The Econometrics of Panel Data : Fundamentals and Recent Developments in Theory and Practice (Hardcover)--by Patrick Sevestre [2008 Edition] ISBN: 9783540758891

This completely restructured, updated third 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 four decades: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models, 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. Recently, much work has been done about unit roots and co integration using panel data. Some other fields have also experienced a strong development such as the econometrics of policy evaluation and the analysis of qualitative and truncated dependent variable models, among others, which all are also discussed. The third, enhanced edition provides a complete and up to date presentation of these theoretical developments as well as surveys about how these econometric tools are used to study firms and household s behaviors and/or more macroeconomic phenomena such as economic growth. It contains sixteen entirely new chapters while the others have been largely revised to account for recent developments in the field. Part I is concerned with the fundamentals of panel data econometrics, both linear and non linear; Part II deals with more advanced topics such as dynamic models, simultaneity and measurement errors, unit roots and co integration, incomplete panels and selectivity, duration and count models, etc. 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 investment demand, foreign direct investment and international trade, production efficiency, labour supply, transitions on the labour market, etc. Six new chapters about R&D and innovation, wages, health economics, policy evaluation, growth empirics and the impact of monetary policy have been included. Cover......Page 1 Title Page......Page 4 Copyright......Page 5 Preface......Page 6 Contents......Page 8 List of Contributors......Page 22 Part I: Fundamentals......Page 28 1. Introduction......Page 30 2. Fixed Effects Models and Fixed Coefficients Models......Page 50 3. Error Components Models......Page 76 4. Endogenous Regressors and Correlated Effects......Page 116 5. The Chamberlain Approach to Panel Data: An Overview and Some Simulations......Page 140 6. Random Coefficient Models......Page 212 7. Parametric Binary Choice Models......Page 242 Part II: Advanced Topics......Page 274 8. Dynamic Models for Short Panels......Page 276 9. Unit Roots and Cointegration in Panels......Page 306 10. Measurement Errors and Simultaneity......Page 350 11. Psuedo-Panels and Repeated Cross-Sections......Page 396 12. Attrition, Selection Bias and Censored Regressions......Page 411 13. Simulation Techniques for Panels: Efficient Importaqnce Sampling......Page 446 14. Semi-parametric and Non-parametric Methods in Panel Data Models......Page 478 15. Panel Data Modeling and Inference: A Bayesian Primer......Page 506 16. To Pool or Not to Pool?......Page 544 17. Duration Models and Point Processes......Page 574 18. GMM for Panel Data Count Models......Page 630 19. Spatial Panel Econometrics......Page 652 Part III: Applications......Page 688 20. Foreign Direct Investment: Lessons from Panel Data......Page 690 21. Stochastic Frontier Analysis and Efficiency Estimation......Page 724 22. Econometric Analyses of Linked Employer-Employee Data......Page 754 23. Life Cycle Labor Supply and Panel Data: A Survey......Page 788 24. Dynamic Policy Analysis......Page 822 25. Econometrics of Individual Labor Market Transitions......Page 892 26. Software Review......Page 934 References......Page 976 The aim of this third, completely re-written, re-edited and considerably expanded, edition of this book is to provide a general overview of both the basics and - cent, more sophisticated, theoretical developments in panel data econometrics. It also aims at covering a number of?elds of applications where these methods are used for improving our knowledge and understanding of economic agents'beh- iors. Since the pioneering works of Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross s- tions 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, reliable and informative results than would be achievable by one type of series alone. Over the last three decades of the last century, much fundamental work has been done: investigation of the properties of different estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. The more recent years and in particular the ten years elapsed since the second edition of this book have witnessed even more considerable changes. Indeed, our ability to estimate and test nonlinear models have dramatically improved and issues such as the unobserved heterogeneity in nonlinear models, attrition and selectivity bias have received considerable attention. This explains why the number of chapters dealing with such issues has increased in this third edition. This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics. This Volume Provides A General Overview Of The Econometrics Of Panel Data, Both From A Theoretical And From An Applied Viewpoint. This Third Edition Provides A Presentation Of Theoretical Developments As Well As Surveys About How Econometric Tools Are Used To Study Firms And Household's Behaviors. Lászlo Mátyás, Patrick Sevestre (eds.). Includes Bibliographical References.