Companion to Econometric Analysis of Panel Data

Informationen zum Autor Badi H. Baltagi is Distinguished Professor of Economics, and Senior Research Associate at the Center for Policy Research, Syracuse University. He is a fellow of the Journal of Econometrics, a recipient of the Multa and Plura Scripsit Awards from Econometric Theory, and the Journal of Applied Econometrics Distinguished Authors Award. Klappentext This book is a companion to Baltagi's (2008) leading graduate econometrics textbook on panel data entitled Econometric Analysis of Panel Data, 4th Edition. The book guides the student of panel data econometrics by solving exercises in a logical and pedagogical manner, helping the reader understand, learn and apply panel data methods. It is also a helpful tool for those who like to learn by solving exercises and running software to replicate empirical studies. It works as a complementary study guide to Baltagi (2008) and also as a stand alone book that builds up the reader's confidence in working out difficult exercises in panel data econometrics and applying these methods to empirical work. The exercises start by providing some background information on partitioned regressions and the Frisch-Waugh-Lovell theorem. Then it goes through the basic material on fixed and random effects models in a one-way and two-way error components models: basic estimation, test of hypotheses and prediction. This include maximum likelihood estimation, testing for poolability of the data, testing for the significance of individual and time effects, as well as Hausman's test for correlated effects. It also provides extensions of panel data techniques to serial correlation, spatial correlation, heteroskedasticity, seemingly unrelated regressions, simultaneous equations, dynamic panel models, incomplete panels, measurement error, count panels, rotating panels, limited dependent variables, and non-stationary panels. Zusammenfassung '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). Inhaltsverzeichnis Preface xi 1 Partitioned Regression and the Frisch-Waugh-Lovell Theorem 1 Exercises 1.1 Partitioned regression 1 1.2 The Frisch-Waugh-Lovell theorem 2 1.3 Residualing the constant 3 1.4 Adding a dummy variable for the ith observation 3 1.5 Computing forecasts and forecast standard errors 4 2 The One-way Error Component Model 9 2.1 The One-way Fixed Effects Model 9 Exercises 2.1 One-way fixed effects regression 10 2.2 OLS and GLS for fixed effects 11 2.3 Testing for fixed effects 12 2.2 The One-way Random Effects Model 12 Exercises 2.4 Variance-covariance matrix of the one-way random effects model 13

List of contents

Chapter 1 Partitioned regression and the Frisch-Waugh-Lovell theorem
 
Chapter 2 : The one-way error component model
 
Chapter 3 : The two-way error component model
 
Chapter 4 : Test of hypotheses using panel data
 
Chapter 5 : Heteroskedasticity and serial correlation
 
Chapter 6: Seemingly unrelated regressions with error components
 
Chapter 7: Simultaneous equations with error components
 
Chapter 8: Dynamic panels
 
Chapter 9: Unbalanced panels
 
Chapter 10: Special topics
 
Chapter 11: Limited dependent variables
 
Chapter 12: Nonstationary Panels
 
References

Product details

• Authors: Baltagi, Badi H Baltagi, Badi H. Baltagi, Baltagi Badi H.
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Paperback / Softback
• Released: 06.03.2009
• EAN: 9780470744031
• ISBN: 978-0-470-74403-1
• No. of pages: 308
• Subjects: Social sciences, law, business > Business > Economics; Volkswirtschaftslehre, Economics, Ökonometrie, Econometrics