Econometric Analysis of Panel Data
Econometric Theory (2005)
- ISSN: 02664666
- ISBN: 9780470014561
- DOI: 10.1017/S0266466600006150
Available from www.journals.cambridge.org
or
Abstract
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.
Available from www.journals.cambridge.org
Page 1
Econometric Analysis of Panel Data
Fourth Edition
Econometric Analysis
of Panel Data
BADI H. BALTAGI
Econometric Analysis
of Panel Data
BADI H. BALTAGI
Page 2
Preface xi
1 Introduction
1.1 Panel Data: Some Examples
1.2 Why Should We Use Panel Data? Their Benefits and Limitations
Note
1
1
6
11
2 The One-way Error Component Regression Model
2.1 Introduction
2.2 The Fixed Effects Model
2.3 The Random Effects Model
2.4 Maximum Likelihood Estimation
2.5 Prediction
2.6 Examples
2.7 Selected Applications
2.8 Computational Note
Notes
Problems
13
13
14
17
22
23
24
31
31
31
32
3 The Two-way Error Component Regression Model
3.1 Introduction
3.2 The Fixed Effects Model
3.3 The Random Effects Model
3.4 Maximum Likelihood Estimation
3.5 Prediction
3.6 Examples
3.7 Selected Applications
Notes
Problems
35
35
35
37
42
44
45
48
50
50
4 Test of Hypotheses with Panel Data
4.1 Tests for Poolability of the Data
4.2 Tests for Individual and Time Effects
57
57
63
1 Introduction
1.1 Panel Data: Some Examples
1.2 Why Should We Use Panel Data? Their Benefits and Limitations
Note
1
1
6
11
2 The One-way Error Component Regression Model
2.1 Introduction
2.2 The Fixed Effects Model
2.3 The Random Effects Model
2.4 Maximum Likelihood Estimation
2.5 Prediction
2.6 Examples
2.7 Selected Applications
2.8 Computational Note
Notes
Problems
13
13
14
17
22
23
24
31
31
31
32
3 The Two-way Error Component Regression Model
3.1 Introduction
3.2 The Fixed Effects Model
3.3 The Random Effects Model
3.4 Maximum Likelihood Estimation
3.5 Prediction
3.6 Examples
3.7 Selected Applications
Notes
Problems
35
35
35
37
42
44
45
48
50
50
4 Test of Hypotheses with Panel Data
4.1 Tests for Poolability of the Data
4.2 Tests for Individual and Time Effects
57
57
63
Page 3
viii Contents
4.3 Hausman's Specification Test
4.4 Further Reading
Notes
Problems
72
81
82
82
5 Heteroskedasticity and Serial Correlation in the Error
Component Model
5.1 Heteroskedasticity
5.2 Serial Correlation
Notes
Problems
87
87
92
112
113
6 Seemingly Unrelated Regressions with Error Components
6.1 The One-way Model
6.2 The Two-way Model
6.3 Applications and Extensions
Problems
115
115
116
117
119
7 Simultaneous Equations with Error Components
7.1 Single Equation Estimation
7.2 Empirical Example: Crime in North Carolina
7.3 System Estimation
7.4 The Hausman and Taylor Estimator
7.5 Empirical Example: Earnings Equation Using PSID Data
7.6 Further Reading and Extensions
Notes
Problems
121
121
124
130
133
136
140
141
142
8 Dynamic Panel Data Models
8.1 Introduction
8.2 The Arellano and Bond Estimator
8.3 The Arellano and Bover Estimator
8.4 The Ahn and Schmidt Moment Conditions
8.5 The Blundell and Bond System GMM Estimator
8.6 The Keane and Runkle Estimator
8.7 Further Developments
8.8 Empirical Examples
8.9 Further Reading
Notes
Problems
147
147
149
155
158
160
162
164
170
173
178
179
9 Unbalanced Panel Data Models
9.1 Introduction
9.2 The Unbalanced One-way Error Component Model
9.3 Empirical Example: Hedonic Housing
9.4 The Unbalanced Two-way Error Component Mode1
181
181
181
187
191
4.3 Hausman's Specification Test
4.4 Further Reading
Notes
Problems
72
81
82
82
5 Heteroskedasticity and Serial Correlation in the Error
Component Model
5.1 Heteroskedasticity
5.2 Serial Correlation
Notes
Problems
87
87
92
112
113
6 Seemingly Unrelated Regressions with Error Components
6.1 The One-way Model
6.2 The Two-way Model
6.3 Applications and Extensions
Problems
115
115
116
117
119
7 Simultaneous Equations with Error Components
7.1 Single Equation Estimation
7.2 Empirical Example: Crime in North Carolina
7.3 System Estimation
7.4 The Hausman and Taylor Estimator
7.5 Empirical Example: Earnings Equation Using PSID Data
7.6 Further Reading and Extensions
Notes
Problems
121
121
124
130
133
136
140
141
142
8 Dynamic Panel Data Models
8.1 Introduction
8.2 The Arellano and Bond Estimator
8.3 The Arellano and Bover Estimator
8.4 The Ahn and Schmidt Moment Conditions
8.5 The Blundell and Bond System GMM Estimator
8.6 The Keane and Runkle Estimator
8.7 Further Developments
8.8 Empirical Examples
8.9 Further Reading
Notes
Problems
147
147
149
155
158
160
162
164
170
173
178
179
9 Unbalanced Panel Data Models
9.1 Introduction
9.2 The Unbalanced One-way Error Component Model
9.3 Empirical Example: Hedonic Housing
9.4 The Unbalanced Two-way Error Component Mode1
181
181
181
187
191
Page 4
Contents ix
9.5 Testing for Individual and Time Effects Using
Unbalanced Panel Data
9.6 The Unbalanced Nested Error Component Model
Notes
Problems
10 Special Topics
10.1 Measurement Error and Panel Data
10.2 Rotating Panels
10.3 Pseudo-panels
lOA Altemative Methods of Pooling Time Series of Cross-Section Data
10.5 Spatial Panels
10.6 Short-run vs. Long-run Estimates in Pooled Models
10.7 Heterogeneous Panels
10.8 Count Panel Data
Notes
Problems
11 Limited Dependent Variables and Panel Data
11.1 Fixed and Random Logit and Probit Models
11.2 Simulation Estimation of Limited Dependent Variable Mode1s with
Panel Data
11.3 Dynamic Panel Data Limited Dependent Variable Models
1104 Selection Bias in Panel Data
11.5 Censored and Truncated Panel Data Models
11.6 Empirical Applications
11.7 Empirical Example: Nurses Labor Supply
11.8 Further Reading
Notes
Problems
12 Nonstationary Panels
12.1 Introduction
12.2 Panel Unit Roots Tests Assuming Cross-sectional Independence
12.3 Panel Unit Roots Tests Allowing for Cross-sectional Dependence
1204 Spurious Regression in Panel Data
12.5 Panel Cointegration Tests
12.6 Estimation and Inference in Panel Cointegration Models
12.7 Empirical Example: Purchasing Power Parity
12.8 Further Reading
Notes
Problems
References
Index
193
196
200
201
205
205
208
210
214
216
219
220
226
233
233
237
237
245
246
251
256
260
262
266
268
269
273
273
275
284
287
292
298
301
303
308
308
311
337
9.5 Testing for Individual and Time Effects Using
Unbalanced Panel Data
9.6 The Unbalanced Nested Error Component Model
Notes
Problems
10 Special Topics
10.1 Measurement Error and Panel Data
10.2 Rotating Panels
10.3 Pseudo-panels
lOA Altemative Methods of Pooling Time Series of Cross-Section Data
10.5 Spatial Panels
10.6 Short-run vs. Long-run Estimates in Pooled Models
10.7 Heterogeneous Panels
10.8 Count Panel Data
Notes
Problems
11 Limited Dependent Variables and Panel Data
11.1 Fixed and Random Logit and Probit Models
11.2 Simulation Estimation of Limited Dependent Variable Mode1s with
Panel Data
11.3 Dynamic Panel Data Limited Dependent Variable Models
1104 Selection Bias in Panel Data
11.5 Censored and Truncated Panel Data Models
11.6 Empirical Applications
11.7 Empirical Example: Nurses Labor Supply
11.8 Further Reading
Notes
Problems
12 Nonstationary Panels
12.1 Introduction
12.2 Panel Unit Roots Tests Assuming Cross-sectional Independence
12.3 Panel Unit Roots Tests Allowing for Cross-sectional Dependence
1204 Spurious Regression in Panel Data
12.5 Panel Cointegration Tests
12.6 Estimation and Inference in Panel Cointegration Models
12.7 Empirical Example: Purchasing Power Parity
12.8 Further Reading
Notes
Problems
References
Index
193
196
200
201
205
205
208
210
214
216
219
220
226
233
233
237
237
245
246
251
256
260
262
266
268
269
273
273
275
284
287
292
298
301
303
308
308
311
337
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