| Edition |
2nd ed |
| Descript |
1 online resource (384 pages) |
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text txt rdacontent |
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computer c rdamedia |
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online resource cr rdacarrier |
| Series |
Econometric Society Monographs ; v.34 |
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Econometric Society Monographs
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| Note |
Cover -- Half-title -- Series-title -- Title -- Copyright -- Dedication -- Contents -- Preface to the Second Edition -- Preface to the First Edition -- CHAPTER 1 Introduction -- 1.1 ADVANTAGES OF PANEL DATA -- 1.2 ISSUES INVOLVED IN UTILIZING PANEL DATA -- 1.2.1 Heterogeneity Bias -- 1.2.2 Selectivity Bias -- 1.3 OUTLINE OF THE MONOGRAPH -- CHAPTER 2 Analysis of Covariance -- 2.1 INTRODUCTION -- 2.2 ANALYSIS OF COVARIANCE -- 2.3 AN EXAMPLE -- CHAPTER 3 Simple Regression with Variable Intercepts -- 3.1 INTRODUCTION -- 3.2 FIXED-EFFECTS MODELS: LEAST-SQUARES DUMMY-VARIABLE APPROACH -- 3.3 RANDOM-EFFECTS MODELS: ESTIMATION OF VARIANCE-COMPONENTS MODELS -- 3.3.1 Covariance Estimation -- 3.3.2 Generalized-Least-Squares Estimation -- 3.3.3 Maximum Likelihood Estimation -- 3.4 FIXED EFFECTS OR RANDOM EFFECTS -- 3.4.1 An Example -- 3.4.2 Conditional Inference or Unconditional (Marginal) Inference -- 3.4.2.a Mundlak's Formulation -- 3.4.2.b Conditional and Unconditional Inferences in the Presence or Absence of Correlation between Individual Effects… -- 3.5 TESTS FOR MISSPECIFICATION -- 3.6 MODELS WITH SPECIFIC VARIABLES AND BOTH INDIVIDUAL- AND TIME-SPECIFIC EFFECTS -- 3.6.1 Estimation of Models with Individual-Specific Variables -- 3.6.2 Estimation of Models with Both Individual and Time Effects -- 3.7 HETEROSCEDASTICITY -- 3.8 MODELS WITH SERIALLY CORRELATED ERRORS -- 3.9 MODELS WITH ARBITRARY ERROR STRUCTURE - CHAMBERLAIN Pi APPROACH -- APPENDIX 3A: CONSISTENCY AND ASYMPTOTIC NORMALITY OF THE MINIMUM-DISTANCE ESTIMATOR -- APPENDIX 3B: CHARACTERISTIC VECTORS AND THE INVERSE OF THE VARIANCE-COVARIANCE MATRIX OF A THREE-COMPONENT MODEL -- CHAPTER 4 Dynamic Models with Variable Intercepts -- 4.1 INTRODUCTION -- 4.2 THE COVARIANCE ESTIMATOR -- 4.3 RANDOM-EFFECTS MODELS -- 4.3.1 Bias in the OLS Estimator -- 4.3.2 Model Formulation |
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4.3.3 Estimation of Random-Effects Models -- 4.3.3.a Maximum Likelihood Estimator -- 4.3.3.b Generalized Least-Squares Estimator -- 4.3.3.c Instrumental-Variable Estimator -- 4.3.3.d Generalized Method of Moments Estimator -- 4.3.4 Testing Some Maintained Hypotheses on Initial Conditions -- 4.3.5 Simulation Evidence -- 4.4 AN EXAMPLE -- 4.5 FIXED-EFFECTS MODELS -- 4.5.1 Transformed Likelihood Approach -- 4.5.2 Minimum-Distance Estimator -- 4.5.3 Relations between the Likelihood-Based Estimator and the Generalized Method of Moments Estimated (GMM) -- 4.5.4 Random- versus Fixed-Effects Specification -- 4.6 ESTIMATION OF DYNAMIC MODELS WITH ARBITRARY CORRELATIONS IN THE RESIDUALS -- 4.7 FIXED-EFFECTS VECTOR AUTOREGRESSIVE MODELS -- 4.7.1 Model Formulation -- 4.7.2 GMM Estimation -- 4.7.3 (Transformed) Maximum Likelihood Estimator -- 4.7.4 Minimum-Distance Estimator -- APPENDIX 4A: DERIVATION OF THE ASYMPTOTIC COVARIANCE MATRIX OF THE FEASIBLE MDE -- CHAPTER 5 Simultaneous-Equations Models -- 5.1 INTRODUCTION -- 5.2 JOINT GENERALIZED-LEAST-SQUARES ESTIMATION TECHNIQUE -- 5.3 ESTIMATION OF STRUCTURAL EQUATIONS -- 5.3.1 Estimation of a Single Equation in the Structural Model -- 5.3.2 Estimation of the Complete Structural System -- 5.4 TRIANGULAR SYSTEM -- 5.4.1 Identification -- 5.4.2 Estimation -- 5.4.2.a Instrumental-Variable Method -- 5.4.2.b Maximum-Likelihood Method -- 5.4.3 An Example -- APPENDIX 5A -- CHAPTER 6 Variable-Coefficient Models -- 6.1 INTRODUCTION -- 6.2 COEFFICIENTS THAT VARY OVER CROSS-SECTIONAL UNITS -- 6.2.1 Fixed-Coefficient Model -- 6.2.2 Random-Coefficient Model -- 6.2.2.a The Model -- 6.2.2.b Estimation -- 6.2.2.c Predicting Individual Coefficients -- 6.2.2.d Testing for Coefficient Variation -- 6.2.2.e Fixed or Random Coefficients -- 6.2.2.f An Example -- 6.3 COEFFICIENTS THAT VARY OVER TIME AND CROSS-SECTIONAL UNITS |
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6.3.1 The Model -- 6.3.2 Fixed-Coefficient Model -- 6.3.3 Random-Coefficient Model -- 6.4 COEFFICIENTS THAT EVOLVE OVER TIME -- 6.4.1 The Model -- 6.4.2 Predicting Beta by the Kalman Filter -- 6.4.3 Maximum Likelihood Estimation -- 6.4.4 Tests for Parameter Constancy -- 6.5 COEFFICIENTS THAT ARE FUNCTIONS OF OTHER EXOGENOUS VARIABLES -- 6.6 A MIXED FIXED-AND RANDOM-COEFFICIENTS MODEL -- 6.6.1 Model Formulation -- 6.6.2 A Bayes Solution -- 6.6.3 An Example -- 6.6.4 Random or Fixed Parameters -- 6.6.4.a An Example -- 6.6.4.b Model Selection -- 6.7 DYNAMIC RANDOM-COEFFICIENT MODELS -- 6.8 AN EXAMPLE - LIQUIDITY CONSTRAINTS AND FIRM INVESTMENT EXPENDITURE -- APPENDIX 6A: COMBINATION OF TWO NORMAL DISTRIBUTIONS -- CHAPTER 7 Discrete Data -- 7.1 INTRODUCTION -- 7.2 SOME DISCRETE-RESPONSE MODELS -- 7.3 PARAMETRIC APPROACH TO STATIC MODELS WITH HETEROGENEITY -- 7.3.1 Fixed-Effects Models -- 7.3.1.a Maximum Likelihood Estimator -- 7.3.1.b Conditions for the Existence of a Consistent Estimator -- 7.3.1.c Some Monte Carlo Evidence -- 7.3.2 Random-Effects Models -- 7.4 SEMIPARAMETRIC APPROACH TO STATIC MODELS -- 7.4.1 Maximum Score Estimator -- 7.4.2 A Root-N Consistent Semiparametric Estimator -- 7.5 DYNAMIC MODELS -- 7.5.1 The General Model -- 7.5.2 Initial Conditions -- 7.5.3 A Conditional Approach -- 7.5.4 State Dependence versus Heterogeneity -- 7.5.5 Two Examples -- 7.5.5.a Female Employment -- 7.5.5.b Household Brand Choices -- CHAPTER 8 Truncated and Censored Data -- 8.1 INTRODUCTION -- 8.2 AN EXAMPLE - NONRANDOMLY MISSING DATA -- 8.2.1 Introduction -- 8.2.2 A Probability Model of Attrition and Selection Bias -- 8.2.3 Attrition in the Gary Income-Maintenance Experiment -- 8.3 TOBIT MODELS WITH RANDOM INDIVIDUAL EFFECTS -- 8.4 FIXED-EFFECTS ESTIMATOR |
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8.4.1 Pairwise Trimmed Least-Squares and Least-Absolute-Deviation Estimators for Truncated and Censored Regressions -- 8.4.1.a Truncated Regression -- 8.4.1.b Censored Regressions -- 8.4.2 A Semiparametric Two-Step Estimator for the Endogenously Determined Sample Selection Model -- 8.5 AN EXAMPLE: HOUSING EXPENDITURE -- 8.6 DYNAMIC TOBIT MODELS -- 8.6.1 Dynamic Censored Models -- 8.6.2 Dynamic Sample Selection Models -- CHAPTER 9 Incomplete Panel Data -- 9.1 ESTIMATING DISTRIBUTED LAGS IN SHORT PANELS -- 9.1.1 Introduction -- 9.1.2 Common Assumptions -- 9.1.3 Identification Using Prior Structure of the Process of the Exogenous Variable -- 9.1.4 Identification Using Prior Structure of the Lag Coefficients -- 9.1.5 Estimation and Testing -- 9.2 ROTATING OR RANDOMLY MISSING DATA -- 9.3 PSEUDOPANELS (OR REPEATED CROSS-SECTIONAL DATA) -- 9.4 POOLING OF A SINGLE CROSS-SECTIONAL AND A SINGLE TIME-SERIES DATA SET -- 9.4.1 Introduction -- 9.4.2 The Likelihood Approach to Pooling Cross-Sectional and Time-Series Data -- 9.4.3 An Example -- CHAPTER 10 Miscellaneous Topics -- 10.1 SIMULATION METHODS -- 10.2 PANELS WITH LARGE N AND T -- 10.3 UNIT-ROOT TESTS -- 10.4 DATA WITH MULTILEVEL STRUCTURES -- 10.5 ERRORS OF MEASUREMENT -- 10.6 MODELING CROSS-SECTIONAL DEPENDENCE -- CHAPTER 11 A Summary View -- 11.1 INTRODUCTION -- 11.2 BENEFITS AND LIMITATIONS OF PANEL DATA -- 11.2.1 Increasing Degrees of Freedom and Lessening the Problem of Multicollinearity -- 11.2.2 Identification and Discrimination between Competing Hypotheses -- 11.2.3 Reducing Estimation Bias -- 11.2.3.a Omitted-Variable Bias -- 11.2.3.b Bias Induced by the Dynamic Structure of a Model -- 11.2.3.c Simultaneity Bias -- 11.2.3.d Bias Induced by Measurement Errors -- 11.2.4 Providing Micro Foundations for Aggregate Data Analysis -- 11.3 EFFICIENCY OF THE ESTIMATES -- Notes -- Chapter 1 -- Chapter 2 |
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Chapter 3 -- Chapter 4 -- Chapter 5 -- Chapter 6 -- Chapter 7 -- Chapter 8 -- Chapter 9 -- Chapter 10 -- References -- Author Index -- Subject Index |
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This 2003 second edition is a substantial revision of the highly successful first edition of 1986 |
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Description based on publisher supplied metadata and other sources |
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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries |
| Link |
Print version: Hsiao, Cheng Analysis of Panel Data
New York : Cambridge University Press,c2003 9780521818551
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| Subject |
Econometrics.;Panel analysis.;Analysis of variance
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Electronic books
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| Alt Author |
Hammond, Peter
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Holly, Alberto
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