Author: Lászlo Mátyás Publisher: Advanced Studies in Theoretical and Applied Econometrics ISBN: Category : Business & Economics Languages : en Pages : 992
Book Description
This volume provides a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. This third edition provides a presentation of theoretical developments as well as surveys about how econometric tools are used to study firms and household's behaviors.
Author: Giovanni Petris Publisher: Springer Science & Business Media ISBN: 0387772383 Category : Mathematics Languages : en Pages : 258
Book Description
State space models have gained tremendous popularity in recent years in as disparate fields as engineering, economics, genetics and ecology. After a detailed introduction to general state space models, this book focuses on dynamic linear models, emphasizing their Bayesian analysis. Whenever possible it is shown how to compute estimates and forecasts in closed form; for more complex models, simulation techniques are used. A final chapter covers modern sequential Monte Carlo algorithms. The book illustrates all the fundamental steps needed to use dynamic linear models in practice, using R. Many detailed examples based on real data sets are provided to show how to set up a specific model, estimate its parameters, and use it for forecasting. All the code used in the book is available online. No prior knowledge of Bayesian statistics or time series analysis is required, although familiarity with basic statistics and R is assumed.
Author: László Mátyás Publisher: Springer Science & Business Media ISBN: 9400903758 Category : Business & Economics Languages : en Pages : 564
Book Description
The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Kuh (1959), Mundlak (1961), Hoch (1962), and Balestra and Nerlove (1966), the pooling of cross section and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and probit models, latent variable models, incomplete panels and selectivity bias, and point processes.
Author: Yves Croissant Publisher: John Wiley & Sons ISBN: 1118949188 Category : Mathematics Languages : en Pages : 435
Book Description
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: Badi H. Baltagi Publisher: John Wiley & Sons ISBN: 0470744030 Category : Business & Economics Languages : en Pages : 322
Book Description
‘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: Jayalakshmi Krishnakumar Publisher: Springer Science & Business Media ISBN: 3642456472 Category : Business & Economics Languages : en Pages : 371
Book Description
Economists can rarely perform controlled experiments to generate data. Existing information in the form of real-life observations simply has to be utilized in the best possible way. Given this, it is advantageous to make use of the increasing availability and accessibility of combinations of time-series and cross-sectional data in the estimation of economic models. But such data call for a new methodology of estimation and hence for the development of new econometric models. This book proposes one such new model which introduces error components in a system of simultaneous equations to take into account the temporal and cross-sectional heterogeneity of panel data. After a substantial survey of panel data models, the newly proposed model is presented in detail and indirect estimations, full information and limited information estimations, and estimations with and without the assumption of normal distribution errors. These estimation methods are then applied using a computer to estimate a model of residential electricity demand using data on American households. The results are analysed both from an economic and from a statistical point of view.
Author: Badi H. Baltagi Publisher: Emerald Group Publishing ISBN: 0444521720 Category : Business & Economics Languages : en Pages : 399
Book Description
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: Aman Ullah Publisher: CRC Press ISBN: 9780824701291 Category : Mathematics Languages : en Pages : 650
Book Description
This work examines theoretical issues, as well as practical developments in statistical inference related to econometric models and analysis. This work offers discussions on such areas as the function of statistics in aggregation, income inequality, poverty, health, spatial econometrics, panel and survey data, bootstrapping and time series.
Author: Deep Mukherjee Publisher: Springer Nature ISBN: 9819949025 Category : Business & Economics Languages : en Pages : 625
Book Description
This book is a collection of 20 chapters on chosen topics from cross-section and panel data econometrics. It explores both theoretical and practical aspects of selected cutting-edge techniques which are gaining popularity among applied econometricians, while following the motto of “keeping things simple”. Each chapter gives a basic introduction to one such method, directs readers to supplementary references, and shows an application. The book takes into account that—A: The field of econometrics is evolving very fast and leading textbooks are trying to cover some of the recent developments in revised editions. This book offers basic introduction to state-of-the-art techniques and recent advances in econometric models with detailed applications from various developing and developed countries. B: An applied researcher or practitioner may prefer reference books with a simple introduction to an advanced econometric method or model with no theorems but with a longer discussion on empirical application. Thus, an applied econometrics textbook covering these cutting-edge methods is highly warranted; a void this book attempts to fills.The book does not aim at providing a comprehensive coverage of econometric methods. The 20 chapters in this book represent only a sample of the important topics in modern econometrics, with special focus on econometrics of cross-section and panel data, while also recognizing that it is not possible to accommodate all types of models and methods even in these two categories. The book is unique as authors have also provided the theoretical background (if any) and brief literature review behind the empirical applications. It is a must-have resource for students and practitioners of modern econometrics.
Author: Lászlo Mátyás
Author: Giovanni Petris
Author: Cheng Hsiao
Author: László Mátyás
Author: Yves Croissant
Author: Badi H. Baltagi
Author: Jayalakshmi Krishnakumar
Author: Badi H. Baltagi
Author: Aman Ullah
Author: Deep Mukherjee