The Econometric Analysis Of Non Stationary Spatial Panel Data

Author : Michael Beenstock,Daniel Felsenstein
Publisher : Springer
Page : 280 pages
File Size : 40,6 Mb
Release : 2019-03-27
Category : Business & Economics
ISBN : 9783030036140

Get Book

The Econometric Analysis of Non-Stationary Spatial Panel Data by Michael Beenstock,Daniel Felsenstein Pdf

This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.

Author : Michael Beenstock,Daniel Felsenstein
Publisher : Unknown
Page : 275 pages
File Size : 42,5 Mb
Release : 2019
Category : Electronic books
ISBN : 3030036154

Get Book

The Econometric Analysis of Non-stationary Spatial Panel Data by Michael Beenstock,Daniel Felsenstein Pdf

This monograph deals with spatially dependent non-stationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial non-stationarity in spatial cross-section data, and a full exposition of non stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel. .

Author : Badi H. Baltagi
Publisher : Wiley
Page : 388 pages
File Size : 53,8 Mb
Release : 2013-09-23
Category : Business & Economics
ISBN : 1118672321

Get Book

Econometric Analysis of Panel Data by Badi H. Baltagi Pdf

Panel data econometrics has evolved rapidly over the last decade. Micro and Macro panels are increasing in numbers and availability and methods to deal with these data are in high demand from practitioners. 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 has been fully revised and updated and includes: A new chapter entitled Spatial Panel Data New empirical applications New material on non-stationary panels. New empirical applications using Stata and EViews. Thoroughly updated References. Additional exercises in each chapter

Author : Badi H. Baltagi
Publisher : John Wiley & Sons
Page : 322 pages
File Size : 47,6 Mb
Release : 2009-06-22
Category : Business & Economics
ISBN : 9780470744031

Get Book

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 : Badi H. Baltagi
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 41,9 Mb
Release : 2001-10-31
Category : Business & Economics
ISBN : UCSC:32106017681534

Get Book

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 : J. Paul Elhorst
Publisher : Springer Science & Business Media
Page : 119 pages
File Size : 44,5 Mb
Release : 2013-09-30
Category : Business & Economics
ISBN : 9783642403408

Get Book

Spatial Econometrics by J. Paul Elhorst Pdf

​This book provides an overview of three generations of spatial econometric models: models based on cross-sectional data, static models based on spatial panels and dynamic spatial panel data models. The book not only presents different model specifications and their corresponding estimators, but also critically discusses the purposes for which these models can be used and how their results should be interpreted.

Author : Badi H. Baltagi
Publisher : Emerald Group Publishing
Page : 399 pages
File Size : 54,9 Mb
Release : 2006-04-01
Category : Business & Economics
ISBN : 9780444521729

Get Book

Panel Data Econometrics by Badi H. Baltagi Pdf

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.

Author : Jan de Gier,Cheryl E. Praeger,Terence Tao
Publisher : Springer Nature
Page : 803 pages
File Size : 52,8 Mb
Release : 2021-02-10
Category : Mathematics
ISBN : 9783030624972

Get Book

2019-20 MATRIX Annals by Jan de Gier,Cheryl E. Praeger,Terence Tao Pdf

MATRIX is Australia’s international and residential mathematical research institute. It facilitates new collaborations and mathematical advances through intensive residential research programs, each 1-4 weeks in duration. This book is a scientific record of the ten programs held at MATRIX in 2019 and the two programs held in January 2020: · Topology of Manifolds: Interactions Between High and Low Dimensions · Australian-German Workshop on Differential Geometry in the Large · Aperiodic Order meets Number Theory · Ergodic Theory, Diophantine Approximation and Related Topics · Influencing Public Health Policy with Data-informed Mathematical Models of Infectious Diseases · International Workshop on Spatial Statistics · Mathematics of Physiological Rhythms · Conservation Laws, Interfaces and Mixing · Structural Graph Theory Downunder · Tropical Geometry and Mirror Symmetry · Early Career Researchers Workshop on Geometric Analysis and PDEs · Harmonic Analysis and Dispersive PDEs: Problems and Progress The articles are grouped into peer-reviewed contributions and other contributions. The peer-reviewed articles present original results or reviews on a topic related to the MATRIX program; the remaining contributions are predominantly lecture notes or short articles based on talks or activities at MATRIX.

Author : M. Hashem Pesaran
Publisher : Oxford University Press, USA
Page : 1095 pages
File Size : 42,8 Mb
Release : 2015
Category : Business & Economics
ISBN : 9780198759980

Get Book

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 : Lung-fei Lee,Jihai Yu
Publisher : Now Publishers Inc
Page : 178 pages
File Size : 43,9 Mb
Release : 2011
Category : Business & Economics
ISBN : 9781601984265

Get Book

Estimation of Spatial Panels by Lung-fei Lee,Jihai Yu Pdf

Estimation of Spatial Panels provides some recent developments on the specification and estimation of spatial panel models.

Author : Panchanan Das
Publisher : Springer Nature
Page : 565 pages
File Size : 46,7 Mb
Release : 2019-09-05
Category : Business & Economics
ISBN : 9789813290198

Get Book

Econometrics in Theory and Practice by Panchanan Das Pdf

This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.

Author : Yves Croissant,Giovanni Millo
Publisher : John Wiley & Sons
Page : 321 pages
File Size : 52,5 Mb
Release : 2018-11-05
Category : Mathematics
ISBN : 9781118949160

Get Book

Panel Data Econometrics with R by Yves Croissant,Giovanni Millo Pdf

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.

Author : Peter L. Pedroni,Jean-Pierre Urbain
Publisher : Unknown
Page : 352 pages
File Size : 48,7 Mb
Release : 2007-04-01
Category : Econometrics
ISBN : 0199264449

Get Book

The Econometrics of Non Stationary Panels by Peter L. Pedroni,Jean-Pierre Urbain Pdf

Author : Marc Nerlove
Publisher : Cambridge University Press
Page : 388 pages
File Size : 43,8 Mb
Release : 2005-11-10
Category : Business & Economics
ISBN : 0521022460

Get Book

Essays in Panel Data Econometrics by Marc Nerlove Pdf

This volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.

Author : G. Arbia
Publisher : Springer
Page : 230 pages
File Size : 40,7 Mb
Release : 2014-06-30
Category : Business & Economics
ISBN : 9781137317940

Get Book

A Primer for Spatial Econometrics by G. Arbia Pdf

This book aims at meeting the growing demand in the field by introducing the basic spatial econometrics methodologies to a wide variety of researchers. It provides a practical guide that illustrates the potential of spatial econometric modelling, discusses problems and solutions and interprets empirical results.