Econometric Analysis of Panel DataJohn Wiley & Sons, 2008/06/30 - 366 ページ 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 and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models. |
目次
セクション 1 | 6 |
セクション 2 | 11 |
セクション 3 | 31 |
セクション 4 | 57 |
セクション 5 | 87 |
セクション 6 | 115 |
セクション 7 | 136 |
セクション 8 | 147 |
セクション 9 | 181 |
セクション 10 | 275 |
多く使われている語句
2SLS alternative Analysis of Panel applied Arellano and Bond asymptotically distributed autoregressive Baltagi BGLS bias coefficients cointegration Component Regression Model compute dependent variable dummies Durbin-Watson statistic dynamic panel data EC2SLS Econometric Analysis Econometric Theory Econometrica efficient estimator equation error component model exogenous F-statistic finite sample fixed effects estimator fixed effects model given GMM estimator Hausman test heterogeneous heteroskedasticity homoskedastic individual effects Journal of Econometrics lagged least squares linear LM test long-run Maddala maximum likelihood Monte Carlo experiments Nonstationary Panels null hypothesis obtained one-way error component panel cointegration panel data models panel unit root parameters Pedroni performed Pesaran poolability problem random effects model regressors reject the null remainder disturbances restrictions serial correlation set of instruments Stata Table test statistic time-series transformation two-way error component unit root tests variance components variance-covariance matrix vector Wald test yields