Econometric Analysis of Panel Data

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[2]  Terry A. Marsh,et al.  New evidence on the nature of size related anomalies in stock prices , 2018 .

[3]  Monica Giulietti,et al.  Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence , 2009 .

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[5]  Badi H. Baltagi,et al.  ADAPTIVE ESTIMATION OF HETEROSKEDASTIC ERROR COMPONENT MODELS , 2005 .

[6]  Michael Pfaffermayr,et al.  Estimating Long and Short Run Effects in Static Panel Models , 2005 .

[7]  M. Pesaran,et al.  ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION , 2000, Econometric Theory.

[8]  Badi H. Baltagi,et al.  Prediction in the Panel Data Model with Spatial Correlation: the Case of Liquor , 2006 .

[9]  Thierry Magnac,et al.  Panel Binary Variables and Sufficiency: Generalizing Conditional Logit , 2004 .

[10]  Erik Biørn,et al.  Regression systems for unbalanced panel data: a stepwise maximum likelihood procedure , 2004 .

[11]  D. McKenzie.  Asymptotic theory for heterogeneous dynamic pseudo-panels , 2004 .

[12]  Wei Zhang,et al.  Simulation Estimation of Dynamic Discrete Choice Panel Models with Accelerated Importance Samplers , 2004 .

[13]  P. Pedroni.  PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS , 2004, Econometric Theory.

[14]  M. Das.  Simple estimators for nonparametric panel data models with sample attrition , 2004 .

[15]  Paul Newbold,et al.  More powerful panel data unit root tests with an application to mean reversion in real exchange rates , 2004 .

[16]  Badi H. Baltagi,et al.  Tobin q: Forecast performance for hierarchical Bayes, shrinkage, heterogeneous and homogeneous panel data estimators , 2004 .

[17]  M. Bun.  Testing poolability in a system of dynamic regressions with nonspherical disturbances , 2004 .

[18]  Spain,et al.  PANEL DATA MODELS : SOME RECENT DEVELOPMENTS * , 2004 .

[19]  Paul Temple,et al.  The effect of uncertainty on UK investment authorisation: Homogenous vs. heterogeneous estimators , 2004 .

[20]  A. Pirotte,et al.  A COMPARATIVE STUDY OF PURE AND PRETEST ESTIMATORS FOR A POSSIBLY MISSPECIFIED TWO-WAY ERROR COMPONENT MODEL , 2003 .

[21]  M. Pesaran.  A Simple Panel Unit Root Test in the Presence of Cross Section Dependence , 2003 .

[22]  Badi H. Baltagi,et al.  A generalized design for bilateral trade flow models , 2003 .

[23]  J. Abbring,et al.  Analyzing the effect of dynamically assigned treatments using duration models, binary treatment models, and panel data models , 2003 .

[24]  Badi H. Baltagi,et al.  Fixed effects, random effects or Hausman–Taylor?: A pretest estimator , 2003 .

[25]  L. Gutierrez.  On the power of panel cointegration tests: A Monte Carlo comparison. Economics Letters, 80(1):105-111 , 2003 .

[26]  Robert F. Phillips.  Estimation of a Stratified Error-Components Model* , 2003 .

[27]  Badi H. Baltagi,et al.  Homogeneous, heterogeneous or shrinkage estimators? Some empirical evidence from French regional gasoline consumption , 2003 .

[28]  SeuckHeun Song,et al.  A Comparative Study of Alternative Estimators for the Unbalanced Two-Way Error Component Regression Model , 2002 .

[29]  Clive G. Bowsher.  On testing overidentifying restrictions in dynamic panel data models , 2002 .

[30]  Badi H. Baltagi,et al.  Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators: Some empirical evidence from US electricity and natural-gas consumption , 2002 .

[31]  Badi H. Baltagi,et al.  On instrumental variable estimation of semiparametric dynamic panel data models , 2002 .

[32]  Donggyu Sul,et al.  Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence , 2002 .

[33]  Erling Häggström.  Properties of Honda’s test of random individual effects in non-linear regressions , 2002 .

[34]  Badi H. Baltagi,et al.  Testing Panel Data Regression Models with Spatial Error Correlation , 2002 .

[35]  Franco Peracchi,et al.  The European Community Household Panel: A review , 2002 .

[36]  Badi H. Baltagi,et al.  SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL , 2002 .

[37]  P. Davis,et al.  Estimating multi-way error components models with unbalanced data structures , 2002 .

[38]  Badi H. Baltagi,et al.  LM Tests for the Unbalanced Nested Panel Data Regression Model with Serially Correlated Errors , 2002 .

[39]  Peter Pedroni,et al.  Purchasing Power Parity Tests in Cointegrated Panels , 2001, Review of Economics and Statistics.

[40]  Michael Pfaffermayr,et al.  Distance, Trade, and FDI: A Hausman-Taylor Sur Approach , 2001 .

[41]  F. Windmeijer,et al.  Projection Estimators for Autoregressive Panel Data Models , 2001 .

[42]  E. Duflo,et al.  How Much Should We Trust Differences-in-Differences Estimates? , 2001 .

[43]  J. Hahn.  THE INFORMATION BOUND OF A DYNAMIC PANEL LOGIT MODEL WITH FIXED EFFECTS , 2001, Econometric Theory.

[44]  D. McKenzie.  Estimation of AR(1) models with unequally spaced pseudo-panels , 2001 .

[45]  Ekaterini Kyriazidou,et al.  Estimation of Dynamic Panel Data Sample Selection Models , 2001 .

[46]  Jerry A. Hausman,et al.  Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects , 2001 .

[47]  B. Baltagi,et al.  The unbalanced nested error component regression model , 2001 .

[48]  Donald W. K. Andrews,et al.  Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models , 2001 .

[49]  B. Baltagi,et al.  Nonstationary panels, panel cointegration, and dynamic panels , 2001 .

[50]  Peter Pedroni,et al.  Fully modified OLS for heterogeneous cointegrated panels , 2001 .

[51]  A. Banerjee,et al.  Testing for PPP: Should we use panel methods? , 2001 .

[52]  Gary Koop,et al.  Bayesian Analysis of Stochastic Frontier Models , 2001 .

[53]  Anil K. Bera,et al.  Tests for the error component model in the presence of local misspecification , 2001 .

[54]  Jinyong Hahn,et al.  Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both N and T are Large , 2000 .

[55]  Jan J. J. Groen,et al.  The Monetary Exchange Rate Model as a Long-Run Phenomenon , 2000 .

[56]  A. Banerjee,et al.  Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data , 2000 .

[57]  Stephen Bond,et al.  Estimation in dynamic panel data models: Improving on the performance of the standard GMM estimator , 2000 .

[58]  Jason Abrevaya,et al.  Rank estimation of a generalized fixed-effects regression model , 2000 .

[59]  Alain Hecq,et al.  Testing for Common Cyclical Features in Nonstationary Panel Data Models , 2000, SSRN Electronic Journal.

[60]  K. Bell,et al.  Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Micro-Level Data , 2000, Review of Economics and Statistics.

[61]  Badi H. Baltagi,et al.  To Pool or Not to Pool: Homogeneous Versus Heterogeneous Estimators Applied to Cigarette Demand , 2000, Review of Economics and Statistics.

[62]  Jyh-Lin Wu,et al.  Mean reversion of the current account: evidence from the panel data unit-root test , 2000 .

[63]  E. Biørn.  Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences , 2000 .

[64]  Peter C.B. Phillips,et al.  Nonstationary panel data analysis: an overview of some recent developments , 2000 .

[65]  J. Breitung,et al.  The local power of some unit root tests for panel data , 1999 .

[66]  Frank Kleibergen,et al.  Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models , 2003 .

[67]  Bruce E. Hansen,et al.  Threshold effects in non-dynamic panels: Estimation, testing, and inference , 1999 .

[68]  Jason Abrevaya.  Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable , 1999 .

[69]  Jinyong Hahn,et al.  How informative is the initial condition in the dynamic panel model with fixed effects , 1999 .

[70]  Badi H. Baltagi,et al.  UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES , 1999, Econometric Theory.

[71]  A. Banerjee,et al.  Panel data unit roots and cointegration: an overview Oxford Bulletin of Economics & Statistics 61 , 1999 .

[72]  Stephen G. Hall,et al.  A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence , 1999 .

[73]  J. Labeaga.  A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco , 1999 .

[74]  G. Maddala,et al.  A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test , 1999 .

[75]  Ann L. Owen,et al.  Estimating dynamic panel data models: a guide for , 1999 .

[76]  P. Phillips,et al.  Linear Regression Limit Theory for Nonstationary Panel Data , 1999 .

[77]  Nicholas Sarantis,et al.  Is the consumption-income ratio stationary? Evidence from panel unit root tests , 1999 .

[78]  Alberto Holly,et al.  A Score Test for Individual Heteroscedasticity in a One-Way Error Components Model. , 1999 .

[79]  Elias Tzavalis,et al.  Inference for unit roots in dynamic panels where the time dimension is fixed , 1999 .

[80]  Seung C. Ahn,et al.  Estimation of linear panel data models using GMM , 1999 .

[81]  F. Vella,et al.  Two-step estimation of panel data models with censored endogenous variables and selection bias , 1999 .

[82]  M. Hashem Pesaran,et al.  Pooled Mean Group Estimation of Dynamic Heterogeneous Panels , 1999 .

[83]  A. Pirotte.  Convergence of the static estimation toward the long run effects of dynamic panel data models , 1999 .

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[85]  Myoung‐jae Lee.  A Root-N Consistent Semiparametric Estimator for Related-Effect Binary Response Panel Data , 1999 .

[86]  Chihwa Kao,et al.  Testing the Stability of a Production Function with Urbanization as a Shift Factor: An Application of Non-Stationary Panel Data Techniques , 1999 .

[87]  Stephen Bond,et al.  GMM Estimation with persistent panel data: an application to production functions , 1999 .

[88]  Gary Chamberlain,et al.  Predictive Distributions based on Longitudinal Earnings Data , 1999 .

[89]  Qi Li,et al.  TESTING FOR RANDOM INDIVIDUAL AND TIME EFFECTS USING UNBALANCED PANEL DATA , 1999 .

[90]  M. Arellano,et al.  Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data , 1999 .

[91]  Peter Schmidt,et al.  Modified Generalized Instrumental Variables Estimation of Panel Data Models with Strictly Exogenous Instrumental Variables , 1999 .

[92]  G. Maddala.  On the Use of Panel Data Methods with Cross-Country Data , 1999 .

[93]  M. Lechner,et al.  Alternative GMM methods for nonlinear panel data models , 1999 .

[94]  Cheng Hsiao,et al.  Testing serial correlation in semiparametric panel data models , 1998 .

[95]  Irene Bertschek,et al.  Convenient estimators for the panel probit model , 1998 .

[96]  Mark P. Taylor,et al.  The behavior of real exchange rates during the post-Bretton Woods period , 1998 .

[97]  Robert E. Carpenter,et al.  Financing Constraints and Inventory Investment: A Comparative Study with High-Frequency Panel Data , 1998, Review of Economics and Statistics.

[98]  J. Driscoll,et al.  Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data , 1998, Review of Economics and Statistics.

[99]  T. Selden,et al.  Health care expenditures and GDP: panel data unit root test results. , 1998, Journal of health economics.

[100]  E. Biørn,et al.  Panel data with errors-in-variables: essential and redundant orthogonality conditions in GMM-estimation , 1998 .

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[102]  Marno Verbeek,et al.  Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men , 1998 .

[103]  M. Pesaran,et al.  Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels , 1998 .

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[105]  P. Pedroni.  Current Version : July 25 , 1999 CRITICAL VALUES FOR COINTEGRATION TESTS IN HETEROGENEOUS PANELS WITH MULTIPLE REGRESSORS * , 1999 .

[106]  Ekaterini Kyriazidou,et al.  Estimation of a Panel Data Sample Selection Model , 1997 .

[107]  David H. Papell.  Searching for stationarity: Purchasing power parity under the current float , 1997 .

[108]  James P. Ziliak.  Efficient Estimation with Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators , 1997 .

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[111]  David H. Papell,et al.  IS THERE A UNIT ROOT IN THE INFLATION RATE? EVIDENCE FROM SEQUENTIAL BREAK AND PANEL DATA MODELS , 1997 .

[112]  M. Keane.  Modeling Heterogeneity and State Dependence in Consumer Choice Behavior , 1997 .

[113]  Jinyong Hahn,et al.  Efficient estimation of panel data models with sequential moment restrictions , 1997 .

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[143]  Badi H. Baltagi,et al.  Testing AR(1) against MA(1) disturbances in an error component model , 1995 .

[144]  M. Pesaran,et al.  Estimating Long-Run Relationships From Dynamic Heterogeneous Panels , 1995 .

[145]  Badi H. Baltagi,et al.  Public capital stock and state productivity growth: Further evidence from an error components model , 1995 .

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[148]  Badi H. Baltagi,et al.  Consistency, asymptotic unbiasedness and bounds on the bias of s2 in the linear regression model with error component disturbances , 1994 .

[149]  Badi H. Baltagi,et al.  Estimating Error Component Models With General MA(q) Disturbances , 1994, Econometric Theory.

[150]  Christopher Cornwell,et al.  Estimating the Economic Model of Crime with Panel Data , 1994 .

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[158]  C. Orme.  A Comment on A Simple Test for Neglected Heterogeneity in Panel Studies , 1993 .

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[167]  Badi H. Baltagi,et al.  Monte Carlo results on several new and existing tests for the error component model , 1992 .

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[171]  Badi H. Baltagi,et al.  A monotonic property for iterative GLS in the two-way random effects model , 1992 .

[172]  Badi H. Baltagi,et al.  Monte Carlo evidence on panel data regressions with AR(1) disturbances and an arbitrary variance on the initial observations , 1992 .

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