Panel Data Econometrics
(Sprache: Englisch)
This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. Part I deals with static models, Part II with time series models with error components, and Part III with...
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Produktinformationen zu „Panel Data Econometrics “
This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. Part I deals with static models, Part II with time series models with error components, and Part III with dynamics and predeterminedness. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling. The book combines methods and applications, so will appeal to both the academic and practitioner markets.
Klappentext zu „Panel Data Econometrics “
This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling. The book combines methods and applications, so will appeal to both the academic and practitioner markets.The book is divided in four parts. Part I concerns static models, and deals with the problem of unobserved heterogeneity and how the availability of panel data helps to solve it, error component models, and error in variables in panel data.
Part II looks at time series models with error components. Its chapters deal with the problem of distinguishing between unobserved heterogeneity and individual dynamics in short panels, modelling strategies of time effects, moving average models, inference from covariance structures, the specification and estimation of autoregressive models with heterogeneous intercepts, and the impact of assumptions about initial conditions and heteroskedacity on estimation.
Part III examines dynamics and predeterminedness. Its two chapters consider alternative approaches to estimation from small and large T perspectives, looking at models with both strictly exogenous and lagged dependent variables allowing for autocorrelation of unknown form, models in which the errors are mean independent of current and lagged values of certain conditioning variables but not with their future values.
Together Parts II and III provide a synthesis, and unified perspective, of a vast literature that has had a significant impact on recent econometric practice. Part IV reviews the main results in the theory of generalized method of moments estimation and optimal instrumental variables.
Inhaltsverzeichnis zu „Panel Data Econometrics “
- 1: Introduction
- Part I: Static Models
- 2: Unobserved Heterogeneity
- 3: Error Components
- 4: Error in Variables
- Part II: Dynamic Models
- 5: Covariance Structures for Dynamic Error Components
- 6: Autoregressive Models with Individual Effects
- 7: Models with Predetermined Variables
Autoren-Porträt von Manuel Arellano
Manuel Arellano is Professor at CEMFI in Madrid. He was previously a Visiting Professor of Economics at the University of Cambridge, and Editor of The Review of Economic Studies.Bibliographische Angaben
- Autor: Manuel Arellano
- 2003, 246 Seiten, Maße: 15,6 x 23,3 cm, Kartoniert (TB), Englisch
- Verlag: Oxford University Press
- ISBN-10: 0199245290
- ISBN-13: 9780199245291
Sprache:
Englisch
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