Panel Data Econometrics : Theory

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 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: 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