Estimating a Censored Dynamic Panel Data Model with an Application to Earnings Dynamics PDF Download

Author: Luojia Hu
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 60

View

Book Description

Author: Cheng Hsiao
Publisher: Cambridge University Press
ISBN: 9780521522717
Category : Business & Economics
Languages : en
Pages : 388

View

Book Description
This book reviews the basic econometric methods that have been used to analyze panel data - in other words, data collected by observing a number of individuals over time. Copyright © Libri GmbH. All rights reserved.

Author: Lászlo Mátyás
Publisher: Springer Science & Business Media
ISBN: 3540758925
Category : Business & Economics
Languages : en
Pages : 966

View

Book Description
This 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: Badi H. Baltagi
Publisher: Springer Nature
ISBN: 3030539539
Category : Business & Economics
Languages : en
Pages : 436

View

Book Description
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: Sule Alan
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

View

Book Description
It is straightforward to construct moment conditions for two-sided censored panel data regression models with strictly exogenous explanatory variables. The contribution of this note is to show that one set of these moment conditions uniquely identify the parameters of the model under a natural full-rank condition. The identification result suggests an estimator that is then applied to evaluate the portfolio allocation effect of a Danish tax reform that increased the after-tax capital income of bonds relative to stocks.

Author: Sheng-Kai Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 108

View

Book Description

Author: J.J. Heckman
Publisher: Elsevier
ISBN: 0080524796
Category : Business & Economics
Languages : en
Pages : 737

View

Book Description
The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses. For more information on the Handbooks in Economics series, please see our home page on http://www.elsevier.nl/locate/hes

Author: David M. Drukker
Publisher: Emerald Group Publishing
ISBN: 1780525257
Category : Business & Economics
Languages : en
Pages : 352

View

Book Description
Contains 16 chapters authored by specialists in the field, covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.

Author: Anastasia Semykina
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 216

View

Book Description

Author: Manuel Arellano
Publisher: Oxford University Press, USA
ISBN: 9780199245291
Category : Business & Economics
Languages : en
Pages : 231

View

Book Description
This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling. The book combines methods and applications, so will appeal to both the academic and practitioner markets. The book is divided in four parts. Part I concerns static models, and deals with the problem of unobserved heterogeneity and how the availability of panel data helps to solve it, error component models, and error in variables in panel data. Part II looks at time series models with error components. Its chapters deal with the problem of distinguishing between unobserved heterogeneity and individual dynamics in short panels, modelling strategies of time effects, moving average models, inference from covariance structures, the specification and estimation of autoregressive models with heterogeneous intercepts, and the impact of assumptions about initial conditions and heteroskedacity on estimation. Part III examines dynamics and predeterminedness. Its two chapters consider alternative approaches to estimation from small and large T perspectives, looking at models with both strictly exogenous and lagged dependent variables allowing for autocorrelation of unknown form, models in which the errors are mean independent of current and lagged values of certain conditioning variables but not with their future values. Together Parts II and III provide a synthesis, and unified perspective, of a vast literature that has had a significant impact on recent econometric practice. Part IV reviews the main results in the theory of generalized method of moments estimation and optimal instrumental variables.