A New Diagnostic Test for Cross-section Independence in Nonparametric Panel Data Model

A New Diagnostic Test for Cross-section Independence in Nonparametric Panel Data Model

Author: Jia Chen

Publisher:

Published: 2009

Total Pages:

ISBN-13:

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In this paper, we propose a new diagnostic test for residual cross-section independence in a nonparametric panel data model. The proposed nonparametric cross-section dependence (CD) test is a nonparametric counterpart of an existing parametric CD test proposed in Pesaren (2004) for the parametric case. We establish an asymptotic distribution of the proposed test statistic under the null hypothesis. As in the parametric case, the proposed test has an asymptotically normal distribution. We then analyze the power function of the proposed test under an alternative hypothesis that involves a nonlinear multi-factor model. We also provide several numerical examples. The small sample studies show that the nonparametric CD test associated with an asymptotic critical value works well numerically in each individual case. An empirical analysis of a set of CPI data in Australian capital cities is given to examine the applicability of the proposed nonparametric CD test.


A New Diagnostic Test for Cross-Section Uncorrelatedness in Nonparametric Panel Data Models

A New Diagnostic Test for Cross-Section Uncorrelatedness in Nonparametric Panel Data Models

Author: Jiti Gao

Publisher:

Published: 2010

Total Pages: 0

ISBN-13:

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In this paper, we propose a new diagnostic test for residual cross-section uncorrelatedness in a nonparametric panel data model. The proposed nonparametric cross-section uncorrelatedness (CU) test is a nonparametric counterpart of an existing parametric cross-section dependence (CD) test proposed in Pesaran (2004) for the parametric case. We establish asymptotic distributions of the proposed test statistic for several different cases. Without assuming cross-section independence, we establish asymptotic distributions for the proposed test for the case where both the cross-section dimension and the time dimension go to infinity simultaneously. We then analyze the power function of the proposed test under a sequence of local alternatives that involve a nonlinear multi-factor model. We also provide several numerical examples. The small sample studies show that the nonparametric CU test associated with an asymptotic critical value works well numerically in each individual case. An empirical analysis of a set of CPI data in Australian capital cities is given to examine the applicability of the proposed nonparametric CU test.


The Oxford Handbook of Panel Data

The Oxford Handbook of Panel Data

Author: Badi Hani Baltagi

Publisher:

Published: 2015

Total Pages: 705

ISBN-13: 0199940045

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The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.


Handbook of Empirical Economics and Finance

Handbook of Empirical Economics and Finance

Author: Aman Ullah

Publisher: CRC Press

Published: 2016-04-19

Total Pages: 532

ISBN-13: 9781420070361

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Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.


Time Series and Panel Data Econometrics

Time Series and Panel Data Econometrics

Author: M. Hashem Pesaran

Publisher: Oxford University Press, USA

Published: 2015

Total Pages: 1095

ISBN-13: 0198759983

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The book describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.


Panel Data Econometrics with R

Panel Data Econometrics with R

Author: Yves Croissant

Publisher: John Wiley & Sons

Published: 2018-08-10

Total Pages: 328

ISBN-13: 1118949188

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Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.


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

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

Author: Feng Qu

Publisher: World Scientific

Published: 2020-08-24

Total Pages: 167

ISBN-13: 9811220794

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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.


Mixed Effects Models for Complex Data

Mixed Effects Models for Complex Data

Author: Lang Wu

Publisher: CRC Press

Published: 2009-11-11

Total Pages: 431

ISBN-13: 9781420074086

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Although standard mixed effects models are useful in a range of studies, other approaches must often be used in correlation with them when studying complex or incomplete data. Mixed Effects Models for Complex Data discusses commonly used mixed effects models and presents appropriate approaches to address dropouts, missing data, measurement errors, censoring, and outliers. For each class of mixed effects model, the author reviews the corresponding class of regression model for cross-sectional data. An overview of general models and methods, along with motivating examples After presenting real data examples and outlining general approaches to the analysis of longitudinal/clustered data and incomplete data, the book introduces linear mixed effects (LME) models, generalized linear mixed models (GLMMs), nonlinear mixed effects (NLME) models, and semiparametric and nonparametric mixed effects models. It also includes general approaches for the analysis of complex data with missing values, measurement errors, censoring, and outliers. Self-contained coverage of specific topics Subsequent chapters delve more deeply into missing data problems, covariate measurement errors, and censored responses in mixed effects models. Focusing on incomplete data, the book also covers survival and frailty models, joint models of survival and longitudinal data, robust methods for mixed effects models, marginal generalized estimating equation (GEE) models for longitudinal or clustered data, and Bayesian methods for mixed effects models. Background material In the appendix, the author provides background information, such as likelihood theory, the Gibbs sampler, rejection and importance sampling methods, numerical integration methods, optimization methods, bootstrap, and matrix algebra. Failure to properly address missing data, measurement errors, and other issues in statistical analyses can lead to severely biased or misleading results. This book explores the biases that arise when naïve methods are used and shows which approaches should be used to achieve accurate results in longitudinal data analysis.


Issues in General Economic Research and Application: 2013 Edition

Issues in General Economic Research and Application: 2013 Edition

Author:

Publisher: ScholarlyEditions

Published: 2013-05-01

Total Pages: 1193

ISBN-13: 1490109501

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Issues in General Economic Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Theoretical Economics. The editors have built Issues in General Economic Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Theoretical Economics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.