A Companion to Econometric Analysis of Panel Data

by Badi H. Baltagi

Description

This book is a companion to Baltagi?s (2008) leading graduateeconometrics textbook on panel data entitled EconometricAnalysis of Panel Data, 4th Edition. The book guides the student of panel data econometrics bysolving exercises in a logical and pedagogical manner, helping thereader understand, learn and apply panel data methods. It is also ahelpful tool for those who like to learn by solving exercises andrunning software to replicate empirical studies. It works as acomplementary study guide show more to Baltagi (2008) and also as a standalone book that builds up the reader?s confidence in workingout difficult exercises in panel data econometrics and applyingthese methods to empirical work. The exercises start by providing some background information onpartitioned regressions and the Frisch-Waugh-Lovell theorem. Thenit goes through the basic material on fixed and random effectsmodels in a one-way and two-way error components models: basicestimation, test of hypotheses and prediction. This include maximumlikelihood estimation, testing for poolability of the data, testingfor the significance of individual and time effects, as well asHausman's test for correlated effects. It also provides extensionsof panel data techniques to serial correlation, spatialcorrelation, heteroskedasticity, seemingly unrelated regressions,simultaneous equations, dynamic panel models, incomplete panels,measurement error, count panels, rotating panels, limited dependentvariables, and non-stationary panels. show less