Econometric analysis of panel data / Badi H. Baltagi.

Format:

Book

Author/Creator:

Baltagi, Badi H. (Badi Hani)

Contributor:

ProQuest ebook central.

Language:

English

Subjects (All):

Econometrics.

Panel analysis.

Physical Description:

1 online resource (xii, 302 pages) : illustrations

Edition:

Third edition.

Place of Publication:

Chichester ; Hoboken, NJ : J. Wiley & Sons, [2005]

System Details:

text file

Summary:

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.

Contents:

Panel Data: Some Examples

Why Should We Use Panel Data? Their Benefits and Limitations

The One-way Error Component Regression Model

The Fixed Effects Model

The Random Effects Model

Fixed vs Random

Maximum Likelihood Estimation

Prediction

Example 1: Grunfeld Investment Equation

Example 2: Gasoline Demand

Example 3: Public Capital Productivity

Selected Applications

Computational Note

The Two-way Error Component Regression Model

Testing for Fixed Effects

Monte Carlo Experiment

Test of Hypotheses with Panel Data

Tests for Poolability of the Data

Test for Poolability under u [similar] N(0, [Sigma superscript 2] I[subscript NT])

Test for Poolability under the general Assumption u [similar] N(0, [Omega])

Other Tests for Poolability

Tests for Individual and Time Effects

The Breusch-Pagan Test

King and Wu, Honda and the Standardized Lagrange Multiplier Tests

Gourieroux, Holly and Monfort Test

Conditional LM Tests

ANOVA F and the Likelihood Ratio Tests

Monte Carlo Results

An Illustrative Example

Hausman's Specification Test

Example 3: Strike Activity

Example 4: Production Behavior of Sawmills

Example 5: The Marriage Wage Premium.

Notes:

Includes bibliographical references (pages 267-289) and index.

Electronic reproduction. Ann Arbor, MI Available via World Wide Web.

Description based on print version record.

Other Format:

Online version: Baltagi, Badi H. (Badi Hani). Econometric analysis of panel data.

ISBN:

9780470016909

0470016906

Publisher Number:

99986858746

Access Restriction:

Restricted for use by site license.