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Econometric analysis of panel data. 2nd ed.

Опубликовано на портале: 10-09-2003
Chichester, England: John Wiley & Sons, 2001, 293 с.
Тематический раздел:
This substantially revised second edition of the leading graduate textbook on panel data provides a reworked coverage of panel data techniques from a key author in this field. Updated topics include dynamic panels, limited dependent variable panel data models, spatial panels, GMM estimation, prediction in panels, serial correlation, heteroskedasticity, nested error component models, pseudo-panels, rotating panels, unbalanced panels and heterogeneous dynamic panels.

New material has been added to include:
  • nonstationary panels with illustrations of their applications in economics including unit roots in panels and cointegration in panels
  • spatial panel data models
  • web site addresses for panel data sources
  • recent empirical studies and worked examples using standard software
Packed with additional exercises, which can be assigned for classroom use, the author proceeds from single equation methods to simultaneous equation methods, making this text entirely accessible to graduate students.

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  • Preface.
  • Introduction.
  • The One-way Error Component Regression Model.
  • The Two-way Error Component Regression Model.
  • Test of Hypotheses with Panel Data.
  • Heteroskedasticity and Serial Correlation in the Error Component Model.
  • Seemingly Unrelated Regressions with Error Components.
  • Simultaneous Equations with Error Components.
  • Dynamic Panel Data Models
  • Unbalanced Panel Data Models.
  • Special Topics.
  • Limited Dependent Variables and Panel Data.
  • Nonstationary Panels.
  • References.
  • Index.

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