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Econometric Analysis of Panel Data / Edition 3

Econometric Analysis of Panel Data / Edition 3

by Badi H. Baltagi, Baltagi Badi H.


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Product Details

ISBN-13: 9780470014561
Publisher: Wiley
Publication date: 06/10/2005
Edition description: REV
Pages: 314
Product dimensions: 6.57(w) x 9.74(h) x 0.57(d)

About the Author

Badi H. Baltagi is Distinguished Professor of Economics at Syracuse University.

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Table of Contents

Preface     xi
Introduction     1
Panel Data: Some Examples     1
Why Should We Use Panel Data? Their Benefits and Limitations     6
Note     11
The One-way Error Component Regression Model     13
Introduction     13
The Fixed Effects Model     14
The Random Effects Model     17
Maximum Likelihood Estimation     22
Prediction     23
Examples     24
Selected Applications     31
Computational Note     31
Notes     31
Problems     32
The Two-way Error Component Regression Model     35
Introduction     35
The Fixed Effects Model     35
The Random Effects Model     37
Maximum Likelihood Estimation     42
Prediction     44
Examples     45
Selected Applications     48
Notes     50
Problems     50
Test of Hypotheses with Panel Data     57
Tests for Poolability of the Data     57
Tests for Individual and Time Effects     63
Hausman's Specification Test     72
FurtherReading     81
Notes     82
Problems     82
Heteroskedasticity and Serial Correlation in the Error Component Model     87
Heteroskedasticity     87
Serial Correlation     92
Notes     112
Problems     113
Seemingly Unrelated Regressions with Error Components     115
The One-way Model     115
The Two-way Model     116
Applications and Extensions     117
Problems     119
Simultaneous Equations with Error Components     121
Single Equation Estimation     121
Empirical Example: Crime in North Carolina     124
System Estimation     130
The Hausman and Taylor Estimator     133
Empirical Example: Earnings Equation Using PSID Data     136
Further Reading and Extensions     140
Notes     141
Problems     142
Dynamic Panel Data Models     147
Introduction     147
The Arellano and Bond Estimator     149
The Arellano and Bover Estimator     155
The Ahn and Schmidt Moment Conditions     158
The Blundell and Bond System GMM Estimator      160
The Keane and Runkle Estimator     162
Further Developments     164
Empirical Examples     170
Further Reading     173
Notes     178
Problems     179
Unbalanced Panel Data Models     181
Introduction     181
The Unbalanced One-way Error Component Model     181
Empirical Example: Hedonic Housing     187
The Unbalanced Two-way Error Component Model     191
Testing for Individual and Time Effects Using Unbalanced Panel Data     193
The Unbalanced Nested Error Component Model     196
Notes     200
Problems     201
Special Topics     205
Measurement Error and Panel Data     205
Rotating Panels     208
Pseudo-panels     210
Alternative Methods of Pooling Time Series of Cross-Section Data     214
Spatial Panels     216
Short-run vs. Long-run Estimates in Pooled Models     219
Heterogeneous Panels     220
Count Panel Data     226
Notes     233
Problems     233
Limited Dependent Variables and Panel Data     237
Fixed and Random Logit and Probit Models      237
Simulation Estimation of Limited Dependent Variable Models with Panel Data     245
Dynamic Panel Data Limited Dependent Variable Models     246
Selection Bias in Panel Data     251
Censored and Truncated Panel Data Models     256
Empirical Applications     260
Empirical Example: Nurses Labor Supply     262
Further Reading     266
Notes     268
Problems     269
Nonstationary Panels     273
Introduction     273
Panel Unit Roots Tests Assuming Cross-sectional Independence     275
Panel Unit Roots Tests Allowing for Cross-sectional Dependence     284
Spurious Regression in Panel Data     287
Panel Cointegration Tests     292
Estimation and Inference in Panel Cointegration Models     298
Empirical Example: Purchasing Power Parity     301
Further Reading     303
Notes     308
Problems     308
References     311
Index     337

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From the Publisher

"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. Since it's first publication in 1995, it has quickly become a standard accompanying text in advanced econometrics courses around the world, and a major reference for researchers doing empirical work with longitudinal data."
—Professor Kajal Lahiri, State University of New York, Albany, USA.

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