Panel Data Econometrics: Theory

Cover......Page 1
Panel Data
Econometrics:

Theory......Page 3
Copyright......Page 4
Dedication......Page 5
Contributors......Page 6
Foreword......Page 8
Detailed Presentation......Page 10
General References......Page 18
Introduction......Page 19
Some Basic Concepts......Page 20
Maximum Likelihood (ML)......Page 23
Generalized Method of Moments (GMM)......Page 28
Some Examples of Moment Conditions......Page 30
The Standard Linear Model and Least Squares......Page 31
Failure of limtxuT=0......Page 32
Failure of limtxxT=Omega......Page 33
Cointegration......Page 34
Conclusion......Page 35
Order of Magnitude and Convergence......Page 36
References......Page 37
Introduction......Page 39
Models Linear in Parameters......Page 41
An FE Poisson/CF Approach......Page 46
Estimating Average Partial Effects......Page 48
A CRE/Control Function Approach......Page 49
Probit Response Function......Page 50
Pooled Methods......Page 52
Joint Estimation Methods......Page 53
Empirical Example......Page 54
Extensions and Future Directions......Page 56
Relationship Between the FE and Mundlak Residuals......Page 57
Equivalence in Using the FE and Mundlak Residuals in FE Poisson Estimation......Page 58
References......Page 60
Further Reading......Page 61
Introduction......Page 62
Nonlinear Models......Page 65
Coefficients and Partial Effects......Page 67
Identification Through Functional Form......Page 68
Endogeneity......Page 69
Panel Data Models......Page 70
Objects of Estimation......Page 71
Fixed Effects......Page 75
Random Effects......Page 76
Dynamic Models......Page 77
Fixed Effects......Page 78
Unconditional Estimation......Page 79
Concentrated Log Likelihood and Uninformative Observations......Page 80
Conditional Estimation......Page 81
The Incidental Parameters Problem and Bias Reduction......Page 82
Parametric Models......Page 85
Correlated Random Effects......Page 87
Robust Estimation and Inference......Page 88
Attrition......Page 90
Specification Tests......Page 91
Panel Data......Page 93
Random and Unconditional Fixed Effects Probit Models......Page 95
Logit Model and Conditional Fixed Effects Estimation......Page 97
Bivariate and Recursive Binary Choice......Page 101
Stochastic Frontier: Panel Models......Page 102
Count Data......Page 103
Sample Selection Models......Page 105
Individual Choice and Stated Choice Experiments......Page 106
Fixed Effects With Large N and Large T......Page 107
References......Page 108
Introduction......Page 114
How Unobserved Heterogeneity Complicates Estimation......Page 115
Preliminaries......Page 116
Local-Polynomial Weighted Least-Squares......Page 117
Spline-Based Estimation......Page 120
Profile Likelihood Estimation......Page 123
Differencing/Transformation Methods......Page 125
Profile Estimation......Page 127
Marginal Integration......Page 129
Profile Least Squares......Page 130
Estimation With Unbalanced Panel Data......Page 132
Dynamic Panel Estimation......Page 133
The Static Setting......Page 134
Poolability......Page 135
Poolability Through Irrelevant Individual and Time Effects......Page 138
Specification Testing......Page 139
A Hausman Test......Page 141
Simultaneous Confidence Bounds......Page 142
References......Page 144
Introduction......Page 147
Panel Stochastic Frontier Models With Heterogeneity......Page 148
Panel Stochastic Frontier Models With Endogeneity......Page 154
Panel Stochastic Frontier Models With Both Heterogeneity and Endogeneity......Page 157
References......Page 159
Introduction......Page 163
Markov Chain Monte Carlo Simulation Methods......Page 166
The Metropolis-Hastings Algorithm......Page 167
Bayesian Nonparametric Models......Page 168
The Dirichlet Process and the Dirichlet Process Mixture Model......Page 169
Extension I: The Dynamic Poisson Model......Page 173
Extension II: The Dynamic Poisson Model With Latent Heterogeneity......Page 174
Extension III: The Dynamic Poisson Model With Latent Heterogeneity and Serial Error Correlation......Page 175
Semiparametric Panel Count Data Regression Models......Page 176
The Models of Interest......Page 177
MCMC for Model 1......Page 178
Part I......Page 179
Part II......Page 181
Average Marginal Effects for Model 1......Page 182
MCMC for Model 2......Page 183
MCMC for Model 3......Page 184
Model Comparison......Page 186
References......Page 187
Further Reading......Page 189
Introduction......Page 190
Notations and Preliminaries......Page 192
Consistency......Page 194
Asymptotic Expansion......Page 195
Consistency......Page 196
Asymptotic Expansion......Page 197
Panel With Individual Effects and Time Effects......Page 203
Asymptotic Expansion......Page 204
Bias Calculation......Page 208
Acknowledgment......Page 210
References......Page 211
Introduction......Page 212
Static Case......Page 214
Dynamic Case (Pure AR(1))......Page 217
Dynamic Case With Exogenous Covariates......Page 219
The Bivariate Pure VAR(1) Logit Case......Page 221
The Bivariate Logit Model With Exogenous Covariates......Page 224
The General M-Variate, General T VAR(1) Case......Page 227
Static Case......Page 228
Dynamic Case......Page 231
Monte Carlo Experiments......Page 234
Conclusions......Page 235
References......Page 236
Introduction......Page 239
Earlier Models and Shortcomings......Page 240
The Generalized Panel Data Stochastic Frontier Model......Page 244
Plug-in Estimation......Page 246
The FE Versus the RE Framework......Page 249
Full Maximum Likelihood......Page 250
Prediction of the Random Components......Page 252
Maximum Simulated Likelihood......Page 253
Including Determinants of Inefficiency......Page 254
Semiparametric Approaches......Page 256
Recent Applications of the Generalized Panel Data Stochastic Frontier Model......Page 258
References......Page 260
Introduction......Page 264
Cointegration and the Motivation for Panels......Page 267
Strategies for Treating Cross-Sectional Heterogeneity in Cointegration Testing and Inference......Page 271
Treating Heterogeneity in Residual Based Tests for Cointegration......Page 272
Comparison of Residual Based and Error Correction Based Testing......Page 276
Estimation and Testing of Cointegrating Relationships in Heterogeneous Panels......Page 279
Testing Directions of Long-Run Causality in Heterogeneous Cointegrated Panels......Page 283
Strategies for Treating Cross-Sectional Dependence in Heterogeneous Panels......Page 287
A Nonparametric Rank Based Approach to Some Open Challenges......Page 290
New Directions and Challenges for Nonlinear and Time Varying Long-Run Relationships......Page 295
References......Page 299
11
Alternative Approaches to the Econometrics of Panel Data......Page 301
Introduction......Page 302
Models With Nonunique Coefficients and Error Terms for Panel Data......Page 304
Linear-in-Variables and Nonlinear-in-Coefficients Functional Form for Economic Relationships......Page 308
A Deterministic Law......Page 309
Derivation of the Unique Error Term From the Deterministic Law......Page 310
Stochastic Law With Unique Coefficients and Error Term......Page 311
Stochastic Law in Terms of Observable Variables......Page 314
Simultaneous Estimation of the Bias-Free and Omitted-Regressor Bias Components of the Coefficient on Each Nonconstan .........Page 316
Assumptions Appropriate to Time-Series Data Sets Within a Given Panel Data Set......Page 320
Prediction......Page 327
Assumptions Appropriate to Cross-Sectional Data Sets Within a Given Panel Data Set......Page 328
Bayesian Analysis of Panel Data......Page 335
Improvements in the Precisions of the Estimators of Time-Invariant and Individual-Specific Coefficients of the Stoch .........Page 339
A Complete Inference System......Page 340
Simulation-Based Estimation and Inference......Page 341
Empirical Evidence of the Causal Effects of Wives Education on Their Earnings......Page 342
Illuminating the Contrast Between (72) and (79) and an Estimated Earnings and Education Relationship Based on an Inc .........Page 350
Conclusions......Page 351
Proof of the Uniqueness of the Coefficients and Error term of a Stochastic Law......Page 352
References......Page 353
12
Analysis of Panel Data Using R......Page 357
Introduction......Page 358
Loading Data......Page 359
Exploring the Data Sets......Page 360
Pooled OLS Regression......Page 362
Least-Squares Dummy Variables Estimation......Page 363
Conversion between ``Long Format´´ and ``Wide Format´´......Page 366
Creating a Balanced Panel Data Set from an Unbalanced Panel Data Set......Page 368
Preparing the Data Set for Estimations with the plm Package......Page 369
Lagged Variables and First Differences......Page 371
Variable Coefficients Model......Page 372
Fixed-Effects Estimator Based on ``Within´´ Transformation......Page 373
Pooled Estimation......Page 375
Testing Poolability......Page 376
Obtaining Estimates of the Fixed Effects......Page 381
First-Difference Estimator......Page 383
Estimation of the ``Between´´ Estimator......Page 385
Specification of the Random-Effects Model......Page 386
Testing the Assumptions of the Random-Effects Model......Page 387
Locally Robust Tests for Serial Correlation and Random Effects......Page 389
Conditional Tests for AR(1) and MA(1) Errors Under Random Effects......Page 390
General Serial Correlation Tests......Page 391
First-Difference Based Tests......Page 392
Tests for Cross-Sectional Dependence......Page 393
Parameter Tests with Robust Covariance Matrices......Page 394
FGLS Estimator......Page 396
Fixed-Effects Estimation......Page 397
Hausman Test......Page 398
Panel Time Series Models......Page 399
Unit Root Tests for Panel Data......Page 400
Dynamic Panel Data Models......Page 401
Systems of Linear Equations......Page 404
References......Page 407
C......Page 409
E......Page 410
I......Page 411
M......Page 412
P......Page 413
R......Page 414
U......Page 415
W......Page 416
Back Cover......Page 417