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Author: Marc Nerlove
Publisher: Cambridge University Press
Published: 2005-11-10
Total Pages: 388
ISBN-13: 9780521022460
DOWNLOAD EBOOKThis volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.
Author: Badi H. Baltagi
Publisher: Emerald Group Publishing
Published: 2006-04-01
Total Pages: 399
ISBN-13: 0444521720
DOWNLOAD EBOOKThis 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.
Author: Lászlo Mátyás
Publisher: Springer Science & Business Media
Published: 2008-04-06
Total Pages: 966
ISBN-13: 3540758925
DOWNLOAD EBOOKThis 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.
Author: Donald W. K. Andrews
Publisher: Cambridge University Press
Published: 2005-06-17
Total Pages: 606
ISBN-13: 9780521844413
DOWNLOAD EBOOKThis 2005 collection pushed forward the research frontier in four areas of theoretical econometrics.
Author: Mike Tsionas
Publisher: Academic Press
Published: 2019-06-19
Total Pages: 434
ISBN-13: 0128144319
DOWNLOAD EBOOKPanel 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
Author: Badi Baltagi
Publisher: John Wiley & Sons
Published: 2008-06-30
Total Pages: 239
ISBN-13: 0470518863
DOWNLOAD EBOOKWritten by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.
Author: Laszlo Matyas
Publisher: Springer
Published: 2017-07-26
Total Pages: 467
ISBN-13: 3319607839
DOWNLOAD EBOOKThis book presents the econometric foundations and applications of multi-dimensional panels, including modern methods of big data analysis. The last two decades or so, the use of panel data has become a standard in many areas of economic analysis. The available models formulations became more complex, the estimation and hypothesis testing methods more sophisticated. The interaction between economics and econometrics resulted in a huge publication output, deepening and widening immensely our knowledge and understanding in both. The traditional panel data, by nature, are two-dimensional. Lately, however, as part of the big data revolution, there has been a rapid emergence of three, four and even higher dimensional panel data sets. These have started to be used to study the flow of goods, capital, and services, but also some other economic phenomena that can be better understood in higher dimensions. Oddly, applications rushed ahead of theory in this field. This book is aimed at filling this widening gap. The first theoretical part of the volume is providing the econometric foundations to deal with these new high-dimensional panel data sets. It not only synthesizes our current knowledge, but mostly, presents new research results. The second empirical part of the book provides insight into the most relevant applications in this area. These chapters are a mixture of surveys and new results, always focusing on the econometric problems and feasible solutions.
Author: M. Hashem Pesaran
Publisher: Oxford University Press
Published: 2015
Total Pages: 1095
ISBN-13: 0198736916
DOWNLOAD EBOOKThis book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Author: Alexander Chudik
Publisher: Emerald Group Publishing
Published: 2022-01-18
Total Pages: 376
ISBN-13: 1802620656
DOWNLOAD EBOOKThe collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Author: László Mátyás
Publisher: Springer Science & Business Media
Published: 2013-12-01
Total Pages: 944
ISBN-13: 9400901372
DOWNLOAD EBOOKThe 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.
