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This book is a companion to Baltagi's (2008) leading graduate
econometrics textbook on panel data entitled Econometric Analysis
of Panel Data, 4 th Edition. The book guides the student of panel
data econometrics by solving exercises in a logical and pedagogical
manner, helping the reader understand, learn and apply panel data
methods. It is also a helpful tool for those who like to learn by
solving exercises and running software to replicate empirical
studies. It works as a complementary study guide to Baltagi (2008)
and also as a stand alone book that builds up the reader's
confidence in working out difficult exercises in panel data
econometrics and applying these methods to empirical work. The
exercises start by providing some background information on
partitioned regressions and the Frisch-Waugh-Lovell theorem. Then
it goes through the basic material on fixed and random effects
models in a one-way and two-way error components models: basic
estimation, test of hypotheses and prediction. This include maximum
likelihood estimation, testing for poolability of the data, testing
for the significance of individual and time effects, as well as
Hausman's test for correlated effects. It also provides extensions
of panel data techniques to serial correlation, spatial
correlation, heteroskedasticity, seemingly unrelated regressions,
simultaneous equations, dynamic panel models, incomplete panels,
measurement error, count panels, rotating panels, limited dependent
variables, and non-stationary panels. The book provides several
empirical examples that are useful to applied researchers,
illustrating them using Stata and EViews showing the reader how to
replicate these studies. The data sets are provided on the Wiley
web site: www.wileyeurope.com/college/baltagi .
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