Analysis of panel data:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Nichtbestimmte Sprache |
| Veröffentlicht: |
Cambridge u.a.
Cambridge Univ. Press
1990
|
| Ausgabe: | Reprint. |
| Schriftenreihe: | Econometric Society: Econometric Society monographs
11. |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005627786&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Literaturverz. S. 231 - 241 |
| Umfang: | X, 246 S. |
| ISBN: | 0521251508 052138933X |
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Datensatz im Suchindex
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|---|---|
| adam_text | Titel: Analysis of panel data
Autor: Hsiao, Cheng
Jahr: 1990
Contents Preface xiii Chapter 1. Introduction 1 1.1. Advantages of panel data 1 1.2 Issues involved in utilizing panel data 5 1.2.1. Heterogeneity bias 5 1.2.2. Selectivity bias 7 1.3. Outline of the monograph 9 Chapter 2. Analysis of covariance 11 2.1. Introduction 11 2.2. Analysis of covariance 12 2.3. An example 18 Chapter 3. Simple regression with variable intercepts 25 3.1. Introduction 25 3.2. Fixed-effects models: least-squares dummy-variable approach 29 3.3. Random-effects models: estimation of variance- components models 32 3.3.1. Covariance estimation 34 3.3.2. Generalized-least-squares estimation 34 3.3.3. Maximum-likelihood estimation 38 3.4. Fixed effects or random effects 41 3.4.1. An example 41 3.4.2. Conditional inference or unconditional (marginal) inference 41 3.4.2.a. Mundlak’s formulation 43
vi Contents 3.4.2. b. Conditional and unconditional inferences in the presence or absence of correlation between individual effects and attributes 45 3.5. Tests for misspecification 48 3.6. Models with specific variables and both individual- and time-specific effects 50 3.6.1. Estimation of models with individual-specific variables 50 3.6.2. Estimation of models with both individual and time effects 52 3.7. Models with serially correlated errors 55 3.8. Models with arbitrary error structure 57 3.9. Errors of measurement 63 Appendix 3A. Consistency and asymptotic normality of the minimum-distance estimator 66 Appendix 3B. Characteristic vectors and the inverse of the variance-covariance matrix of a three- — component model 68 Chapter 4. Dynamic models with variable intercepts 71 4.1. Introduction 71 4.2. Fixed-effects models 73 4.3. Random-effects models 76 4.3.1. Bias in the OLS estimator 76 4.3.2. Model formulation 78 4.3.3. Estimation of random-effects models 81 4.3.3. a. Maximum-likelihood estimator 81 4.3.3. b. Generalized-least-squares estimator 88 4.3.3. c. Instrumental-variable estimator 89 4.3.4. Testing some maintained hypotheses on initial conditions 90 4.3.5. Simulation evidence 91 4.4. An example 93 4.5. Estimation of dynamic models with arbitrary correlations in the residuals 95 Chapter 5. Simultaneous-equations models 97 5.1. Introduction 97 5.2. Joint generalized-least-squares estimation technique 100 5.3. Estimation of structural equations 104 5.3.1. Estimation of a single equation in the structural model 104
Contents vii 5.3.2. Estimation of the complete structural system 109 5.4. Triangular system 112 5.4.1. Identification 113 5.4.2. Estimation 115 5.4.2. a. Instrumental-variable method 116 5.4.2. b. Maximum-likelihood method 119 5.4.3. An example 123 Appendix 125 Chapter 6. Variable-coefficient models 128 6.1. Introduction 128 6.2. Coefficients that vary over cross-sectional units 130 6.2.1. Fixed-coefficient model 131 6.2.2. Random-coefficient model 131 6.2.2. a. The model 131 6.2.2. b. Estimation 132 6.2.2. C. Predicting individual coefficients 134 6.2.2. d. Testing for coefficient variation 134 6.2.2. e. Fixed or random coefficients 136 6.2.2. Í. An example 136 6.3. Coefficients that vary over time and cross-sectional units 138 6.3.1. The model 138 6.3.2. Fixed-coefficient model 140 6.3.3. Random-coefficient model 140 6.4. Coefficients that evolve over time 144 6.4.1. The model 144 6.4.2. Predicting ft by the Kalman filter 145 6.4.3. Maximum-likelihood estimation 148 6.4.4. Tests for parameter constancy 149 6.5. Coefficients that are functions of other exogenous variables 151 Chapter 7. Discrete data 154 7.1. Introduction 154 7.2. Some discrete-response models 154 7.3. Static models with heterogeneity 158 7.3.1. Fixed-effects models 159 7.3.1. a. Maximum-likelihood estimator 159 7.3.1. b. Conditions for the existence of a consistent estimator 161 7.3.1. c. Some Monte Carlo evidence 164
viii Contents 7.3.2. Random-effects models 164 7.4. Dynamic models 167 7.4.1. The general model 167 7.4.2. Initial conditions 169 7.4.3. State dependence versus heterogeneity 172 7.4.4. An example 175 Chapter 8. Incomplete panel data 181 8.1. Estimating distributed lags in short panels 181 8.1.1. Introduction 181 8.1.2. Common assumptions 183 8.1.3. Identification using prior structure on the process of the exogenous variable 185 8.1.4. Identification using prior structure on the lag coefficients 189 8.1.5. Estimation and testing 191 8.2. Rotating or randomly missing data ~~ 193 8.3. Nonrandomly missing data 197 8.3.1. Introduction 197 8.3.2. A probability model of attrition and selection bias 198 8.3.3. An example: attrition in the Gary income- maintenance experiment 202 8.4. Pooling of a single cross-section and a single time series 206 8.4.1. Introduction 206 8.4.2. The likelihood approach to pooling cross- sectional and time-series data 208 8.4.3. An example 210 Chapter 9. A summary view 213 9.1. Introduction 213 9.2. Benefits and limitations of panel data 213 9.2.1. Identification and discrimination between competing hypotheses 213 9.2.2. Reducing estimation bias 215 9.2.3. Lessening the problem of multicollinearity 218 9.3. Efficiency of the estimates 218 Notes 220 References 230
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| illustrated | Not Illustrated |
| indexdate | 2024-12-20T09:23:03Z |
| institution | BVB |
| isbn | 0521251508 052138933X |
| language | Undetermined |
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| physical | X, 246 S. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| series | Econometric Society: Econometric Society monographs |
| series2 | Econometric Society: Econometric Society monographs |
| spellingShingle | Hsiao, Cheng 1943- Analysis of panel data Econometric Society: Econometric Society monographs Statistik (DE-588)4056995-0 gnd Ökonometrie (DE-588)4132280-0 gnd Panelanalyse (DE-588)4173172-4 gnd |
| subject_GND | (DE-588)4056995-0 (DE-588)4132280-0 (DE-588)4173172-4 |
| title | Analysis of panel data |
| title_auth | Analysis of panel data |
| title_exact_search | Analysis of panel data |
| title_full | Analysis of panel data Cheng Hsiao |
| title_fullStr | Analysis of panel data Cheng Hsiao |
| title_full_unstemmed | Analysis of panel data Cheng Hsiao |
| title_short | Analysis of panel data |
| title_sort | analysis of panel data |
| topic | Statistik (DE-588)4056995-0 gnd Ökonometrie (DE-588)4132280-0 gnd Panelanalyse (DE-588)4173172-4 gnd |
| topic_facet | Statistik Ökonometrie Panelanalyse |
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