. Models with specific variables and both individual- and time-specific effects; 13. Heteroscedasticity; 14. Models with serially correlated errors; 15. Models with arbitrary error structure - Chamberlain - approach; Part IV. Dynamic Models with Variable Intercepts: 16. Introduction; 17. The covariance estimator; 18. Random-effects models; 19. An example - demand for natural gas; 20. Fixed effects models; 21. Estimation of dynamic models with arbitrary correlations in the residuals; 22. Fixed effects vector autoregressive models; Part V. Simultaneous-Equations Models: 23. Introduction; 24. Joint generalized-least squares estimation technique; 25. Estimation of structural equations; 26. Triangular system; Part VI. Variable-Coefficient Models: 27. Introduction; 28. Coefficients that vary over cross-sectional units; 29. Coefficients that vary over time and cross-sectional units; 30. Coefficients that evolve over time; 31. Coefficients that are functions of other exogenous variables; 32. A mixed fixed and random coefficients model; 33. Dynamic random coefficients models; 34. An example - liquidity constraints and firm investment expenditure; Part VII. Discrete Data: 35. Introduction; 36. Some discrete-response models; 37. The parametric approach to static models with heterogeneity; 38. The semiparametric approach to static models; 39. Dynamic models; Part VIII. Truncated and Censored Data: 40. Introduction; 41. Nonrandomly missing data; 42. Tobit models with random individual effects; 43. Fixed effects estimator; 44. An example: housing expenditure; 45. Dynamic Tobit models; Part IX. Incomplete Panel Data: 46. Estimating distributed lags in short panels; 47. Rotating or randomly missing data; 48. Pseudo panels (or repeated cross-sectional data); 49. Pooling of a single cross-section and a single time series; Part X. Miscellaneous Topics: 50. Simulation methods; 51. Panels with large N and T; 52. Unit root tests; 53. Data with multi-level structures; 54. Errors of measurement; 55. Modeling cross-sectional dependence; Part XI. A Summary View: 56. Introduction; 57. Benefits and limitations of panel data; 58. Efficiency of the estimates.

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >