'Econometric Analysis of Panel Data' has become established as the leading textbook for postgraduate courses in panel data. This book is intended as a companion to the main text. The prerequisites include a good background in mathematical statistics and econometrics. The companion guide will add value to the existing textbooks on panel data by solving exercises in a logical and pedagogical manner, helping the reader understand, learn and teach panel data. These exercises are based upon those in Baltagi (2008) and are complementary to that text even though they are stand alone material and the reader can learn the basic material as they go through these exercises. The exercises in this book start by providing some background material on partitioned regressions and the Frisch-Waugh-Lovell theorem, showing the reader some applications of this material that are useful in practice. Then it goes through the basic material on fixed and random effects models in a one-way and two-way error components models, following the same outline as in Baltagi (2008). The book also provides some empirical illustrations and examples using Stata and EViews that the reader can replicate. The data sets are available on the Wiley web site (www.wileyeurope.com/college/baltagi).
This book is a companion to Baltagi's (2008) leading graduateeconometrics textbook on panel data entitled
EconometricAnalysis of Panel Data, 4 th Edition.
The book guides the student of panel data econometrics bysolving exercises in a logical and pedagogical manner, helping thereader understand, learn and apply panel data methods. It is also ahelpful tool for those who like to learn by solving exercises andrunning software to replicate empirical studies. It works as acomplementary study guide to Baltagi (2008) and also as a standalone book that builds up the reader's confidence in workingout difficult exercises in panel data econometrics and applyingthese methods to empirical work.
The exercises start by providing some background information onpartitioned regressions and the Frisch-Waugh-Lovell theorem. Thenit goes through the basic material on fixed and random effectsmodels in a one-way and two-way error components models: basicestimation, test of hypotheses and prediction. This include maximumlikelihood estimation, testing for poolability of the data, testingfor the significance of individual and time effects, as well asHausman s test for correlated effects. It also provides extensionsof panel data techniques to serial correlation, spatialcorrelation, heteroskedasticity, seemingly unrelated regressions,simultaneous equations, dynamic panel models, incomplete panels,measurement error, count panels, rotating panels, limited dependentvariables, and non-stationary panels.
The book provides several empirical examples that are useful toapplied researchers, illustrating them using Stata and EViewsshowing the reader how to replicate these studies. The datasets are provided on the Wiley web site: www.wileyeurope.com/college/baltagi.
This book is a companion to Baltagi's (2008) leading graduateeconometrics textbook on panel data entitled
EconometricAnalysis of Panel Data, 4 th Edition.
The book guides the student of panel data econometrics bysolving exercises in a logical and pedagogical manner, helping thereader understand, learn and apply panel data methods. It is also ahelpful tool for those who like to learn by solving exercises andrunning software to replicate empirical studies. It works as acomplementary study guide to Baltagi (2008) and also as a standalone book that builds up the reader's confidence in workingout difficult exercises in panel data econometrics and applyingthese methods to empirical work.
The exercises start by providing some background information onpartitioned regressions and the Frisch-Waugh-Lovell theorem. Thenit goes through the basic material on fixed and random effectsmodels in a one-way and two-way error components models: basicestimation, test of hypotheses and prediction. This include maximumlikelihood estimation, testing for poolability of the data, testingfor the significance of individual and time effects, as well asHausman s test for correlated effects. It also provides extensionsof panel data techniques to serial correlation, spatialcorrelation, heteroskedasticity, seemingly unrelated regressions,simultaneous equations, dynamic panel models, incomplete panels,measurement error, count panels, rotating panels, limited dependentvariables, and non-stationary panels.
The book provides several empirical examples that are useful toapplied researchers, illustrating them using Stata and EViewsshowing the reader how to replicate these studies. The datasets are provided on the Wiley web site: www.wileyeurope.com/college/baltagi.