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Panel Data Econometrics

Panel Data Econometrics
  • Author : Mike Tsionas
  • Publisher :Unknown
  • Release Date :2019-06-20
  • Total pages :1011
  • ISBN : 9780128158609
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Summary : Panel Data Econometrics: Empirical Applications introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts

Panel Data Econometrics with R

Panel Data Econometrics with R
  • Author : Yves Croissant,Giovanni Millo
  • Publisher :Unknown
  • Release Date :2018-10-22
  • Total pages :328
  • ISBN : 9781118949160
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Summary : 1 Introduction 5 1.1 Panel data econometrics: a gentle introduction 5 1.1.1 Eliminating unobserved components 6 1.2 R for econometric computing 11 1.2.1 The modus operandi of R 12 1.2.2 Data management 13 1.3 plm for the casual R user 14 1.3.1 R for the matrix language user 14 1.3.2 R for the user of econometric packages 16 1.4 plm for the procient R user 18 1.4.1 Reproducibile econometric work 18 1.4.2 Object-orientation for the user 19 1.5 plm for the R developer 20 1.5.1 Object orientation for development 21 1.6 Notations 24 2 The error component model 31 2.1 Notations and hypotheses 31 2.1.1 Notations 31 2.1.2 Some useful transformations 32 2.1.3 Hypotheses concerning the errors 34 2.2 Ordinary least squares estimators 36 2.2.1 Ordinary least squares on the raw data: the pooling model 36 2.2.2 The between estimator 38 2.2.3 The within estimator 39 2.3 The generalized least squares estimator 44 2.3.1 Presentation of the gls estimator 44 2.3.2 Estimation of the variances of the components of the error 46 2.4 Comparison of the estimators 51 2.4.1 Relations between the estimators 51 2.4.2 Comparison of the variances 52 2.4.3 Fixed vs random eects 53 2.4.4 Some simple linear model examples 55 2.5 The two-ways error components model 60 2.5.1 Error components in the two-ways model 60 2.5.2 Fixed and random eects models 61 2.6 Estimation of a wage equation 62 3 Advanced error components models 67 3.1 Unbalanced panels 67 3.1.1 Individual eects model 67 3.1.2 Two-ways error component model 69 3.1.3 Estimation of the components of the error variance 73 3.2 Seemingly unrelated regression equations 80 3.2.1 Introduction 80 3.2.2 Constrained least squares 81 3.2.3 Inter-equations correlation 82 3.2.4 SUR with panel data 83 3.3 The maximum likelihood estimator 88 3.3.1 Derivation of the likelihood function 89 3.3.2 Computation of the estimator 90 3.4 The nested error components model 92 3.4.1 Presentation of the model 92 3.4.2 Estimation of the variance of the error components 93 4 Tests on error component models 101 4.1 Tests on individual and/of time eects 102 4.1.1 F tests 102 4.1.2 Breusch-Pagan tests 102 4.2 Tests for correlated eects 107 4.2.1 The Mundlak approach 108 4.2.2 Hausman's test 109 4.2.3 Chamberlain's approach 110 4.3 Tests for serial correlation 115 4.3.1 Unobserved eects test 116 4.3.2 Score test of serial correlation and/or individual eects 117 4.3.3 Likelihood Ratio tests for ar(1) and individual eects 120 4.3.4 Applying traditional serial correlation tests to panel data 122 4.3.5 Wald tests for serial correlation 124 4.4 Tests for cross-sectional dependence 126 4.4.1 Pairwise correlation coe-cients 126 4.4.2 cd -type tests for cross-sectional dependence 127 4.4.3 Testing cross-sectional dependence in a pseries 129 5 Robust inference and estimation 133 5.1 Robust inference 133 5.1.1 Robust covariance estimators 134 5.1.2 plm and generic sandwich estimators 145 5.1.3 Robust testing of linear hypotheses 150 5.2 Unrestricted generalized least squares 154 5.2.1 General feasible generalized least squares 155 5.2.2 Applied examples 160 6 Endogeneity 167 6.1 Introduction 167 6.2 The instrumental variables estimator 168 6.2.1 Generalities about the instrumental variables estimator 168 6.2.2 The within instrumental variables estimator 170 6.3 Error components instrumental variables estimator 173 6.3.1 The general model 173 6.3.2 Special cases of the general model 176 6.4 Estimation of a system of equations 186 6.4.1 The three stage least squares estimator 186 6.4.2 The error components three stage least squares estimator 188 6.5 More empirical examples 191 7 Estimation of a dynamic model 193 7.1 Dynamic model and endogeneity 195 7.1.1 The bias of the ols estimator 195 7.1.2 The within estimator 197 7.1.3 Consistent estimation methods for dynamic models 198 7.2 gmm estimation of the dierenced model 201 7.2.1 Instrumental variables

The Econometrics of Panel Data

The Econometrics of Panel Data
  • Author : Lászlo Mátyás,Patrick Sevestre
  • Publisher :Unknown
  • Release Date :2008-04-06
  • Total pages :950
  • ISBN : 9783540758921
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Summary : This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.

Panel Data Econometrics

Panel Data Econometrics
  • Author : Manuel Arellano
  • Publisher :Unknown
  • Release Date :2003
  • Total pages :231
  • ISBN : 9780199245284
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Summary : Written by one of the world's leading experts on dynamic panel data reviews, this volume reviews most of the important topics in the subject. It deals with static models, dynamic models, discrete choice and related models.

Panel Data Econometrics

Panel Data Econometrics
  • Author : Mike Tsionas
  • Publisher :Unknown
  • Release Date :2019-06-19
  • Total pages :432
  • ISBN : 9780128144312
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Summary : Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts

Panel Data Econometrics

Panel Data Econometrics
  • Author : Donggyu Sul
  • Publisher :Unknown
  • Release Date :2019-02-07
  • Total pages :150
  • ISBN : 9780429752988
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Summary : In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel data. Aimed at applied researchers who want to learn about panel data econometrics by running statistical software, this book provides clear guidance and is supported by a full range of online teaching and learning materials. It includes practice sections on MATLAB, STATA, and GAUSS throughout, along with short and simple econometric theories on basic panel regressions for those who are unfamiliar with econometric theory on traditional panel regressions.

Econometric Analysis of Cross Section and Panel Data

Econometric Analysis of Cross Section and Panel Data
  • Author : Jeffrey M. Wooldridge
  • Publisher :Unknown
  • Release Date :2010-10
  • Total pages :1064
  • ISBN : 9780262232586
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Summary : This is the essential companion to Jeffrey Wooldridge's widely-used graduate text Econometric Analysis of Cross Section and Panel Data (MIT Press, 2001). Already established as a leading graduate econometrics text, the book offers an intuitive yet rigorous treatment of two methods used in econometric research, cross section and panel data techniques. The numerous end-of-chapter problems are an important component of the book, encouraging the student to use the analytical tools presented in the text. This manual contains answers to selected problems, new examples, and supplementary materials designed by the author. Users of the textbook will find the manual a necessary adjunct to the book.

Time Series and Panel Data Econometrics

Time Series and Panel Data Econometrics
  • Author : M. Hashem Pesaran
  • Publisher :Unknown
  • Release Date :2015-08-24
  • Total pages :1064
  • ISBN : 9780198736912
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Summary : This work describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.

The Oxford Handbook of Panel Data

The Oxford Handbook of Panel Data
  • Author : Badi Hani Baltagi
  • Publisher :Unknown
  • Release Date :2015
  • Total pages :683
  • ISBN : 9780199940042
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Summary : Panel data econometrics has evolved rapidly over the past three decades. The field is of both theoretical and practical importance, and methods to deal with micro- and macroeconomic panel data are in high demand from practitioners. Applications in finance, development, trade, marketing, health, labor, and consumer economics attest to the usefulness of these methods in applied economics. THis book is a comprehensive source on panel data. It contains 20 chapters edited by Professor Badi Baltagi--one of the leading econometricians in the area of panel data econometrics--and authored by renowned experts in the field. The chapters are divided into two sections. Part I examines new developments in theory. It includes panel cointegration, dynamic panel data models, incidental parameters and dynamic panel modeling, and panel data models for discrete choice. The chapters in Part II target applications of panel data, including health, labor, marketing, trade, productivity and macro applications in panels.

Panel Data Econometrics

Panel Data Econometrics
  • Author : Badi H. Baltagi
  • Publisher :Unknown
  • Release Date :2006-04-01
  • Total pages :400
  • ISBN : 9780444521729
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Summary : This volume includes some of the papers presented at the 11th International Conference on Panel Data, Texas, June 2004, and other solicited papers that passed the refereeing process and includes such topics as dynamic panel data estimation, non-linear panel data methods and the phenomenal growth in non-stationary panel data econometrics.

Econometric Analysis of Panel Data

Econometric Analysis of Panel Data
  • Author : Badi H. Baltagi
  • Publisher :Unknown
  • Release Date :2005-07-18
  • Total pages :302
  • ISBN : IND:30000101586828
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Summary : Econometric Analysis of Panel Data has become established as one of the leading textbooks for students of panel data.

Panel Data Econometrics

Panel Data Econometrics
  • Author : Myoung-jae Lee
  • Publisher :Unknown
  • Release Date :2002
  • Total pages :195
  • ISBN : 0124406564
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Summary : Disk contains: Four data sets -- Ten GAUSS programs for empirical examples in text.

Exam Prep for: Panel Data Econometrics

Exam Prep for: Panel Data Econometrics
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2021
  • Total pages :229
  • ISBN : 1230987654XX
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Summary :

Exam Prep for: Panel Data Econometrics; Common Factor ...

Exam Prep for: Panel Data Econometrics; Common Factor ...
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2021
  • Total pages :229
  • ISBN : 1230987654XX
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Summary :

Essays in Panel Data Econometrics

Essays in Panel Data Econometrics
  • Author : Marc Nerlove
  • Publisher :Unknown
  • Release Date :2005-11-10
  • Total pages :384
  • ISBN : 0521022460
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Summary : Seven previously published, classic essays, and a cogent new essay on the history of the subject.

Exam Prep for: Panel Data Econometrics With R

Exam Prep for: Panel Data Econometrics With R
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2021
  • Total pages :229
  • ISBN : 1230987654XX
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Summary :

The Econometrics of Panel Data

The Econometrics of Panel Data
  • Author : László Mátyás,Patrick Sevestre
  • Publisher :Unknown
  • Release Date :2013-12-01
  • Total pages :948
  • ISBN : 9789400901377
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Summary : The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross sections and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and pro bit models, latent variable models, duration and count data models, incomplete panels and selectivity bias, point processes, and simulation techniques.

Exam Prep for: Time Series and Panel Data Econometrics

Exam Prep for: Time Series and Panel Data Econometrics
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2021
  • Total pages :229
  • ISBN : 1230987654XX
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Summary :

Econometrics of Panel Data

Econometrics of Panel Data
  • Author : Erik Biørn
  • Publisher :Unknown
  • Release Date :2016-10-27
  • Total pages :398
  • ISBN : 9780198753445
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Summary : Panel data is a data type increasingly used in research in economics, social sciences, and medicine. Its primary characteristic is that the data variation goes jointly over space (across individuals, firms, countries, etc.) and time (over years, months, etc.). Panel data allow examination of problems that cannot be handled by cross-section data or time-series data. Panel data analysis is a core field in modern econometrics and multivariate statistics, and studies based on such data occupy a growing part of the field in many other disciplines. The book is intended as a text for master and advanced undergraduate courses. It may also be useful for PhD-students writing theses in empirical and applied economics and readers conducting empirical work on their own. The book attempts to take the reader gradually from simple models and methods in scalar (simple vector) notation to more complex models in matrix notation. A distinctive feature is that more attention is given to unbalanced panel data, the measurement error problem, random coefficient approaches, the interface between panel data and aggregation, and the interface between unbalanced panels and truncated and censored data sets. The 12 chapters are intended to be largely self-contained, although there is also natural progression. Most of the chapters contain commented examples based on genuine data, mainly taken from panel data applications to economics. Although the book, inter alia, through its use of examples, is aimed primarily at students of economics and econometrics, it may also be useful for readers in social sciences, psychology, and medicine, provided they have a sufficient background in statistics, notably basic regression analysis and elementary linear algebra.

Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes

Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes
  • Author : Chihwa Kao,Feng Qu
  • Publisher :Unknown
  • Release Date :2020-08-24
  • Total pages :168
  • ISBN : 9789811220791
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Summary : This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.

Exam Prep for: Time Series and Panel Data Econometrics

Exam Prep for: Time Series and Panel Data Econometrics
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2021
  • Total pages :229
  • ISBN : 1230987654XX
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Summary :