ISBN-10:
1840649674
ISBN-13:
9781840649673
Pub. Date:
01/01/2003
Publisher:
Elgar, Edward Publishing, Inc.
Recent Developments in the Econometrics of Panel Data (The International Library of Critical Writings in Econometrics Series #9)

Recent Developments in the Econometrics of Panel Data (The International Library of Critical Writings in Econometrics Series #9)

by Badi H. BaltagiBadi H. Baltagi

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Overview

This two-volume set collects articles published between 1992 and 2000 that address theoretical and empirical ideas in the rapidly growing field of the econometrics of panel data. The 22 contributions in Volume I discuss dynamic panels and GMM, and heterogeneous and non-stationary panels. Volume II (23 contributions) covers limited dependent variables; non-linear, unbalanced, and pseudo panels; and specifications tests. There is no subject index. Edited by Badi H. Baltagi (economics, Texas A&M U.). Annotation (c)2003 Book News, Inc., Portland, OR

Product Details

ISBN-13: 9781840649673
Publisher: Elgar, Edward Publishing, Inc.
Publication date: 01/01/2003
Series: The International Library of Critical Writings in Econometrics Series , #9
Pages: 1120
Product dimensions: 6.88(w) x 9.50(h) x (d)

Table of Contents

Vol. 1
Acknowledgementsvii
Introductionix
Part IDynamic Panels and Gmm
1.'Efficient Estimation of Models for Dynamic Panel Data', Journal of Econometrics, 68, 5-27 (1995)3
2.'Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation', Journal of Econometrics, 76, 309-21 (1997)26
3.'Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data', Journal of Business and Economic Statistics, 17 (1), January, 36-49 (1999)39
4.'Another Look at the Instrumental Variable Estimation of Error-Components Models', Journal of Econometrics, 68, 29-51 (1995)53
5.'Initial Conditions and Moment Restrictions in Dynamic Panel Data Models', Journal of Econometics, 87, 115-43 (1998)76
6.'Parameters of Interest, Nuisance Parameters and Orthogonality Conditions: An Application to Autoregressive Error Component Models', Journal of Econometrics, 82, 135-56 (1997)105
7.'How Informative is the Initial Condition in the Dynamic Panel Model with Fixed Effects?', Journal of Econometrics, 93, 309-26 (1999)127
8.'On Bias, Inconsistency, and Efficiency of Various Estimators in Dynamic Panel Data Models', Journal of Econometrics, 68, 53-78 (1995)145
9.'GMM Estimation in Panel Data Models with Measurement Error', Journal of Econometrics, 104, 259-68 (2001)171
10.'Efficient Estimation with Panel Data when Instruments are Predetermined: An Empirical Comparison of Moment-Condition Estimators', Journal of Business and Economic Statistics, 15 (4), October, 419-31 (1997)181
Part IIHeterogeneous Panels
11.'Pooled Estimators vs. their Heterogeneous Counterparts in the Context of Dynamic Demand for Gasoline', Journal of Econometrics, 77, 303-27 (1997)197
12.'A Panel Analysis of Liquidity Constraints and Firm Investment', Journal of the American Statistical Association, 92 (438), June, 455-65 (1997)222
13.'Estimation of Short-Run and Long-Run Elasticities of Energy Demand from Panel Data Using Shrinkage Estimators', Journal of Business and Economic Statistics, 15 (1), January, 90-100 (1997)233
14.'Estimating Long-Run Relationships from Dynamic Heterogeneous Panels', Journal of Econometrics, 68, 79-113 (1995)244
Part IIINon-Stationary Panels
15.'Testing for Stationarity in Heterogeneous Panel Data', Econometrics Journal, 3 (2), 148-61 (2000)281
16.'Inference for Unit Roots in Dynamic Panels Where the Time Dimension is Fixed', Journal of Econometrics, 91, 201-26 (1999)295
17.'Spurious Regression and Residual-Based Tests for Cointegration in Panel Data', Journal of Econometrics, 90, 1-44 (1999)321
18.'A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test', Oxford Bulletin of Economics and Statistics, 61, Special Issue, 631-52 (1999)365
19.'Maximum Likelihood Estimation in Panels with Incidental Trends', Oxford Bulletin of Economics and Statistics, 61, Special Issue, 711-47 (1999)387
20.'Fully Modified OLS for Heterogeneous Cointegrated Panels', in Badi H. Baltagi (ed.), Advances in Econometrics, Volume 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, New York: JAI Press/Elsevier Science, 93-130 (2000)424
21.'Pooled Mean Group Estimation of Dynamic Heterogeneous Panels', Journal of the American Statistical Association, 94 (446), June, 621-34 (1999)462
22.'Linear Regression Limit Theory for Nonstationary Panel Data', Econometrica, 67 (5), September, 1057-111 (1999)476
Name Index531
Vol. 2
Acknowledgementsvii
An introduction by the editors to both volumes appears in Volume 1
Part ILimited Dependent Variables
1.'Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects', Econometrica, 60 (3), May, 533-65 (1992)3
2.'Panel Data Discrete Choice Models with Lagged Dependent Variables', Econometrica, 68 (4), July, 839-74 (2000)36
3.'A Computationally Practical Simulation Estimator for Panel Data', Econometrica, 62 (1), January, 95-116 (1994)72
4.'Estimation of a Panel Data Sample Selection Model', Econometrica, 65 (6), November, 1335-64 (1997)94
5.'Some Specification Tests for Probit Models Estimated on Pane Data', Journal of Business and Economic Statistics, 13 (4), October, 475-88 (1995)124
6.'A Root-N Consistent Semiparametric Estimator for Related-Effect Binary Response Panel Data', Econometrica, 67 (2), March, 427-33 (1999)138
7.'Two-step Estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias', Journal of Econometrics, 90, 239-63 (1999)145
8.'Selection Corrections for Panel Data Models under Conditional Mean Independence Assumptions', Journal of Econometrics, 68, 115-32 (1995)170
Part IINon-Linear Panel Models
9.'Leapfrog Estimation of a Fixed-Effects Model with Unknown Transformation of the Dependent Variable', Journal of Econometrics, 93, 203-28 (1999)191
10.'Distribution-free Estimation of Some Nonlinear Panel Data Models', Journal of Econometrics, 90, 77-97 (1999)217
Part IIIUnbalanced Panels
11.'Nested Random Effects Estimation in Unbalanced Panel Data', Journal of Econometrics, 101, 295-313 (2001)241
12.'Unequally Spaced Panel Data Regressions with AR (1) Disturbances', Econometric Theory, 15, 814-23 (1999)260
13.'The Unbalanced Nested Error Component Regression Model', Journal of Econometrics, 101, 357-81 (2001)270
14.'Estimating Multi-way Error Components Models with Unbalanced Data Structures', Journal of Econometrics, 106 (1), 67-95 (2002)295
Part IVPseudo-Panels
15.'Estimating Dynamic Models from Time Series of Independent Cross-Sections', Journal of Econometrics, 82, 37-62 (1997)327
16.'A Quasi-Differencing Approach to Dynamic Modelling from a Time Series of Independent Cross-Sections', Journal of Econometrics, 98, 365-83 (2000)353
17.'Estimation of AR(1) Models with Unequally Spaced Pseudo-Panels', Econometrics Journal, 4 (1), 89-108 (2001)372
18.'Identification and Estimation of Dynamic Models with a Time Series of Repeated Cross-Sections', Journal of Econometrics, 59, 99-123 (1993)392
Part VSpecification Tests in Panels
19.'A Nonparametric Test for Poolability Using Panel Data', Journal of Econometrics, 75, 345-67 (1996)419
20.'Testing AR(1) against MA(1) Disturbances in an Error Component Model, Journal of Econometrics, 68, 133-51 (1995)442
21.'Tests for the Error Component Model in the Presence of Local Misspecification', Journal of Econometrics, 101, 1-23 (2001)461
22.'Testing Serial Correlation in Semiparametric Panel Data Models', Journal of Econometrics, 87, 207-37 (1998)484
23.'Specification Testing in Panel Data with Instrumental Variables', Journal of Econometrics, 71, 291-307 (1996)515
Name Index533

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