Manuel Arellano Panel Data Econometrics

ISBN 13: 9780199245291

Panel Data Econometrics

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9780199245291: 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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

L'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.

Contenuti:

  • 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

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Professor Manuel Arellano
Editore: Oxford University Press, United Kingdom (2004)
ISBN 10: 0199245290 ISBN 13: 9780199245291
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Descrizione libro Oxford University Press, United Kingdom, 2004. Paperback. Condizione libro: New. 234 x 158 mm. Language: English . Brand New Book. 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. Codice libro della libreria AOP9780199245291

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Professor Manuel Arellano
Editore: Oxford University Press, United Kingdom (2004)
ISBN 10: 0199245290 ISBN 13: 9780199245291
Nuovi Paperback Quantità: 10
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Descrizione libro Oxford University Press, United Kingdom, 2004. Paperback. Condizione libro: New. 234 x 158 mm. Language: English . Brand New Book. 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. Codice libro della libreria AOP9780199245291

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Descrizione libro Oxford University Press. Paperback. Condizione libro: new. BRAND NEW, Panel Data Econometrics, Manuel Arellano, 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. Codice libro della libreria B9780199245291

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Descrizione libro OUP Oxford 2003-06-26, 2003. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-LBR-00427654

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Descrizione libro OUP Oxford, 2003. PAP. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FU-9780199245291

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Descrizione libro Oxford University Press 2003-06-26, Oxford, 2003. paperback. Condizione libro: New. Codice libro della libreria 9780199245291

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Descrizione libro 2003. Paperback. Condizione libro: New. 157mm x 13mm x 236mm. Paperback. 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 mo.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 248 pages. 0.358. Codice libro della libreria 9780199245291

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Descrizione libro Oxford Univ Pr, 2003. Paperback. Condizione libro: Brand New. 231 pages. 9.25x6.00x0.50 inches. In Stock. Codice libro della libreria __0199245290

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