Essays in panel data econometrics:
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| Format: | Book |
| Language: | English |
| Published: |
Cambridge
Cambridge Univ. Press
2008
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVI, 366 S. Ill., graph.Darst. |
| ISBN: | 9780521022460 0521022460 |
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MARC
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| 100 | 1 | |a Nerlove, Marc |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Essays in panel data econometrics |c Marc Nerlove |
| 264 | 1 | |a Cambridge |b Cambridge Univ. Press |c 2008 | |
| 300 | |a XVI, 366 S. |b Ill., graph.Darst. | ||
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface
to the Book page
xiii
1
The History of Panel Data Econometrics,
1861-1997 1
Preface
1
1.
Introduction
4
2.
In the Beginning: Astronomy, Agronomy, and Statistics
7
a. Fixed- versus Random-Effects Models
7
b. An Example in Which Mostly Fixed Effects A re Appropriate
8
с
An Example in Which Mostly Random Effects
Are Appropriate; A iry s Problem
9
d. Fisher
12
e. Daniels and
Eisenhart 13
f.
Further Development of the Statistical Literature
14
3.
Econometric Development, the Early Years: From Chicago
to the Paris Conference of
1977 17
a. Hildreth
17
b. Management Bias and the Estimation of Production
Functions:
Hoch
and Mundlak
18
с
Balestra
and Nerlove: Error Components and Dynamic
Panel Models
21
d. Highlights of the Ten Years Preceding the First Paris
Conference,
1967-1976 26
e. The First Paris Conference,
1977 35
4.
Econometric Development, the Later Years: From Paris to Paris
35
a. Problems of Testing Specification: Fixed versus Random
Effects; Serially Correlated Effects
36
(1)
Hausman Tests
36
(2)
Serially Correlated Remainder Effects
39
(3)
Serially Correlated Period Effects
41
viii Contents
b. Dynamics:
Comparative
Properties of Alternative
Estimators and the Problem of Initial Conditions
46
(1)
Inconsistency of the Pooled-Sample OLS Estimates
of the Dynamic Error-Components Model
48
(2)
Inconsistency of the OLS Estimators of the Dummy
Variable, or Fixed-Effects, Model
49
(3)
Generalized Least Squares and Feasible GLS
50
(4)
Maximum Likelihood and the Problem of Initial
Observations
52
с
Estimation of Limited Dependent, Discrete, and Qualitative
Panel Data Models
58
(1)
Incidental or Nuisance Parameters
59
(2)
Logit and
Probit
Models
62
(a) Nondynamic Models
62
(b) Dynamic Models
65
(3)
Limited Dependent Variables
67
(a) Nondynamic Models
67
(b) Dynamic Models
69
(4)
Hazard and Duration Models
69
d. The Second Paris Conference,
1997 70
5.
Beyond Paris
70
Appendices to Chapter
1
Appendix A: Decomposition of the Sum of Squares of a Variable
Observed in a Two-Dimensional Panel
83
Appendix B: Alternative Formulations of the Concentrated
Likelihood Function for the Two-Component Random-Effects
Model
86
Appendix C: Introduction to The Econometrics of Panel
Data,
Colloque
International
du CNRS, INSEE, Paris
22-24
August
1977 92
Appendix D: Derivation of the Likelihood Function
for the Three-Component Random-Effects Nondynamic Panel
Model with Serially Correlated Period Effects
102
Appendix E: Likelihood for Stationary Panel Data-Generating
Processes with Exogenous Variables and Individual-Specific
Random Effects
105
Appendix F: Amemiya s Classification of Limited Dependent
Variable or Tobit Models 111
2
Pooling Cross-Section and Time-Series Data in the
Estimation of a Dynamic Model: The Demand for
Natural Gas (with
Pietro Balestra)
115
Preface
115
/.
The Dynamic Model of Gas Demand
120
2.
Estimation by Ordinary Least-Squares Methods
123
Contents ix
3. The Residual Model 127
4.
Estimation Procedures
133
5.
Conclusions
143
Appendix: Derivation of the Maximum-Likelihood Estimates
of
ρ
and
σ2
144
Experimental Evidence on the Estimation of Dynamic Economic
Relations from a Tme Series of Cross Sections
149
Preface
149
1.
Background
153
2.
Design of the Experiments
161
a. Generation of the Observations
161
b. Parameter Values
164
с
Methods of Estimation
164
3.
The Results
169
a. Generalized Least Squares
171
b. Ordinary Least Squares
171
с
Least Squares with Individual Constant Terms
172
d. Maximum Likelihood
172
e. Two Round
173
f. Comparison of Various Methods
173
4.
Conclusions
174
Appendix: Parameter Values
177
Further Evidence on the Estimation of Dynamic Economic
Relations from a Time Series of Cross Sections
189
Preface
189
/.
Introduction
193
2.
Design of the Experiments
200
a. Generation of the Observations
200
b. Parameter Values
205
с
Methods of Estimation
205
(7)
Generalized Least-Squares Estimates Employing
the True Value of
p
Used in the Generation of the
Observations
205
(2)
Ordinary Least-Squares Estimates of the Relation
(2.1)
(i.e., Not Including Individual Constant
Terms)
207
(3)
Least-Squares Estimates of the Parameters
207
(4)
Instrumental-Variable Estimates Using
x¡,
-г
as an
Instrument for yH^
207
(5)
Two-Round
Estimates Equivalent to Generalized Least
Squares Using Not the True Value of
p
but the Estimate
rc Obtained in
(3),
a Least-Squares Regression with
Individual Constant Terms
208
Contents
(6)
Two-Round Estimates Similar to
(5)
but using
r¡,
an
Estimate of
ρ
Based on the Calculated Residuals from
the Instrumental-Variable Estimate of Equation
(2.1)
as
Given in
(2.17) 208
(7)
Maximum-Likelihood Estimates Obtained by
Maximizing the Logarithmic Likelihood Function
208
3.
Comparative Properties of Different Estimation Procedures
210
a. Bias
210
b. Relative Mean-Square Errors
213
с
Characteristics of the Maximum-Likelihood Estimates
214
4.
Conclusions
216
Appendices for Chapter
4
(Available in
pdf
Format at
http://
www.arec.umd. edu/mnerlove/Tablesl
971.
ZIP)
A Note on Error-Components Models
219
Preface
219
Errata
221
1.
Introduction
222
2.
The Characteristic Roots and Vectors of
Ω
226
3.
The Square Root of
Ω,
228
4.
The Inverse of
Q
and the
G
LS Estimates of
β
231
5.
An Interpretation of
β
and Its Asymptotic Distribution
233
Growth-Rate Convergence, Fact or Artifact? An Essay on Panel
Data Econometrics
237
Preface
237
/.
Introduction
240
2.
The Neoclassical Theory of Growth Convergence
242
a. The Solow/Swan Model
243
b. Growth Convergence in the Neoclassical Model
with Exogenous Population Growth and Savings
244
3.
Empirical Investigations of Convergence and the Rate
of Con
vergence
246
4.
Alternative Methods for Estimating Rates of Convergence
249
a. Inconsistency of the Pooled-Sample OLS Estimates
of the Dynamic Error-Components Model
250
b. Inconsistency of the OLS Estimators of the Dummy Variable
or Fixed-Effects Model
251
с
Country Means Regression and the Estimation of
ρ
252
d.
Generalized Least Squares and Feasible GLS
253
e. Bounds for the Coefficient of the Lagged Dependent Variable
254
f. Maximum-Likelihood Conditional on the Initial Value
of the Lagged Dependent Variable
255
g. Unconditional Maximum Likelihood
257
Contents xi
5
Empirical Evidence on Growth-Rate Convergence and the
Comparative Performance of Different Panel Data Methods
260
a. Numerical Results
260
b. Graphical Results
265
6.
Conclusions
268
Appendix
270
Properties of Alternative Estimators of Dynamic Panel Models:
An Empirical Analysis of Cross-Country Data for the Study
of Economic Growth
273
Preface
273
/.
Introduction
274
2.
Recent Empirical Investigations of Convergence and the Rate
of Convergence
277
3.
Alternative Methods for Estimation
281
a. Inconsistency of the Pooled-Sample OLS Estimates
of the Dynamic Error-Components Model
282
b. Inconsistency of the OLS Estimators of the Dummy Variable
or Fixed-Effects Model
283
с
Generalized Least Squares and Feasible GLS
285
d. Bounds for the Coefficient of the Lagged Dependent
Variable
286
e. Maximum Likelihood Conditional on the Initial Value
of the Lagged Dependent Variable
287
f
Unconditional Likelihood and Unconditional Maximum
Likelihood
289
4.
Empirical Evidence on the Comparative Performance
of Different Panel Data Methods
293
5.
Conclusions
299
Likelihood Inference for Dynamic Panel Models
305
Preface
305
/.
Introduction
308
2.
The Likelihood Principle
310
3.
Likelihood Functions for Two Basic Dynamic Panel Models
314
a. The Model in Levels
316
(1) Specification of the Joint Distribution of the
Observations, Both Conditional and Unconditional
on the Initial Observations
316
(2)
The Joint Likelihood Conditional on the Initial
Observations and the Exogenous Variables
321
(3)
The Joint Likelihood Unconditional on the Initial
Observations
322
b. The Model in First Differences
323
xii Contents
4. An
Empirical Example: A Study of
Cross-Country
Economic
Growth Using Panel Data
326
a. Recent Empirical Investigations
327
b. New Estimates Based on Maximizing the Conditional
and Unconditional Likelihood Functions
331
Index
349
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| spelling | Nerlove, Marc Verfasser aut Essays in panel data econometrics Marc Nerlove Cambridge Cambridge Univ. Press 2008 XVI, 366 S. Ill., graph.Darst. txt rdacontent n rdamedia nc rdacarrier Panelanalyse (DE-588)4173172-4 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Ökonometrie (DE-588)4132280-0 s Panelanalyse (DE-588)4173172-4 s 1\p DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026076986&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Nerlove, Marc Essays in panel data econometrics Panelanalyse (DE-588)4173172-4 gnd Ökonometrie (DE-588)4132280-0 gnd |
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| title | Essays in panel data econometrics |
| title_auth | Essays in panel data econometrics |
| title_exact_search | Essays in panel data econometrics |
| title_full | Essays in panel data econometrics Marc Nerlove |
| title_fullStr | Essays in panel data econometrics Marc Nerlove |
| title_full_unstemmed | Essays in panel data econometrics Marc Nerlove |
| title_short | Essays in panel data econometrics |
| title_sort | essays in panel data econometrics |
| topic | Panelanalyse (DE-588)4173172-4 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Panelanalyse Ökonometrie Aufsatzsammlung |
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