Panel data econometrics: common factor analysis for empirical researchers
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
London
Routledge
2019
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xiii, 150 Seiten Illustrationen |
| ISBN: | 9781138389670 9781138389663 |
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Record in the Search Index
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| adam_text | CONTENTS List offigures List of tables Preface 1 Basic structure of panel data 1 1.1 2 2 3 4 4 6 7 7 Meaning of fixed effect 1.1.1 Fixed effects with non-trended data 1.1.2 Fixed effects with trended panel data 1.2 Meaning of common components 1.2.1 Aggregation or macro factor 1.2.2 Source of cross-sectional dependence 1.2.3 Central location parameter 1.3 Meaning of idiosyncratic components 2 Statistical models for cross-sectional dependence 2.1 2.2 2.3 2.4 3 Lx xi xii Spatial dependence Gravity model Common factor approach Other variations 2.4.1 Dynamic factor model 2.4.2 Hierarchical factor model 10 11 13 15 18 18 19 Factor number identification 20 3.1 A step-by-step procedure for determiningthe factor number 3.2 Infonnation criteria and alternative methods 20 23
vi Contents 3.3 Standardization and prewhitening 3.4 Practice: factor number estimation 3.4.1 STATA practice with crime rates 3.4.2 STATA practice with price indices 3.4.3 Practice with GAUSS 3.4.4 Practice with MATLAB 4 Decomposition of panel: estimation of common and idiosyncratic components 4.1 Measurement of accuracy: order in probability 4.2 Estimation of the common factors 4.2.1 Cross-sectional average (CSA) approach 4.2.2 Principal component estimator 4.2.3 Comparison between two estimators for the common factors 4.3 Estimation of the idiosyncratic components 4.4 Variance decomposition 4.5 Cross-sectional dependence and level ofaggregation 4.5.1 General static factor structure 4.5.2 Hierarchical factor structure 4.6 Practice: common factors estimation 4.6.1 GAUSS practice I: principal component estimation 4.6.2 GAUSS practice II: standardization and estimation of PC factors 4.6.3 MATLAB practice 4.6.4 STATA practice 5 Identification of Common Factors 5.1 Difference between statistical and latentfactors 5.2 Asymptotically weak factors approach 5.2.1 Single-factor case 5.2.2 Multi-factor case 5.2.3 Some tips to identify latent factors 5.2.4 Application: testing homogeneity of factor loadings 5.3 Residual-based approach 5.4 Empirical example: exchange rates 5.5 Practice: identifying common factors 5.5.1 MATLAB practice I: leadership model 5.5.2 MATLAB practice II: multiple variables as single factor 5.5.3 Practice with GAUSS 5.5.4 Practice with STATA 25 27 27 29 31 33 35 35 36 37 38 40 42 43 45 46 49 50 50 51 52 53 55 56 58 59 60 62 63 64 65 67 67 70 71 72
Contents 6 Static and dynamic relationships 6.1 Static and dynamic relationship under cross-sectional independence 6.1.1 Spurious cross-sectional regression 6.1.2 Spurious pooled OLS estimator 6.1.3 Time series and panel-fixed effect regressions 6.1.4 Between-group estimator 6.2 Static and dynamic relationship under cross-sectional dependence 6.2.1 Homogeneous factor loadings 6.2.2 Heterogeneous factor loadings: factor-augmented panel regression 6.2.3 Cross-sectional regressions with nonstationary common factors 6.3 Practice: factor-augmented and aggregation regressions 6.3.1 Practice with GAUSS I: common-dynamic relationship 6.3.2 Practice with GAUSS II: idio-dynamic relationship 6.3.3 Practice with MATLAB 6.3.4 Practice with STATA 6.4 Appendix: modified between group estimators and an econometric application 6.4.1 Appendix A: relationships between the five estimators 6.4.2 Appendix B: estimation of static relationships 6.4.3 Appendix C: econometric application 7 Convergence 7.1 ^-Convergence: pitfalls of cross-country regressions 7.2 Relative convergence 7.2.1 Notion of relative convergence 7.2.2 How to test: log t regression 7.2.3 Clustering algorithm 7.2.4 Pitfalls of the log í regression and alternative solutions 7.3 σ-Convergence 7.4 Empirical example I: household expenditure data from KLIPS 7.5 Practice: convergence tests 7.5.1 Practice with MATLAB I: weak σ-convergence test 7.5.2 Practice with MATLAB II: relative convergence test 7.5.3 Practice with GAUSS 7.5.4 Practice with STATA vii 75 76 77 80 80 82 84 85 87 89 95 95 97 100 101 101 101 105 107 110 111 · 14 115
115 117 ЧИ 120 I23 125 126 128 130 131
viii Contents Appendix: basic panel regressions 134 8.1 Standard two-way fixed effects estimation 8.1.1 POLS estimation 8.1.2 One-way fixed effect estimation 8.1.3 Two-way fixed effect estimation 8.2 Valid test statistics 8.2.1 Basic inference theory 8.2.2 Cross-sectional dependence 8.2.3 Solution: use two-way fixed effect 8.2.4 Serial dependent panel: use panel robust covariance 134 134 135 136 138 138 139 140 141 References Index 145 149
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| id | DE-604.BV045330469 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T08:15:06Z |
| institution | BVB |
| isbn | 9781138389670 9781138389663 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030717334 |
| oclc_num | 1107345263 |
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| owner | DE-355 DE-BY-UBR DE-1049 |
| owner_facet | DE-355 DE-BY-UBR DE-1049 |
| physical | xiii, 150 Seiten Illustrationen |
| publishDate | 2019 |
| publishDateSearch | 2019 |
| publishDateSort | 2019 |
| publisher | Routledge |
| record_format | marc |
| spelling | Sul, Donggyu 1965- Verfasser (DE-588)129394092 aut Panel data econometrics common factor analysis for empirical researchers London Routledge 2019 xiii, 150 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Panelanalyse (DE-588)4173172-4 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 s Panelanalyse (DE-588)4173172-4 s b DE-604 Erscheint auch als Online-Ausgabe 978-0-429-42376-5 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030717334&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sul, Donggyu 1965- Panel data econometrics common factor analysis for empirical researchers Panelanalyse (DE-588)4173172-4 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4173172-4 (DE-588)4132280-0 |
| title | Panel data econometrics common factor analysis for empirical researchers |
| title_auth | Panel data econometrics common factor analysis for empirical researchers |
| title_exact_search | Panel data econometrics common factor analysis for empirical researchers |
| title_full | Panel data econometrics common factor analysis for empirical researchers |
| title_fullStr | Panel data econometrics common factor analysis for empirical researchers |
| title_full_unstemmed | Panel data econometrics common factor analysis for empirical researchers |
| title_short | Panel data econometrics |
| title_sort | panel data econometrics common factor analysis for empirical researchers |
| title_sub | common factor analysis for empirical researchers |
| topic | Panelanalyse (DE-588)4173172-4 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Panelanalyse Ökonometrie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030717334&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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