The Econometrics of Panel Data: A Handbook of the Theory with Applications (Advanced Studies in Theoretical and Applied Econometrics)

The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross sections and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi­ culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and pro bit models, latent variable models, duration and count data models, incomplete panels and selectivity bias, point processes, and simulation techniques. Formulation And Estimation Of Econometric Models For Panel Data / Marc Nerlove, Pietro Balestra -- Introduction To Linear Models For Panel Data / Pietro Balestra -- Fixed Effect Models And Fixed Coefficient Models / Pietro Balestra -- Error Components Models / Laszlo Matyas -- Random Coefficients Models / Cheng Hsiao -- Linear Models With Random Regressors / Patrick Sevestre, Alain Trognon -- Dynamic Linear Models / Patrick Sevestre, Alain Trognon -- Dynamic Linear Models For Heterogenous Panels / Hashem Pesaran, Ron Smith, Kyung So Im -- Simultaneous Equations / Jayalakshmi Krishnakumar -- Panel Data With Measurement Errors / Erik Biorn -- Pseudo Panel Data / Marno Verbeek -- Specification Issues / Badi H. Baltagi -- The Pooling Problem / G. S. Maddala, Wanhong Hu -- The Chamberlain Approach / Bruno Crepon, Jacques Mairesse -- Introduction To Nonlinear Models / Christian Gourieroux -- Logit And Probit Models / Cheng Hsiao -- Nonlinear Latent Variable Models / Cheng Hsiao -- Incomplete Panels And Selection Bias / Marno Verbeek, Theo Nijman -- Duration Models / Jean-pierre Florens, Denis Fougere, Michel Mouchart -- Point Processes / Jean-pierre Florens, Denis Fougere -- Improved Estimation Procedures / Offer Lieberman, Laszlo Matyas -- Some Gmm Estimation Methods And Specification Tests For Nonlinear Models / Michael Lechner, Jorg Breitung -- Simulation Techniques / Jean-francois Richard -- Inference In Panel Data Models Via Gibbs Sampling / Siddharta Chib -- Dynamic Labour Demand Models / Georges Bresson, Francis Kramarz, Patrick Sevestre -- Econometric Models Of Company Investment / Richard Blundell, Stephen Bond, Costas Meghir -- Consumption Dynamics And Panel Data: A Survey / Jean-marc Robin -- Estimation Of Labour Supply Functions Using Panel Data: A Survey / Francois Laisney, Winfried Pohlmeier, Matthias Staat -- Individual Labour Market Transitions / Denis Fougere, Thierry Kamionka -- Modelling Companies' Dividend Policy Using Account Panel Data / Jean-francois Malecot -- Panel Data, Multinational Enterprises And Direct Investment / Claude Mathieu -- Production Frontiers And Efficiency Measurement / Christopher Cornwell, Peter Schmidt -- Software Review / Pierre Blanchard Edited By László Mátyás And Patrick Sevestre. Includes Bibliographical References And Index. This completely revised and enhanced second edition of the volume first published in 1992 provides a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Kuh (1959), Mundlak (1961), Hoch (1962), and Balestra and Nerlove (1966), the pooling of cross section and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Much work has been done over the last three decades: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific difficulties associated with the use of panel data are also explored, such as attrition, heterogeneity, selectivity bias, pseudo-panels etc. The second, enhanced edition provides a complete and up to date presentation of these theoretical developments. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and probit models, latent variable models, incomplete panels and selectivity bias, point processes, etc. Nine additional chapters about instrumental variables and generalized method of moments estimators, duration models, count data models, simulation methods, etc. have been included. This volume also provides insights into the use of panel data in empirical studies. Part III deals with surveys in several major fields of applied economics, such as labour and investment demand, labour supply, consumption, transitions on the labour market, and finance. Two new chapters about foreign investment and production frontiers have been included. Audience: The double emphasis of the book (theoretical and applied), together with the fact that all the chapters have been written by well-known specialists in the field, means that it will become a standard reference for all those concerned with the use of panel data in econometrics: advanced students, professional economists or researchers Front Matter....Pages i-2 Formulation and Estimation of Econometric Models for Panel Data....Pages 3-22 Front Matter....Pages 23-23 Introduction to Linear Models for Panel Data....Pages 25-33 Fixed Effect Models and Fixed Coefficient Models....Pages 34-49 Error Components Models....Pages 50-76 Random Coefficients Models....Pages 77-99 Linear Models with Random Regressors....Pages 100-119 Dynamic Linear Models....Pages 120-144 Dynamic Linear Models for Heterogenous Panels....Pages 145-195 Simultaneous Equations....Pages 196-235 Panel Data with Measurement Errors....Pages 236-279 Pseudo Panel Data....Pages 280-292 Specification Issues....Pages 293-306 The Pooling Problem....Pages 307-322 The Chamberlain Approach....Pages 323-395 Front Matter....Pages 397-397 Introduction to Nonlinear Models....Pages 399-409 Logit and Probit Models....Pages 410-428 Nonlinear Latent Variable Models....Pages 429-448 Incomplete Panels and Selection Bias....Pages 449-490 Duration Models....Pages 491-536 Point Processes....Pages 537-572 Front Matter....Pages 397-397 Improved Estimation Procedures....Pages 574-582 Some GMM Estimation Methods and Specification Tests for Nonlinear Models....Pages 583-612 Simulation Techniques....Pages 613-638 Inference in Panel Data Models via Gibbs Sampling....Pages 639-651 Front Matter....Pages 653-653 Introduction to the Applications....Pages 655-659 Dynamic Labour Demand Models....Pages 660-684 Econometric Models of Company Investment....Pages 685-710 Consumption Dynamics and Panel Data: A Survey....Pages 711-732 Estimation of Labour Supply Functions Using Panel Data: A Survey....Pages 733-770 Individual Labour Market Transitions....Pages 771-809 Modelling Companies’ Dividend Policy Using Account Panel Data....Pages 810-822 Panel Data, Multinational Enterprises and Direct Investment....Pages 823-844 Production Frontiers and Efficiency Measurement....Pages 845-878 Software Review....Pages 879-913 Back Matter....Pages 914-924