This volume is dedicated to two recent intensive areas of research
in the econometrics of panel data, namely nonstationary panels and
dynamic panels. It includes a comprehensive survey of the
nonstationary panel literature including panel unit root tests,
spurious panel regressions and panel cointegration
tests. In addition, it provides recent developments in the
estimation of dynamic panel data models using generalized method of
moments.
The volume includes eleven chapters written by twenty authors.
These chapters (i) investigate better methods of estimating dynamic
panels; (ii) develop methods for estimating and testing hypotheses
for cointegrating vectors in dynamic panels;
(iii) extend the concept of serial correlation common features
analysis to nonstationary panel data models; (iv) study the local
power of panel unit root test statistics; (v) derive the asymptotic
distributions of various estimators for the panel cointegrated
regression model; (vi) propose a unit root test in the presence of
structural change; (vii) develop a new limit theory for panel data
that may be cross-sectionally heterogeneous; (viii) propose
stationarity tests for a heterogeneous panel data model; (ix)
derive instrumental variable estimators for a semiparametric
partially linear dynamic panel data model; and (x) conduct Monte
Carlo experiments to study the small sample properties of a growth
convergence equation. This collection of papers should prove useful
for practitioners and researchers working with panel data.
General
| Imprint: |
JAI Press Inc.
|
| Country of origin: |
United States |
| Series: |
Advances in Econometrics |
| Release date: |
February 2001 |
| First published: |
2001 |
| Editors: |
Badi H. Baltagi
|
| Dimensions: |
229 x 152 x 23mm (L x W x T) |
| Format: |
Hardcover
|
| Pages: |
350 |
| ISBN-13: |
978-0-7623-0688-6 |
| Categories: |
Books >
Business & Economics >
Economics >
Econometrics >
General
Promotions
|
| LSN: |
0-7623-0688-2 |
| Barcode: |
9780762306886 |
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