Essays in panel data econometrics:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2002
|
| Ausgabe: | 1. publ. |
| Schlagwörter: | |
| Links: | http://www.loc.gov/catdir/samples/cam031/2002073479.html http://www.loc.gov/catdir/toc/cam031/2002073479.html http://www.loc.gov/catdir/description/cam0210/2002073479.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009887875&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | XVI, 366 S. graph. Darst. |
| ISBN: | 0521815347 |
Internformat
MARC
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| 100 | 1 | |a Nerlove, Marc |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Essays in panel data econometrics |c Marc Nerlove |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2002 | |
| 300 | |a XVI, 366 S. |b graph. Darst. | ||
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| 500 | |a Includes bibliographical references and index | ||
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| 650 | 4 | |a Panel (Psychologie sociale) | |
| 650 | 7 | |a Panelanalyse |2 gtt | |
| 650 | 7 | |a Statistische modellen |2 gtt | |
| 650 | 4 | |a Économétrie | |
| 650 | 4 | |a Panel analysis | |
| 650 | 4 | |a Econometrics | |
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Datensatz im Suchindex
| _version_ | 1819333587570262016 |
|---|---|
| adam_text | Contents
Preface to the Book page xiii
1 The History of Panel Data Econometrics, 1861 1997 1
Preface 1
1. Introduction 4
2. In the Beginning: Astronomy, Agronomy, and Statistics 7
a. Fixed versus Random Effects Models 7
b. An Example in Which Mostly Fixed Effects Are Appropriate 8
c. An Example in Which Mostly Random Effects
A re Appropriate; A iry s Problem 9
d. Fisher 12
e. Daniels and Eisenhart 13
/ Further Development of the Statistical Literature 14
3. Econometric Development, the Early Years: From Chicago
to the Paris Conference of 1977 17
a. Hildreth 17
b. Management Bias and the Estimation of Production
Functions: Hoch and Mundlak 18
c. Balestra and Nerlove: Error Components and Dynamic
Panel Models 21
d. Highlights of the Ten Years Preceding the First Paris
Conference, 1967 1976 26
e. The First Paris Conference, 1977 35
4. Econometric Development, the Later Years: From Paris to Paris 35
a. Problems of Testing Specification: Fixed versus Random
Effects; Serially Correlated Effects 36
(1) Hausman Tests 36
(2) Serially Correlated Remainder Effects 39
(3) Serially Correlated Period Effects 41
vii
viii Contents
b. Dynamics: Comparative Properties of Alternative
Estimators and the Problem of Initial Conditions 46
(1) Inconsistency of the Pooled Sample OLS Estimates
of the Dynamic Error Components Model 48
(2) Inconsistency of the OLS Estimators of the Dummy
Variable, or Fixed Effects, Model 49
(3) Generalized Least Squares and Feasible GLS 50
(4) Maximum Likelihood and the Problem of Initial
Observations 52
c. Estimation of Limited Dependent, Discrete, and Qualitative
Panel Data Models 58
(1) Incidental or Nuisance Parameters 59
(2) Logit and Probit Models 62
(a) Nondynamic Models 62
(b) Dynamic Models 65
(3) Limited Dependent Variables 67
(a) Nondynamic Models 67
(b) Dynamic Models 69
(4) Hazard and Duration Models 69
d. The Second Paris Conference, 1997 70
5. Beyond Paris 70
Appendices to Chapter 1
Appendix A: Decomposition of the Sum of Squares of a Variable
Observed in a Two Dimensional Panel 83
Appendix B: Alternative Formulations of the Concentrated
Likelihood Function for the Two Component Random Effects
Model 86
Appendix C: Introduction to The Econometrics of Panel
Data, Colloque International du CNRS, INSEE, Paris 22 24
August 1977 92
Appendix D: Derivation of the Likelihood Function
for the Three Component Random Effects Nondynamic Panel
Model with Serially Correlated Period Effects 102
Appendix E: Likelihood for Stationary Panel Data Generating
Processes with Exogenous Variables and Individual Specific
Random Effects 105
Appendix F: Amemiya s Classification of Limited Dependent
Variable or Tobit Models 1 11
2 Pooling Cross Section and Time Series Data in the
Estimation of a Dynamic Model: The Demand for
Natural Gas (with Pietro Balestra) 115
Preface 115
1. The Dynamic Model of Gas Demand 120
2. Estimation by Ordinary Least Squares Methods 123
Contents ix
3. The Residual Model 127
4. Estimation Procedures 133
5. Conclusions 143
Appendix: Derivation of the Maximum Likelihood Estimates
of p and a2 144
3 Experimental Evidence on the Estimation of Dynamic Economic
Relations from a Time Series of Cross Sections 149
Preface 149
1. Background 153
2. Design of the Experiments 161
a. Generation of the Observations 161
b. Parameter Values 164
c. Methods of Estimation 164
3. The Results 169
a. Generalized Least Squares 171
b. Ordinary Least Squares 111
c. Least Squares with Individual Constant Terms 172
d. Maximum Likelihood 172
e. Two Round 173
/ Comparison of Various Methods 173
4. Conclusions 174
Appendix: Parameter Values 111
4 Further Evidence on the Estimation of Dynamic Economic
Relations from a Time Series of Cross Sections 189
Preface 189
1. Introduction 193
2. Design of the Experiments 200
a. Generation of the Observations 200
b. Parameter Values 205
c. Methods of Estimation 205
(1) Generalized Least Squares Estimates Employing
the True Value of p Used in the Generation of the
Observations 205
(2) Ordinary Least Squares Estimates of the Relation
(2.1) (i.e., Not Including Individual Constant
Terms) 207
(3) Least Squares Estimates of the Parameters 207
(4) Instrumental Variable Estimates Using x,,_i as an
Instrument for yu 207
(5) Two Round Estimates Equivalent to Generalized Least
Squares Using Not the True Value of p but the Estimate
rc Obtained in (3), a Least Squares Regression with
Individual Constant Terms 208
x Contents
(6) Two Round Estimates Similar to (5) but using /¦„ an
Estimate of p Based on the Calculated Residuals from
the Instrumental Variable Estimate of Equation (2.1) as
Given in (2.17) 208
(7) Maximum Likelihood Estimates Obtained by
Maximizing the Logarithmic Likelihood Function 208
3. Comparative Properties of Different Estimation Procedures 210
a. Bias 210
b. Relative Mean Square Errors 213
c. Characteristics of the Maximum Likelihood Estimates 214
4. Conclusions 216
Appendices for Chapter 4 (Available in pdf Format at http://
www.arec.umd.edu/mnerlove/Tablesl971.ZIP)
5 A Note on Error Components Models 219
Preface 219
Errata 221
1. Introduction 222
2. The Characteristic Roots and Vectors of £2 226
3. The Square Root of Q 228
4. The Inverse oftt and the GLS Estimates of p 231
5. An Interpretation of 0 and Its Asymptotic Distribution 233
6 Growth Rate Convergence, Fact or Artifact? An Essay on Panel
Data Econometrics 237
Preface 237
/. Introduction 240
2. The Neoclassical Theory of Growth Convergence 242
a. The Solow/Swan Model 243
b. Growth Convergence in the Neoclassical Model
with Exogenous Population Growth and Savings 244
3. Empirical Investigations of Convergence and the Rate
of Convergence 246
4. Alternative Methods for Estimating Rates of Convergence 249
a. Inconsistency of the Pooled Sample OLS Estimates
of the Dynamic Error Components Model 250
b. Inconsistency of the OLS Estimators of the Dummy Variable
or Fixed Effects Model 251
c. Country Means Regression and the Estimation of p 252
d. Generalized Least Squares and Feasible GLS 253
e. Bounds for the Coefficient of the Lagged Dependent Variable 254
/ Maximum Likelihood Conditional on the Initial Value
of the Lagged Dependent Variable 255
g. Unconditional Maximum Likelihood 257
Contents xi
5. Empirical Evidence on Growth Rate Convergence and the
Comparative Performance of Different Panel Data Methods 260
a. Numerical Results 260
b. Graphical Results 265
6. Conclusions 268
Appendix 270
7 Properties of Alternative Estimators of Dynamic Panel Models:
An Empirical Analysis of Cross Country Data for the Study
of Economic Growth 273
Preface 273
1. Introduction 274
2. Recent Empirical Investigations of Convergence and the Rate
of Convergence 277
3. Alternative Methods for Estimation 281
a. Inconsistency of the Pooled Sample OLS Estimates
of the Dynamic Error Components Model 282
b. Inconsistency of the OLS Estimators of the Dummy Variable
or Fixed Effects Model 283
c. Generalized Least Squares and Feasible GLS 285
d. Bounds for the Coefficient of the Lagged Dependent
Variable 286
e. Maximum Likelihood Conditional on the Initial Value
of the Lagged Dependent Variable 287
/ Unconditional Likelihood and Unconditional Maximum
Likelihood 289
4. Empirical Evidence on the Comparative Performance
of Different Panel Data Methods 293
5. Conclusions 299
8 Likelihood Inference for Dynamic Panel Models 305
Preface 305
/. Introduction 308
2. The Likelihood Principle 310
3. Likelihood Functions for Two Basic Dynamic Panel Models 314
a. The Model in Levels 316
(1) Specification of the Joint Distribution of the
Observations, Both Conditional and Unconditional
on the Initial Observations 316
(2) The Joint Likelihood Conditional on the Initial
Observations and the Exogenous Variables 321
(3) The Joint Likelihood Unconditional on the Initial
Observations 322
b. The Model in First Differences 323
xii Contents
4. An Empirical Example: A Study of Cross Country Economic
Growth Using Panel Data 326
a. Recent Empirical Investigations 327
b. New Estimates Based on Maximizing the Conditional
and Unconditional Likelihood Functions 331
Index 349
|
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| spellingShingle | Nerlove, Marc Essays in panel data econometrics Econometrie gtt Panel (Psychologie sociale) Panelanalyse gtt Statistische modellen gtt Économétrie Panel analysis Econometrics Ökonometrie (DE-588)4132280-0 gnd Panelanalyse (DE-588)4173172-4 gnd |
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| title | Essays in panel data econometrics |
| title_auth | Essays in panel data econometrics |
| title_exact_search | Essays in panel data econometrics |
| title_full | Essays in panel data econometrics Marc Nerlove |
| title_fullStr | Essays in panel data econometrics Marc Nerlove |
| title_full_unstemmed | Essays in panel data econometrics Marc Nerlove |
| title_short | Essays in panel data econometrics |
| title_sort | essays in panel data econometrics |
| topic | Econometrie gtt Panel (Psychologie sociale) Panelanalyse gtt Statistische modellen gtt Économétrie Panel analysis Econometrics Ökonometrie (DE-588)4132280-0 gnd Panelanalyse (DE-588)4173172-4 gnd |
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