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Panel data econometrics

Author: Arellano, Manuel Publisher: Oxford University Press (OUP) 2003.Language: EnglishDescription: 231 p. ; 24 cm.ISBN: 0199245290Type of document: BookBibliography/Index: Includes bibliographical references and index
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Book Europe Campus
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Print HB139 .A74 2003
(Browse shelf)
001176027
Available 001176027
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Includes bibliographical references and index

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Panel Data Econometrics Contents Preface 1 Introduction xi 1 I Static Models 2 Unobserved Heterogeneity 2.1 Overview 2.2 Fixed Effects Models 2.2.1 Assumptions 2.2.2 Within-Group Estimation 2.3 Heteroskedasticity and Serial Correlation 2.3.1 Robust Standard Errors for Within-Group Estimators 2.3.2 Optimal GLS with Heteroskedasticity and Autocorrelation of Unknown Form 2.3.3 Improved GMM and Minimum Distance Estimation under Heteroskedasticity and Autocorrelation of Unknown Form 2.4 Likelihood Approaches 2.4.1 Joint Likelihood 2.4.2 Conditional Likelihood 2.4.3 Marginal (or Integrated) Likelihood 2.5 Nonlinear Models with Additive Effects 2.5.1 Nonlinear Regression 2.5.2 Linear Structural Equation 2.5.3 Nonlinear Simultaneous Equations 3 Error Components 3.1 A Variance Decomposition 3.2 Error-Components Regression 3.2.1 The Model vii 5 7 7 11 11 14 18 18 20 20 23 24 24 25 27 27 28 29 31 31 34 34 viii Contents 3.2.2 GLS and ML Estimation 3.2.3 GLS, Within-Groups, and Between-Groups 3.3 Testing for Correlated Unobserved Heterogeneity 3.3.1 Specification Tests 3.3.2 Robust Alternatives 3.4 Models with Information in Levels 3.5 Estimating the Error Component Distributions 4 Error in Variables 4.1 An Introduction to the Standard Regression Model with Errors in Variables 4.2 Measurement Error Bias and Unobserved Heterogeneity Bias 4.3 Instrumental Variable Estimation with Panel Data 4.4 Illustration: Measuring Economies of Scale in Firm Money Demand 35 36 37 38 41 42 44 47 47 49 51 53 I I Time Series Models with Error Components 5 Covariance Structures for Dynamic Error Components 5.1 Introduction 5.2 Time Effects 5.3 Moving Average Autocovariances 5.4 Estimating Covariance Structures 5.4.1 GMM/MD Estimation 5.4.2 Using Transformations of the Original Moments 5.4.3 Relationship between GMM and Pseudo ML 5.4.4 Testing Covariance Restrictions 5.5 Illustration: Testing the Permanent Income Hypothesis 6 Autoregressive Models with Individual Effects 6.1 Assumptions 6.2 The Within-Group Estimator 6.3 Instrumental Variable Estimation 6.4 Initial Conditions and Heteroskedasticity 6.4.1 Estimation under Stationarity 6.4.2 Unrestricted Initial Conditions 6.4.3 Time Series Heteroskedasticity 6.4.4 Time Effects in Autoregressive Models 6.5 Mean Stationarity 6.6 Unit Roots 6.7 Estimating and Testing VARs for Firm Employment and Wages 55 57 57 60 64 67 68 70 71 73 75 81 82 84 88 91 91 96 107 108 110 113 116 Contents ix III Dynamics and Predeterminedness 7 Models with both Strictly Exogenous and Lagged Dependent Variables 7.1 The Nature of the Model 7.2 An Example: Cigarette Addiction 7.3 GMM Estimation 7.3.1 2SLS Estimation from a Large T Perspective 7.3.2 Optimal IV Estimation in a Small T, Large N Context 7.3.3 GMM with the Number of Moments Increasing with T 7.3.4 Explanatory Variables Uncorrelated with the Effects 7.3.5 Enforcing Restrictions in the Covariance Matrix 7.4 Maximum Likelihood 7.4.1 Estimation with Unrestricted Covariance Matrix 7.4.2 MLE with Covariance Restrictions 7.4.3 MLE with Correlated xs 8 Predetermined Variables 8.1 Introduction and Examples 8.1.1 Partial Adjustment with Feedback 8.1.2 Euler Equation for Household Consumption 8.1.3 Cross-Country Growth and Convergence 8.2 Large T Within-Group Estimation 8.3 Small T GMM Estimation 8.3.1 Moments and Weight Matrices 8.3.2 The Irrelevance of Filtering 8.4 Optimal Instruments 8.5 Instruments Uncorrelated with the Effects 8.5.1 System Estimators 8.5.2 Stationarity Restrictions 8.5.3 Illustration: A Dynamic Evaluation of Job Training 8.5.4 Time-Invariant Explanatory Variables 8.5.5 Levels Moments Implied by Lack of Serial Correlation 8.6 Estimating the Effect of Fertility on Female Labour Participation 8.7 Other Estimation Methods 127 129 129 130 133 133 134 135 137 137 138 138 140 141 143 144 145 145 148 149 151 151 152 155 159 159 161 162 164 164 165 169 IV Appendices A Generalized Method of Moments Estimation A.1 Method of Moment Estimation Problems A.2 General Formulation A.3 Examples: 2SLS and 3SLS A.4 Consistency of GMM Estimators 175 177 177 180 181 184 x Contents A.5 Asymptotic Normality A.6 Estimating the Asymptotic Variance A.7 Optimal Weight Matrix A.8 Testing the Overidentifying Restrictions B Optimal Instruments in Conditional Models B.1 Introduction B.2 Linear Regression B.3 Nonlinear Regression B.4 Nonlinear Structural Equation B.5 Multivariate Nonlinear Regression B.6 Nonlinear Simultaneous Equation System References Index 185 188 190 192 199 199 200 203 204 206 208 215 227

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