Analysis Of Panels And Limited Dependent Variable Models

Author : Cheng Hsiao,M. Hashem Pesaran,Kajal Lahiri,Lung Fei Lee
Publisher : Cambridge University Press
Page : 128 pages
File Size : 40,9 Mb
Release : 1999-07-29
Category : Business & Economics
ISBN : 9781139431347

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Analysis of Panels and Limited Dependent Variable Models by Cheng Hsiao,M. Hashem Pesaran,Kajal Lahiri,Lung Fei Lee Pdf

This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

Author : Cheng Hsiao
Publisher : Unknown
Page : 128 pages
File Size : 49,6 Mb
Release : 2010
Category : Econometric models
ISBN : OCLC:848611254

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Analysis of Panels and Limited Dependent Variable Models by Cheng Hsiao Pdf

Author : Badi Baltagi
Publisher : John Wiley & Sons
Page : 239 pages
File Size : 44,8 Mb
Release : 2008-06-30
Category : Business & Economics
ISBN : 9780470518861

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Econometric Analysis of Panel Data by Badi Baltagi Pdf

Written 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 : Myoung-jae Lee
Publisher : Emerald Group Pub Limited
Page : 195 pages
File Size : 45,5 Mb
Release : 2002
Category : Business & Economics
ISBN : 0124406564

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Panel Data Econometrics by Myoung-jae Lee Pdf

Disk contains: Four data sets -- Ten GAUSS programs for empirical examples in text.

Author : Jeffrey M. Wooldridge
Publisher : MIT Press
Page : 1095 pages
File Size : 40,5 Mb
Release : 2010-10-01
Category : Business & Economics
ISBN : 9780262232586

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Econometric Analysis of Cross Section and Panel Data, second edition by Jeffrey M. Wooldridge Pdf

The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

Author : G. S. Maddala
Publisher : Cambridge University Press
Page : 418 pages
File Size : 45,7 Mb
Release : 1983
Category : Business & Economics
ISBN : 0521338255

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Limited-Dependent and Qualitative Variables in Econometrics by G. S. Maddala Pdf

This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. Despite the traditional emphasis on continuous variables in econometrics, many of the economic variables encountered in practice are categorical (those for which a suitable category can be found but where no actual measurement exists) or truncated (those that can be observed only in certain ranges). Such variables are involved, for example, in models of occupational choice, choice of tenure in housing, and choice of type of schooling. Models with regulated prices and rationing, and models for program evaluation, also represent areas of application for the techniques presented by the author.

Author : Badi H. Baltagi
Publisher : Unknown
Page : 80 pages
File Size : 45,9 Mb
Release : 1995-01
Category : Electronic
ISBN : 0471955442

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Econometric Analysis of Panel Data by Badi H. Baltagi Pdf

This new edition of this established textbook reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. The book is packed with the most recent empirical examples from panel data literature, for example, a simultaneous equation on Crime will be added to chapter 7, which will be illustrated with STATA. Data sets will be provided as well as the programs to implement the estimation and testing procedures described in the book on the web site. Additional exercises will be added to each chapter and their solutions will be provided on the web site. The text has also 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 : Badi H. Baltagi
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 47,6 Mb
Release : 2001-10-31
Category : Business & Economics
ISBN : UCSC:32106017681534

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Econometric Analysis of Panal Data by Badi H. Baltagi Pdf

This new edition of this established textbook reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. The book is packed with the most recent empirical examples from panel data literature and includes new data sets. The use of the standard software packages in the field i.e. STATA, LIMDEP, TSP & SAS are illustrated with new examples. The text has also been fully updated with new material on: non-stationary models, unit roots in panels and cointegration, prediction in panels, serial correlation, heteroskedasticity, and new results on GMM in dynamic panel data models. There is also website providing supplementary material for lecturers.

Author : Cheng Hsiao
Publisher : Cambridge University Press
Page : 563 pages
File Size : 55,8 Mb
Release : 2014-12-08
Category : Business & Economics
ISBN : 9781107038691

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Analysis of Panel Data by Cheng Hsiao Pdf

This book provides a comprehensive, coherent, and intuitive review of panel data methodologies that are useful for empirical analysis. Substantially revised from the second edition, it includes two new chapters on modeling cross-sectionally dependent data and dynamic systems of equations. Some of the more complicated concepts have been further streamlined. Other new material includes correlated random coefficient models, pseudo-panels, duration and count data models, quantile analysis, and alternative approaches for controlling the impact of unobserved heterogeneity in nonlinear panel data models.

Author : Badi H. Baltagi
Publisher : Springer Nature
Page : 436 pages
File Size : 51,9 Mb
Release : 2021-03-16
Category : Business & Economics
ISBN : 9783030539535

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Econometric Analysis of Panel Data by Badi H. Baltagi Pdf

This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly." Professor Kajal Lahiri, State University of New York, Albany, USA. "This book is the most comprehensive work available on panel data. It is written by one of the leading contributors to the field, and is notable for its encyclopaedic coverage and its clarity of exposition. It is useful to theorists and to people doing applied work using panel data. It is valuable as a text for a course in panel data, as a supplementary text for more general courses in econometrics, and as a reference." Professor Peter Schmidt, Michigan State University, USA. “Panel data econometrics is in its ascendancy, combining the power of cross section averaging with all the subtleties of temporal and spatial dependence. Badi Baltagi provides a remarkable roadmap of this fascinating interface of econometric method, enticing the novitiate with technical gentleness, the expert with comprehensive coverage and the practitioner with many empirical applications.” Professor Peter C. B. Phillips, Cowles Foundation, Yale University, USA.

Author : Badi H. Baltagi
Publisher : John Wiley & Sons
Page : 322 pages
File Size : 51,7 Mb
Release : 2009-06-22
Category : Business & Economics
ISBN : 9780470744031

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A Companion to Econometric Analysis of Panel Data by Badi H. Baltagi Pdf

‘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).

Author : William H. Greene
Publisher : Unknown
Page : 1128 pages
File Size : 47,7 Mb
Release : 1997
Category : Business & Economics
ISBN : 0023466022

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Econometric Analysis by William H. Greene Pdf

Matrix algebra; Probability abd distribution theory; Statistical inference; Computation and optimization; The classical multiple linear regression model - specification and estimation; Inference and prediction; Functional form, nonlinearity, and specification; Data problems; Nonlinear regression models; Nonspherical disturbances; generalized regression, and GMM estimation; Autocorrelated disturbances; Models for panel data; Systems of regression equations; Regressions with lagged variables; Time-series models; Models with discrete dependent variables; Limited dependent variable and duration models.

Author : I. Gusti Ngurah Agung
Publisher : John Wiley & Sons
Page : 544 pages
File Size : 52,6 Mb
Release : 2013-12-31
Category : Mathematics
ISBN : 9781118715567

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Panel Data Analysis using EViews by I. Gusti Ngurah Agung Pdf

A comprehensive and accessible guide to panel data analysis using EViews software This book explores the use of EViews software in creating panel data analysis using appropriate empirical models and real datasets. Guidance is given on developing alternative descriptive statistical summaries for evaluation and providing policy analysis based on pool panel data. Various alternative models based on panel data are explored, including univariate general linear models, fixed effect models and causal models, and guidance on the advantages and disadvantages of each one is given. Panel Data Analysis using EViews: Provides step-by-step guidance on how to apply EViews software to panel data analysis using appropriate empirical models and real datasets. Examines a variety of panel data models along with the author’s own empirical findings, demonstrating the advantages and limitations of each model. Presents growth models, time-related effects models, and polynomial models, in addition to the models which are commonly applied for panel data. Includes more than 250 examples divided into three groups of models (stacked, unstacked, and structured panel data), together with notes and comments. Provides guidance on which models not to use in a given scenario, along with advice on viable alternatives. Explores recent new developments in panel data analysis An essential tool for advanced undergraduate or graduate students and applied researchers in finance, econometrics and population studies. Statisticians and data analysts involved with data collected over long time periods will also find this book a useful resource.

Author : M. Hashem Pesaran
Publisher : Oxford University Press
Page : 1095 pages
File Size : 41,7 Mb
Release : 2015-10-01
Category : Business & Economics
ISBN : 9780191058479

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Time Series and Panel Data Econometrics by M. Hashem Pesaran Pdf

This 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 : Hans-Jürgen Andreß,Katrin Golsch,Alexander W. Schmidt
Publisher : Springer Science & Business Media
Page : 338 pages
File Size : 43,9 Mb
Release : 2013-01-24
Category : Social Science
ISBN : 9783642329142

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Applied Panel Data Analysis for Economic and Social Surveys by Hans-Jürgen Andreß,Katrin Golsch,Alexander W. Schmidt Pdf

Many economic and social surveys are designed as panel studies, which provide important data for describing social changes and testing causal relations between social phenomena. This textbook shows how to manage, describe, and model these kinds of data. It presents models for continuous and categorical dependent variables, focusing either on the level of these variables at different points in time or on their change over time. It covers fixed and random effects models, models for change scores and event history models. All statistical methods are explained in an application-centered style using research examples from scholarly journals, which can be replicated by the reader through data provided on the accompanying website. As all models are compared to each other, it provides valuable assistance with choosing the right model in applied research. The textbook is directed at master and doctoral students as well as applied researchers in the social sciences, psychology, business administration and economics. Readers should be familiar with linear regression and have a good understanding of ordinary least squares estimation. ​