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Author: Guowei Cui Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper puts forward a new instrumental variables (IV) approach for linear panel datamodels with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically eliminates the interactive effects in the error term and in the regressors separately in two stages. We propose a two-stage IV (2SIV) and a mean-group IV (MGIV) estimator for homogeneous and heterogeneous slope models, respectively. The asymptotic analysis for the models with homogeneous slopes reveals that: (i) the√NT-consistent 2SIV estimatoris free from asymptotic bias that could arise due to the correlation between the regressors and the estimation error of the interactive effects; (ii) under the same set of assumptions, existing popular estimators, which eliminate interactive effects either jointly in the regressors and the error term, or only in the error term, can suffer from asymptotic bias; (iii) the proposed 2SIV estimator is asymptotically as efficient as the bias-corrected version of estimators that eliminate interactive effects jointly in the regressors and the error, whilst; (iv) the relative efficiency of the estimators that eliminate interactive effects only in the error term is in determinate. A Monte Carlo study confirms good approximation quality of our asymptotic results and competent performance of 2SIV and MGIV in comparison with existing estimators. Furthermore, it demonstrates that the bias-corrections can be imprecise and noticeably inflate the dispersion of the estimators in finite samples.
Author: Guowei Cui Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper puts forward a new instrumental variables (IV) approach for linear panel datamodels with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically eliminates the interactive effects in the error term and in the regressors separately in two stages. We propose a two-stage IV (2SIV) and a mean-group IV (MGIV) estimator for homogeneous and heterogeneous slope models, respectively. The asymptotic analysis for the models with homogeneous slopes reveals that: (i) the√NT-consistent 2SIV estimatoris free from asymptotic bias that could arise due to the correlation between the regressors and the estimation error of the interactive effects; (ii) under the same set of assumptions, existing popular estimators, which eliminate interactive effects either jointly in the regressors and the error term, or only in the error term, can suffer from asymptotic bias; (iii) the proposed 2SIV estimator is asymptotically as efficient as the bias-corrected version of estimators that eliminate interactive effects jointly in the regressors and the error, whilst; (iv) the relative efficiency of the estimators that eliminate interactive effects only in the error term is in determinate. A Monte Carlo study confirms good approximation quality of our asymptotic results and competent performance of 2SIV and MGIV in comparison with existing estimators. Furthermore, it demonstrates that the bias-corrections can be imprecise and noticeably inflate the dispersion of the estimators in finite samples.
Author: Badi Hani Baltagi Publisher: ISBN: 0199940045 Category : Business & Economics Languages : en Pages : 705
Book Description
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.
Author: Constantin Colonescu Publisher: Lulu.com ISBN: 1387473611 Category : Business & Economics Languages : en Pages : 278
Book Description
This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Author: Feng Qu Publisher: World Scientific ISBN: 9811220794 Category : Business & Economics Languages : en Pages : 167
Book Description
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.
Author: Panchanan Das Publisher: Springer Nature ISBN: 9813290196 Category : Business & Economics Languages : en Pages : 565
Book Description
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: Guowei Cui
Author: Guowei Cui
Author: Weihao Chen
Author: Badi Hani Baltagi
Author: Constantin Colonescu
Author: Yousef Kaddoura
Author: Feng Qu
Author: Donald J. Wyhowski
Author: Ryo Okui
Author: Panchanan Das
Author: Eleanor Sanderson