Panel Data Econometrics : Empirical Applications

Panel Data Econometrics: Empirical Applications 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 advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts Cover......Page 1 Panel Data Econometrics: Empirical Applications......Page 3 Copyright......Page 4 Contributors......Page 5 Detailed Presentation......Page 7 General References......Page 15 Introduction......Page 16 Regulatory Background......Page 19 The Relationships Among Capital, Risk, and Efficiency: Theoretical Hypotheses......Page 21 Empirical Model......Page 22 Network Model......Page 23 Variables Affecting Changes in Capital, Risk and Efficiency......Page 25 Measures of Cost Efficiency......Page 26 Endogenity......Page 27 Spatial Correlation......Page 28 Spatial Weights Matrix and Financial Network......Page 30 Estimation and Testing When the Weights Matrix Is Misspecified......Page 34 Correction for Selection Bias......Page 37 Data......Page 38 Estimation of Cost Efficiency......Page 42 Relationships Between Changes in Capital, Risk and Efficiency......Page 43 Impact of Regulatory Pressures on Changes in Capital and Risk......Page 45 The Spatial Effects......Page 46 Concluding Remarks......Page 49 Appendix A: A Stochastic Frontier Model......Page 50 Quasi-Maximum Likelihood Formulation......Page 53 Appendix C: Variable Definitions......Page 54 Appendix D: Tables......Page 56 References......Page 74 Further Reading......Page 77 Introduction......Page 78 Pupil Level Analyses......Page 79 School Level Studies......Page 82 Cohort Analyses......Page 84 Peer Effects......Page 85 Intergenerational Analysis......Page 88 Efficiency Analysis......Page 90 Dynamic Discrete Choice Models......Page 94 Conclusions......Page 96 References......Page 97 Further Reading......Page 104 Introduction......Page 105 Cost, Derived Demand, and Profit Functions......Page 107 Pooled and Fixed-Effects Panel Data Modeling......Page 109 Single-Output Input Demand, Cost, and Production Functions......Page 110 Cost Savings From Economies of Vertical Integration......Page 114 Single or Multiple Good Outputs With Bads......Page 117 Railroads......Page 118 Airlines......Page 119 A Control Function Approach......Page 122 Conclusion......Page 124 References......Page 125 Introduction......Page 130 Why Do Economists Conduct Experiments?......Page 131 Controlling for Factors Through Experimental Design......Page 133 The Panel Structure of Experimental Data in Auctions......Page 135 Common or Private Value Auctions and Sequential Single Unit Sales......Page 137 Procurement Auctions......Page 142 Auction in Environmental Economics......Page 143 Multiunit Auctions......Page 144 Auction as an Elicitation Method......Page 145 Fixed Effects......Page 146 Fixed Effects and Random Effects......Page 148 Mixed Effects......Page 149 Conclusion......Page 150 References......Page 151 Further Reading......Page 154 Introduction......Page 155 Cross-Lagged Panel Models......Page 157 Dynamic Panel Data Models......Page 158 GMM Estimation......Page 159 ML Estimation of Dynamic Panel Models......Page 161 ML Estimation Via SEM......Page 162 Empirical Example......Page 165 Monte Carlo Study......Page 169 Discussion and Conclusion......Page 174 Results From Monte Carlo Simulations......Page 177 Explanation......Page 183 Mplus......Page 184 Explanation......Page 185 lavaan (R package)......Page 186 Explanation......Page 187 Introduction......Page 190 Panel Surveys......Page 192 Panel Survey Studies......Page 195 Pseudo Panels......Page 198 Supply-Side Studies......Page 199 Case Study Background, Methodology, and Data......Page 203 Case Study Results......Page 209 References......Page 212 Introduction......Page 216 Generating a Panel Data Set......Page 217 Scale Economies and Technical Change......Page 221 Scope Economies......Page 226 Assessing Bank Efficiency Using Frontier Models......Page 228 Bank Competition......Page 231 Productivity Analysis......Page 233 Other Banking Topics......Page 235 Summary......Page 240 References......Page 553 Introduction......Page 245 Literature Review......Page 247 Quantile Panel Estimators......Page 248 Statistical Tests......Page 252 Goodness of Fit Measures for Quantile Panel Estimators......Page 253 Application to Systemic Risk......Page 254 Systemic Risk Measurement......Page 255 Estimation and Results......Page 258 Discussion and Policy Implications......Page 264 Conclusion......Page 267 Anova Tables......Page 268 References......Page 269 Chapter Outline......Page 271 Introduction......Page 272 Impacts of Trade and Aid on Growth: Panel Data Analysis......Page 273 Unemployment Inflation Tradeoffs Across OECD Countries......Page 278 Inflation and Unemployment Trade-Offs: Country-Specific Phillips Curves......Page 279 Panel Data Model for Inflation and Unemployment Trade-Offs......Page 282 Regressions of Inflation on Growth Rates: Country Specific Supply Functions......Page 283 Panel VAR Model of Inflation and Unemployment Trade-Offs in OECD Countries......Page 284 Determinants of Trade and Growth in South Asia......Page 290 Empirical Literature on FDI and Growth......Page 293 Panel Regression Analysis on Impacts of FDI in Growth and Investment......Page 295 Panel Regressions of Trade Ratios in the Global Economy......Page 299 Cognitive Skill and Economic Growth......Page 302 Panel Unit Root Test......Page 304 Larsson, Fisher, Kao, and Pedroni Tests of Panel Cointegration......Page 305 Construction of Panel Data Workfile in Eviews......Page 307 Conclusion......Page 308 References......Page 309 References......Page 313 Introduction......Page 315 Health Outcome Regression Models......Page 318 The UKHLS and BHPS Datasets......Page 319 Self-Reported Health......Page 320 Blood-Based Biomarkers......Page 321 Other Covariates......Page 322 Empirical Results......Page 323 Conclusions......Page 337 Descriptive Statistics......Page 338 Income gradients in self-reported health measures for the nurse visits subsample......Page 341 References......Page 344 Chapter Outline......Page 348 Data Sources......Page 349 Securitization and Lending......Page 351 Methodology......Page 352 Securitization and Bank Business Models......Page 353 Types of Securitization and Asymmetric Information......Page 357 Subprime Mortgage Lending......Page 358 Corporate Lending......Page 360 Securitization and Financial Stability......Page 362 Methodology......Page 364 Global Banking and Credit......Page 367 Conclusion......Page 371 References......Page 372 Introduction......Page 376 A Brief Sketch of Stochastic Frontier Analysis......Page 379 Technical Efficiency......Page 381 Endogenous Regressors......Page 382 Technology Classes......Page 383 Empirical Application......Page 385 Data......Page 386 Do States Belong in Different Innovation Regimes?......Page 388 Do States Change Innovation Class Membership?......Page 393 Conclusions......Page 396 Models Parameter Identification......Page 397 References......Page 402 Introduction......Page 406 Hypotheses to be Tested and Related Literature......Page 409 A managerial Preference Function......Page 412 Cost and Revenue Efficiency......Page 415 Data Description......Page 416 Managerial Preferences Across Countries and Over Time Using Accounting Ratios......Page 421 Managerial Preferences Across Countries and Over Time Using Efficiency Scores......Page 424 Managerial Preferences by Organizational Type Using Efficiency Scores......Page 427 Second Stage Regression: Factors Affecting Alphas......Page 432 Panel Vector Autoregression (VAR) Analysis......Page 433 Conclusion......Page 437 Appendix......Page 440 References......Page 576 Further Reading......Page 443 Introduction......Page 444 The Bolivian Deposit Insurance Scheme......Page 446 Methodology......Page 449 Data......Page 451 Results......Page 455 Conclusions......Page 464 References......Page 468 Further Reading......Page 469 Introduction......Page 470 Export Pricing With Micro Data: Gravity-Type Models......Page 471 Quality and Firm Export Pricing......Page 474 Markups and Exchange Rate Pass-Throughs......Page 476 Financial Constraints......Page 477 The Dataset for Greek Exporting Firms......Page 478 Panel Data Evidence From Greek Exporters......Page 480 Acknowledgments......Page 486 Introduction......Page 490 Motivation......Page 493 The Single Time Trend Model......Page 494 The Multiple Time Trends Model......Page 495 The General Index Model......Page 496 The Technology Shifters Model......Page 497 Variables Definitions......Page 499 Observable Technology Shifters......Page 501 Managing the Missing Units Data......Page 502 An Analysis of Coefficients......Page 504 An Analysis of Elasticities......Page 514 Motivation......Page 515 Model......Page 516 Variables and Functional Forms for GDPit and δit......Page 518 Data......Page 520 Estimation Results......Page 521 Conclusion......Page 526 Appendix......Page 527 References......Page 532 Further Reading......Page 534 Introduction......Page 535 Data and Data Transformation......Page 538 Theory, Methods, and the Test Statistics......Page 540 The Test Statistics......Page 541 Unconditional Analysis......Page 543 Conditional Analysis......Page 544 Test Results for Household Registration Type......Page 545 Test Results for Gender of Household Head......Page 546 Test Results for Age Cohorts......Page 547 Test Results for Educational Levels......Page 548 Test Results for Household Sizes......Page 550 Summary and Conclusion......Page 552 Introduction......Page 556 Neural Networks in Business and Economics......Page 558 Semiparametric NPF......Page 560 Measures of Interest......Page 561 Econometric Estimation......Page 563 Empirical Analysis......Page 565 Conclusion......Page 572 Appendix......Page 573 Broyden-Fletcher-Goldfarb-Shannon Method......Page 575 Further Reading......Page 580 B......Page 582 D......Page 583 E......Page 584 G......Page 585 K......Page 586 O......Page 587 Q......Page 588 S......Page 589 U......Page 590 W......Page 591 Back Cover......Page 592 Panel Data Econometrics II: Empirical Applications is an accessible introduction to econometric modeling using longitudinal datasets for applied researchers as written by leading experts from diverse application environments. The work emphasizes applications across econometrics, along with discussions of many industries making use of econometric findings, including banking, financial markets, tourism and transportation, auctions and experimental economics. Throughout, contributors seek to emphasize how various techniques can be implemented in these settings. Extensive case studies, empirical exercises and supplementary code in R accompany each chapter, helping researchers easily replicate analyses for their fields. -- Provided by publisher "Panel Data Econometrics II: Empirical Applications is an accessible introduction to econometric modeling using longitudinal datasets for applied researchers as written by leading experts from diverse application environments. The work emphasizes applications across econometrics, along with discussions of many industries making use of econometric findings, including banking, financial markets, tourism and transportation, auctions and experimental economics. Throughout, contributors seek to emphasize how various techniques can be implemented in these settings. Extensive case studies, empirical exercises and supplementary code in R accompany each chapter, helping researchers easily replicate analyses for their fields" -- Résumé de l'éditeur