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Panel data econometrics / [edited by] Badi H. Baltagi.

Contributor(s): Series: Critical concepts in economicsPublication details: London : Routledge, 2015.Description: 4v. ; 24 cmISBN:
  • 9780415721400 (set ISBN)
Subject(s): DDC classification:
  • 330.015195 23 B197
Contents:
Volume I : Part 1: Dynamic Panels 1. The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators-- 2. Quantile Regression for Dynamic Panel Data with Fixed Effects-- 3. Long Difference Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects-- 4. Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T are Large-- Part 2: Non-Stationary Panels: Unit Roots, Co-Integration, and Factor Models 5. Panel Data Models with Interactive Fixed Effects-- 6. Common Breaks in Means and Variances for Panel Data-- 7. Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data-- 8. A PANIC Attack on Unit Roots and Cointegration-- 9. Panel Unit Root Tests and Spatial Dependence-- 10. Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration-- 11. A Parametric Approach to the Estimation of Cointegration Vectors in Panel Data-- 12. Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models-- 13. Testing for Unit Roots in Heterogeneous Panels-- Volume II : 14. Panels with Non-Stationary Multifactor Error Structures-- 15. Inference in Panel Cointegration Models with Long Panels-- 16. Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties-- 17. Dynamic Seemingly Unrelated Cointegrating Regression-- 18. Testing for Unit Root in Panels with Dynamic Factors-- 19. GMM Estimation of Autoregressive Roots Near Unity with Panel Data-- 20. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure-- 21. A Simple Panel Unit Root Test in the Presence of Cross Section Dependence-- 22. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence-- 23. Efficient Estimation and Inference in Linear Pseudo-Panel Data Models-- 24. Asymptotic Theory for Heterogeneous Dynamic Pseudo-Panels-- 25. Estimating Dynamic Models from Repeated Cross-Sections-- Volume III : Part 4: Spatial Panels and Cross-sectional Dependence in Panels-- 26.A Generalized Spatial Panel Data Model with Random Effects-- 27. A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model-- 28. 'Testing Panel Data Regression Models with Spatial Error Correlation-- 29. Panel Data Models with Spatially Correlated Error Components-- 30. Estimation of Spatial Autoregressive Panel Data Models with Fixed Effects-- 31. The Hausman Test in a Cliff and Ord Panel Model-- 32. Large Panels with Common Factors and Spatial Correlation-- 33. A Test of Cross Section Dependence for a Linear Dynamic Panel Model with Regressors-- Part 5: Nonlinear Panel Data Models-- 34. Section and Panel Data Estimators for Nonseparable Models With Endogenous Regressors-- 35. Identifying Distributional Characteristics in Random Coefficients Panel Data Models-- 36. Binary Choice Panel Data Models with Predetermined Variables-- 37. A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects-- 38. Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects-- Volume IV : 39. Average and Quantile Effects in Nonseparable Panel Models-- 40. Fixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models-- 41. Bias Corrections for Two-Step Fixed Effects Panel Data Estimators-- 42. Discrete Time Duration Models with Group-Level Heterogeneity-- 43. Identification and Estimation of Average Partial Effects in 'Irregular-- 44. Jackknife and Analytical Bias Reduction for Nonlinear Panel Models-- 45. Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects-- 46. Semiparametric Binary Choice Panel Data Models Without Strictly Exogenous Regressors-- 47. Bounds on Parameters in Panel Dynamic Discrete Choice Models-- 48. Estimation of a Censored Dynamic Panel Data Model with an Application to Earnings Dynamics-- 49. Fixed Effects Instrumental Variables Estimation in Correlated Random Coefficient Panel Data Models-- 50. Nonresponse in Dynamic Panel Data Models-- 51. Estimating Panel Data Models in the Presence of Endogeneity and Selection-- 52. Simple Solutions to the Initial Conditions Problem in Dynamic, Nonlinear Panel Data Models with Unobserved Heterogeneity-- 53. Fixed-Effects and Related Estimators for Correlated Random-Coefficient and Treatment-Effect Panel Data Models-- Part 6: Further Reading-- 54. Forecasting with Panel Data-- 55. Robust Estimators for the Fixed Effects Panel Data Model-- 56. Robust Penalized Quantile Regression Estimation for Panel Data. Index.
Summary: This four-volume set provides an authoritative, one-stop resource to enable users to understand the econometrics of panel data, from both theoretical and applied viewpoints. With a full index and comprehensive introductions to each volume, newly written by the editor, the collection also provides a synoptic view of many current key debates and issues.
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Includes index.

Volume I :
Part 1: Dynamic Panels
1. The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators--
2. Quantile Regression for Dynamic Panel Data with Fixed Effects--
3. Long Difference Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects--
4. Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T are Large--

Part 2: Non-Stationary Panels: Unit Roots, Co-Integration, and Factor Models
5. Panel Data Models with Interactive Fixed Effects--
6. Common Breaks in Means and Variances for Panel Data--
7. Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data--
8. A PANIC Attack on Unit Roots and Cointegration--
9. Panel Unit Root Tests and Spatial Dependence--
10. Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration--
11. A Parametric Approach to the Estimation of Cointegration Vectors in Panel Data--
12. Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models--
13. Testing for Unit Roots in Heterogeneous Panels--

Volume II :
14. Panels with Non-Stationary Multifactor Error Structures--
15. Inference in Panel Cointegration Models with Long Panels--
16. Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties--
17. Dynamic Seemingly Unrelated Cointegrating Regression--
18. Testing for Unit Root in Panels with Dynamic Factors--
19. GMM Estimation of Autoregressive Roots Near Unity with Panel Data--
20. Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure--
21. A Simple Panel Unit Root Test in the Presence of Cross Section Dependence--
22. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence--
23. Efficient Estimation and Inference in Linear Pseudo-Panel Data Models--
24. Asymptotic Theory for Heterogeneous Dynamic Pseudo-Panels--
25. Estimating Dynamic Models from Repeated Cross-Sections--

Volume III :
Part 4: Spatial Panels and Cross-sectional Dependence in Panels--
26.A Generalized Spatial Panel Data Model with Random Effects--
27. A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model--
28. 'Testing Panel Data Regression Models with Spatial Error Correlation--
29. Panel Data Models with Spatially Correlated Error Components--
30. Estimation of Spatial Autoregressive Panel Data Models with Fixed Effects--
31. The Hausman Test in a Cliff and Ord Panel Model--
32. Large Panels with Common Factors and Spatial Correlation--
33. A Test of Cross Section Dependence for a Linear Dynamic Panel Model with Regressors--

Part 5: Nonlinear Panel Data Models--
34. Section and Panel Data Estimators for Nonseparable Models With Endogenous Regressors--
35. Identifying Distributional Characteristics in Random Coefficients Panel Data Models--
36. Binary Choice Panel Data Models with Predetermined Variables--
37. A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects--
38. Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects--

Volume IV :
39. Average and Quantile Effects in Nonseparable Panel Models--
40. Fixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models--
41. Bias Corrections for Two-Step Fixed Effects Panel Data Estimators--
42. Discrete Time Duration Models with Group-Level Heterogeneity--
43. Identification and Estimation of Average Partial Effects in 'Irregular--
44. Jackknife and Analytical Bias Reduction for Nonlinear Panel Models--
45. Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects--
46. Semiparametric Binary Choice Panel Data Models Without Strictly Exogenous Regressors--
47. Bounds on Parameters in Panel Dynamic Discrete Choice Models--
48. Estimation of a Censored Dynamic Panel Data Model with an Application to Earnings Dynamics--
49. Fixed Effects Instrumental Variables Estimation in Correlated Random Coefficient Panel Data Models--
50. Nonresponse in Dynamic Panel Data Models--
51. Estimating Panel Data Models in the Presence of Endogeneity and Selection--
52. Simple Solutions to the Initial Conditions Problem in Dynamic, Nonlinear Panel Data Models with Unobserved Heterogeneity--
53. Fixed-Effects and Related Estimators for Correlated Random-Coefficient and Treatment-Effect Panel Data Models--

Part 6: Further Reading--
54. Forecasting with Panel Data--
55. Robust Estimators for the Fixed Effects Panel Data Model--
56. Robust Penalized Quantile Regression Estimation for Panel Data.
Index.

This four-volume set provides an authoritative, one-stop resource to enable users to understand the econometrics of panel data, from both theoretical and applied viewpoints. With a full index and comprehensive introductions to each volume, newly written by the editor, the collection also provides a synoptic view of many current key debates and issues.

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