Title Details

Badi H. Baltagi is distinguished Professor of Economics and Senior Research Asssociate at the Center for Policy Research at Syracuse University. He was previously at TexasA&M University and the University of Houston. He is the author of Econometric Analysis of Panel Data and Econometrics and editor of A Companion to Theoretical Econometrics; Recent Developments in the Econometrics of Panel Data, Volumes I and II; Nonstationary Panels, Panel Cointegration, and Dynamic Panels; and author or co-author of over 100 publications, all in leading economics and statistics journals. Professor Baltagi is co-editor of Empirical Economics, and associate editor of Journal of Econometrics and Econometric Reviews. He is the replication editor of the Journal of Applied Econometrics and the series editor for Contributions to Economic Analysis. He is a fellow of the Journal of Econometrics and a recipient of the Plura Scripsit Award from Econometric Theory.

Preface.

1. Introduction.

1.1 Panel Data: Some Examples.

1.2 Why Should We Use Panel Data? Their Benefits and Limitations.

Note.

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.

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.

4. Test of Hypotheses with Panel Data.

4.1 Tests for Poolability of the Data.

4.2 Tests for Individual and Time Effects.

4.3 Hausman’s Specification Test.

4.4 Further Reading.

Notes.

Problems.

5. Heteroskedasticity and Serial Correlation in the Error Component Model.

5.1 Heteroskedasticity.

5.2 Serial Correlation.

Notes.

Problems.

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.

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 Extensions.

Notes.

Problems.

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 Example: Dynamic Demand for Cigarettes.

8.9 Further Reading.

Notes.

Problems.

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 Model.

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.

10.4 Alternative 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.

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 Models with Panel Data.

11.3 Dynamic Panel Data Limited Dependent Variable Models.

11.4 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.

12.4 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.

"This is a definitive book written by one of the architects of modern panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly. Since it's first publication in 1995, it has quickly become a standard accompanying text in advanced econometrics courses around the world, and a major reference for researchers doing empirical work with longitudinal data."
—Professor Kajal Lahiri, State University of New York, Albany, USA.