Panel Data Econometrics - Brossura

Arellano, Manuel

Brossura

ISBN 10: 0199245290 ISBN 13: 9780199245291

Casa editrice: OUP Oxford, 2004

Riassunto

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.

Su questo libro

Informazioni sull?autore

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.

Dettagli dell'edizione

• Editore: OUP Oxford
• Data di pubblicazione: 2004
• Lingua: Inglese
• ISBN 10: 0199245290
• ISBN 13: 9780199245291
• Rilegatura: Copertina flessibile
• Numero di pagine: 246
• Contatto del produttore: non disponibile
• Persona responsabile: Penguin Random House Ireland Limited; productsafety@penguin.co.uk; ; Morrison Chambers, 32 Nassau Street; Dublin; Irlanda