Analysis of Panels and Limited Dependent Variable Models (eBook, PDF)

Redaktion: Hsiao, Cheng

• Format: PDF

Produktbeschreibung

This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 29. Juli 1999
• Englisch
• ISBN-13: 9780511035814
• Artikelnr.: 38190551

Inhaltsangabe

Foreword: Z. Griliches; Editorial introduction M. Hashem Pesaran, C. Hsiao,
K. Lahiri and L. Lee; 1. A note on left censoring T. Amemiya; 2.
Autoregressive models with sample selectivity for panel data M. Arellano,
O. Bover and J. Labbeaga; 3. Prediction from the regression model with
one-way error components R. Baillie and B. Baltagi; Mixture of normal
probit models J. Geweke and M. Keane; 4. A Monte Carlo study of
EC-estimation in panel data models with limited dependent variables and
heterogeneity M. El-Gamal and D. Grether; 5. Expectations of expansions for
estimators in a dynamic panel data model; Some results for weakly-exogenous
regressors J. F. Kiviet; 6. Bayes estimation of short-run coefficients in
dynamic panel data models C. Hsiao, M. Hashem Pesaran and A. Kamil
Tahmiscioglu; 7. Re-examining the rational expectations hypothesis using
panel data on multiperiod forecasts A. Davies and K. Lahiri; 8. Estimation
of dynamic limited-dependent rational expectations models L. Lee; 9.
Properties of alternative estimators of dynamic panel models: an empirical
analysis of cross-country data for the study of economic growth M. Nerlove;
10. Bias reduction in estimating long-run relationships from dynamic
heterogeneous panels M. Hashem Pesaran and Z. Zhao; 11. Modified
generalised instrumental variables estimation of panel data models with
strictly exogenous variables S. Chan Ahn and P. Schmidt; 12. A biography of
G. S. Maddala.