Panel Data Econometrics with R

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  • Author : Yves Croissant
  • Publisher : John Wiley & Sons
  • Pages : 328 pages
  • ISBN : 1118949161
  • Rating : /5 from reviews
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Download or Read online Panel Data Econometrics with R full in PDF, ePub and kindle. this book written by Yves Croissant and published by John Wiley & Sons which was released on 22 October 2018 with total page 328 pages. We cannot guarantee that Panel Data Econometrics with R book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. 1 Introduction 5 1.1 Panel data econometrics: a gentle introduction 5 1.1.1 Eliminating unobserved components 6 1.2 R for econometric computing 11 1.2.1 The modus operandi of R 12 1.2.2 Data management 13 1.3 plm for the casual R user 14 1.3.1 R for the matrix language user 14 1.3.2 R for the user of econometric packages 16 1.4 plm for the procient R user 18 1.4.1 Reproducibile econometric work 18 1.4.2 Object-orientation for the user 19 1.5 plm for the R developer 20 1.5.1 Object orientation for development 21 1.6 Notations 24 2 The error component model 31 2.1 Notations and hypotheses 31 2.1.1 Notations 31 2.1.2 Some useful transformations 32 2.1.3 Hypotheses concerning the errors 34 2.2 Ordinary least squares estimators 36 2.2.1 Ordinary least squares on the raw data: the pooling model 36 2.2.2 The between estimator 38 2.2.3 The within estimator 39 2.3 The generalized least squares estimator 44 2.3.1 Presentation of the gls estimator 44 2.3.2 Estimation of the variances of the components of the error 46 2.4 Comparison of the estimators 51 2.4.1 Relations between the estimators 51 2.4.2 Comparison of the variances 52 2.4.3 Fixed vs random eects 53 2.4.4 Some simple linear model examples 55 2.5 The two-ways error components model 60 2.5.1 Error components in the two-ways model 60 2.5.2 Fixed and random eects models 61 2.6 Estimation of a wage equation 62 3 Advanced error components models 67 3.1 Unbalanced panels 67 3.1.1 Individual eects model 67 3.1.2 Two-ways error component model 69 3.1.3 Estimation of the components of the error variance 73 3.2 Seemingly unrelated regression equations 80 3.2.1 Introduction 80 3.2.2 Constrained least squares 81 3.2.3 Inter-equations correlation 82 3.2.4 SUR with panel data 83 3.3 The maximum likelihood estimator 88 3.3.1 Derivation of the likelihood function 89 3.3.2 Computation of the estimator 90 3.4 The nested error components model 92 3.4.1 Presentation of the model 92 3.4.2 Estimation of the variance of the error components 93 4 Tests on error component models 101 4.1 Tests on individual and/of time eects 102 4.1.1 F tests 102 4.1.2 Breusch-Pagan tests 102 4.2 Tests for correlated eects 107 4.2.1 The Mundlak approach 108 4.2.2 Hausman's test 109 4.2.3 Chamberlain's approach 110 4.3 Tests for serial correlation 115 4.3.1 Unobserved eects test 116 4.3.2 Score test of serial correlation and/or individual eects 117 4.3.3 Likelihood Ratio tests for ar(1) and individual eects 120 4.3.4 Applying traditional serial correlation tests to panel data 122 4.3.5 Wald tests for serial correlation 124 4.4 Tests for cross-sectional dependence 126 4.4.1 Pairwise correlation coe-cients 126 4.4.2 cd -type tests for cross-sectional dependence 127 4.4.3 Testing cross-sectional dependence in a pseries 129 5 Robust inference and estimation 133 5.1 Robust inference 133 5.1.1 Robust covariance estimators 134 5.1.2 plm and generic sandwich estimators 145 5.1.3 Robust testing of linear hypotheses 150 5.2 Unrestricted generalized least squares 154 5.2.1 General feasible generalized least squares 155 5.2.2 Applied examples 160 6 Endogeneity 167 6.1 Introduction 167 6.2 The instrumental variables estimator 168 6.2.1 Generalities about the instrumental variables estimator 168 6.2.2 The within instrumental variables estimator 170 6.3 Error components instrumental variables estimator 173 6.3.1 The general model 173 6.3.2 Special cases of the general model 176 6.4 Estimation of a system of equations 186 6.4.1 The three stage least squares estimator 186 6.4.2 The error components three stage least squares estimator 188 6.5 More empirical examples 191 7 Estimation of a dynamic model 193 7.1 Dynamic model and endogeneity 195 7.1.1 The bias of the ols estimator 195 7.1.2 The within estimator 197 7.1.3 Consistent estimation methods for dynamic models 198 7.2 gmm estimation of the dierenced model 201 7.2.1 Instrumental variables

Panel Data Econometrics with R

Panel Data Econometrics with R
  • Author : Yves Croissant,Giovanni Millo
  • Publisher : John Wiley & Sons
  • Release : 22 October 2018
GET THIS BOOK Panel Data Econometrics with R

1 Introduction 5 1.1 Panel data econometrics: a gentle introduction 5 1.1.1 Eliminating unobserved components 6 1.2 R for econometric computing 11 1.2.1 The modus operandi of R 12 1.2.2 Data management 13 1.3 plm for the casual R user 14 1.3.1 R for the matrix language user 14 1.3.2 R for the user of econometric packages 16 1.4 plm for the procient R user 18 1.4.1 Reproducibile econometric work 18 1.4.2 Object-orientation for the user 19 1.5 plm for the R developer 20 1.5.1 Object orientation for development 21 1.6 Notations 24 2 The error component model 31 2.1 Notations and hypotheses 31 2.1.1 Notations 31 2.1.2 Some useful transformations 32 2.1.3 Hypotheses concerning the errors 34 2.2 Ordinary least

Panel Methods for Finance

Panel Methods for Finance
  • Author : Marno Verbeek
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release : 25 October 2021
GET THIS BOOK Panel Methods for Finance

Financial data are typically characterised by a time-series dimension and a cross-sectional dimension. For example, we may observe financial information on a group of firms over a number of years, or we may observe returns of all stocks traded at NYSE over a period of 120 months. Accordingly, econometric modelling in finance requires appropriate attention to these two -- or occasionally more than two -- dimensions of the data. Panel data techniques are developed to do exactly this. This book provides

Econometric Analysis of Panel Data

Econometric Analysis of Panel Data
  • Author : Badi Baltagi
  • Publisher : John Wiley & Sons
  • Release : 30 June 2008
GET THIS BOOK Econometric Analysis of Panel Data

Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation

ECONOMETRIC MODELS WITH PANEL DATA APPLICATIONS WITH STATA

ECONOMETRIC MODELS WITH PANEL DATA  APPLICATIONS WITH STATA
  • Author : César Pérez López
  • Publisher : Lulu Press, Inc
  • Release : 10 April 2021
GET THIS BOOK ECONOMETRIC MODELS WITH PANEL DATA APPLICATIONS WITH STATA

The data panels are a special type of samples in which the behavior of a certain number of economic agents is followed over time. In this way, the researcher can perform economic analysis and specify models with the data of cross section that are obtained when all operators are considered in an instant of time. Different patterns of behaviour of all agents together studied in the different temporal moments may thus be assessed. Alternatively, you can perform the same analysis

Applied Panel Data Analysis for Economic and Social Surveys

Applied Panel Data Analysis for Economic and Social Surveys
  • Author : Hans-Jürgen Andreß,Katrin Golsch,Alexander W. Schmidt
  • Publisher : Springer Science & Business Media
  • Release : 24 January 2013
GET THIS BOOK Applied Panel Data Analysis for Economic and Social Surveys

Many economic and social surveys are designed as panel studies, which provide important data for describing social changes and testing causal relations between social phenomena. This textbook shows how to manage, describe, and model these kinds of data. It presents models for continuous and categorical dependent variables, focusing either on the level of these variables at different points in time or on their change over time. It covers fixed and random effects models, models for change scores and event history

Panel Data Econometrics

Panel Data Econometrics
  • Author : Mike Tsionas
  • Publisher : Academic Press
  • Release : 19 June 2019
GET THIS BOOK Panel Data Econometrics

Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and

Panel Data Econometrics

Panel Data Econometrics
  • Author : Manuel Arellano
  • Publisher : Oxford University Press
  • Release : 20 May 2022
GET THIS BOOK Panel Data Econometrics

Written by one of the world's leading experts on dynamic panel data reviews, this volume reviews most of the important topics in the subject. It deals with static models, dynamic models, discrete choice and related models.

Panel Data Econometrics

Panel Data Econometrics
  • Author : Badi H. Baltagi
  • Publisher : Emerald Group Publishing
  • Release : 01 April 2006
GET THIS BOOK Panel Data Econometrics

This volume includes some of the papers presented at the 11th International Conference on Panel Data, Texas, June 2004, and other solicited papers that passed the refereeing process and includes such topics as dynamic panel data estimation, non-linear panel data methods and the phenomenal growth in non-stationary panel data econometrics.

Analysis of Panel Data

Analysis of Panel Data
  • Author : Cheng Hsiao
  • Publisher : Cambridge University Press
  • Release : 13 February 2003
GET THIS BOOK Analysis of Panel Data

This book reviews the basic econometric methods that have been used to analyze panel data - in other words, data collected by observing a number of individuals over time. Copyright © Libri GmbH. All rights reserved.

Panel Data Econometrics

Panel Data Econometrics
  • Author : Manuel Arellano
  • Publisher : OUP Oxford
  • Release : 26 June 2003
GET THIS BOOK Panel Data Econometrics

This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling. The book combines methods and applications, so will appeal to both the academic and practitioner markets. The book is divided in four parts. Part I concerns static models, and deals with the problem of unobserved

Panel Data Econometrics

Panel Data Econometrics
  • Author : Donggyu Sul
  • Publisher : Routledge
  • Release : 07 February 2019
GET THIS BOOK Panel Data Econometrics

In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims

Time Series and Panel Data Econometrics

Time Series and Panel Data Econometrics
  • Author : M. Hashem Pesaran
  • Publisher : Oxford University Press, USA
  • Release : 01 October 2015
GET THIS BOOK Time Series and Panel Data Econometrics

This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel

The Econometrics of Panel Data

The Econometrics of Panel Data
  • Author : Lászlo Mátyás,Patrick Sevestre
  • Publisher : Springer Science & Business Media
  • Release : 06 April 2008
GET THIS BOOK The Econometrics of Panel Data

This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those

Econometrics of Panel Data

Econometrics of Panel Data
  • Author : Erik Biørn
  • Publisher : Oxford University Press
  • Release : 13 October 2016
GET THIS BOOK Econometrics of Panel Data

Panel data is a data type increasingly used in research in economics, social sciences, and medicine. Its primary characteristic is that the data variation goes jointly over space (across individuals, firms, countries, etc.) and time (over years, months, etc.). Panel data allow examination of problems that cannot be handled by cross-section data or time-series data. Panel data analysis is a core field in modern econometrics and multivariate statistics, and studies based on such data occupy a growing part of the