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Econometric Analysis of Panel Data
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Preface xi 1 Introduction 1 1.1 Panel Data: Some Examples 1 1.2 Why Should We Use Panel Data? Their Benefits and Limitations 6 Note 11 2 The One-way Error Component Regression Model 13 2.1 Introduction 13 2.2 The One-way Fixed Effects Model 14 2.3 The One-way Random Effects Model 20 2.4 Maximum Likelihood Estimation 25 2.5 Prediction 26 2.6 Examples 27 2.7 Selected Applications 34 2.8 Computational Note 34 Notes 34 Problems 35 3 The Two-way Error Component Regression Model 39 3.1 Introduction 39 3.2 The Two-way Fixed Effects Model 39 3.3 The Two-way Random Effects Model 42 3.4 Maximum Likelihood Estimation 47 3.5 Prediction 49 3.6 Examples 50 3.7 Computational Note 53 Notes 55 Problems 55 4 Test of Hypotheses with Panel Data 63 4.1 Tests for Poolability 63 4.2 Tests for Individual and Time Effects 68 4.3 Hausman?s Specification Test 76 4.4 Further Reading 86 Notes 88 Problems 88 5 Heteroskedasticity and Serial Correlation in the Error Component Model 91 5.1 Heteroskedasticity 91 5.2 Serial Correlation 96 5.3 Time-wise Autocorrelated and Cross-sectionally Heteroskedastic Panel Regression 115 5.4 Further Reading 119 Notes 119 Problems 120 6 Seemingly Unrelated Regressions with Error Components 123 6.1 The One-way Model 123 6.2 The Two-way Model 124 6.3 Applications and Extensions 125 Problems 127 7 Simultaneous Equations with Error Components 129 7.1 Single Equation Estimation 129 7.2 Empirical Example: Crime in North Carolina 132 7.3 System Estimation 138 7.4 The Hausman and Taylor Estimator 141 7.5 Empirical Example: Earnings Equation Using PSID Data 144 7.6 Further Reading 147 Notes 150 Problems 150 8 Dynamic Panel Data Models 155 8.1 Introduction 155 8.2 The Arellano and Bond Estimator 157 8.3 The Arellano and Bover Estimator 161 8.4 The Ahn and Schmidt Moment Conditions 164 8.5 The Blundell and Bond System GMM Estimator 167 8.6 The Keane and Runkle Estimator 168 8.7 Limited Information Maximum Likelihood 171 8.8 Further Developments 172 8.9 Empirical Examples 175 8.10 Selected Applications 179 8.11 Further Reading 182 Notes 183 Problems 183 9 Unbalanced Panel Data Models 187 9.1 Introduction 187 9.2 The Unbalanced One-way Error Component Model 187 9.3 Empirical Example: Hedonic Housing 194 9.4 The Unbalanced Two-way Error Component Model 197 9.5 Testing for Individual and Time Effects Using Unbalanced Panel Data 200 9.6 The Unbalanced Nested Error Component Model 203 Notes 208 Problems 209 10 Special Topics 213 10.1 Measurement Error and Panel Data 213 10.2 Rotating Panels 216 10.3 Pseudo Panels 218 10.4 Short-run versus Long-run Estimates in Pooled Models 221 10.5 Heterogeneous Panels 222 10.6 Count Panel Data 228 Notes 235 Problems 235 11 Limited Dependent Variables and Panel Data 239 11.1 Fixed and Random Logit and Probit Models 239 11.2 Simulation Estimation of Limited Dependent Variable Models with Panel Data 247 11.3 Dynamic Panel Data Limited Dependent Variable Models 248 11.4 Selection Bias in Panel Data 254 11.5 Censored and Truncated Panel Data Models 258 11.6 Applications 263 11.7 Empirical Example: Nurses? Labour Supply 265 11.8 Further Reading 268 Notes 270 Problems 271 12 Nonstationary Panels 275 12.1 Introduction 275 12.2 Panel Unit Roots Tests Assuming Cross-sectional Independence 277 12.3 Panel Unit Roots Tests Allowing for Cross-sectional Dependence 287 12.4 Spurious Regression in Panel Data 291 12.5 Panel Cointegration Tests 293 12.6 Estimation and Inference in Panel Cointegration Models 299 12.7 Empirical Examples 303 12.8 Further Reading 309 Notes 315 Problems 315 13 Spatial Panel Data Models 319 13.1 Introduction 319 13.2 Spatial Error Component Regression Model 319 13.3 Spatial Lag Panel Data Regression Model 325 13.4 Forecasts using Panel Data with Spatial Error Correlation 329 13.5 Panel Unit Root Tests and Spatial Dependence 330 13.6 Panel Data Tests for Cross-sectional Dependence 332 13.7 Further Reading 336 Problems 337 References 339 Appendix 361 Index 000

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