The Econometrics of Panel Data

1. Front Matter

   Pages I-XXVI

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2. Fundamentals

   1. Front Matter

      Pages 1-1

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   2. Introduction

      • Marc Nerlove, Patrick Sevestre, Pietro Balestra

      Pages 3-22

   3. Fixed Effects Models and Fixed Coefficients Models

      • Pietro Balestra, Jayalakshmi Krishnakumar

      Pages 23-48

   4. Error Components Models

      • Badi H. Baltagi, László Mátyás, Patrick Sevestre

      Pages 49-87

   5. Endogenous Regressors and Correlated Effects

      • Rachid Boumahdi, Alban Thomas

      Pages 89-112

   6. The Chamberlain Approach to Panel Data: An Overview and Some Simulations

      • Bruno Crépon, Jacques Mairesse

      Pages 113-183

   7. Random Coefficient Models

      • Cheng Hsiao, M. Hashem Pesaran

      Pages 185-213

   8. Parametric Binary Choice Models

      • Michael Lechner, Stéfan Lollivier, Thierry Magnac

      Pages 215-245

3. Advanced Topics

   1. Front Matter

      Pages 247-247

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   2. Dynamic Models for Short Panels

      • Mark N. Harris, L´szlÓ M´ty´s, Patrick Sevestre

      Pages 249-278

   3. Unit Roots and Cointegration in Panels

      • Jörg Breitung, M. Hashem Pesaran

      Pages 279-322

   4. Measurement Errors and Simultaneity

      • Erik Biørn, Jayalakshmi Krishnakumar

      Pages 323-367

   5. Pseudo-Panels and Repeated Cross-Sections

      • Marno Verbeek

      Pages 369-383

   6. Attrition, Selection Bias and Censored Regressions

      • Bo Honoré, Francis Vella, Marno Verbeek

      Pages 385-418

   7. Simulation Techniques for Panels: Efficient Importance Sampling

      • Roman Liesenfeld, Jean-FranÇois Richard

      Pages 419-450

   8. Semi-parametric and Non-parametric Methods in Panel Data Models

      • Chunrong Ai, Qi Li

      Pages 451-478

   9. Panel Data Modeling and Inference: A Bayesian Primer

      • Siddhartha Chib

      Pages 479-515

   10. To Pool or Not to Pool?

       • Badi H. Baltagi, Georges Bresson, Alain Pirotte

       Pages 517-546

   11. Duration Models and Point Processes

       • Jean-Pierre Florens, Denis Fougère, Michel Mouchart

       Pages 547-601

The aim of this third, completely re-written, re-edited and considerably expanded, edition of this book is to provide a general overview of both the basics and - cent, more sophisticated, theoretical developments in panel data econometrics. It also aims at covering a number of ?elds of applications where these methods are used for improving our knowledge and understanding of economic agents’ beh- iors. Since the pioneering works of Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross s- tions and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate, reliable and informative results than would be achievable by one type of series alone. Over the last three decades of the last century, much fundamental work has been done: investigation of the properties of different estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. The more recent years and in particular the ten years elapsed since the second edition of this book have witnessed even more considerable changes. Indeed, our ability to estimate and test nonlinear models have dramatically improved and issues such as the unobserved heterogeneity in nonlinear models, attrition and selectivity bias have received considerable attention. This explains why the number of chapters dealing with such issues has increased in this third edition.

• Data
• Fundamentals
• Mátyás
• Panel
• Simulation
• calculus
• econometrics
• paraplusig
• statistics

• Department of Economics, Central European University, Hungary

  László Mátyás

• Ecole Economique de Paris (Paris School of Economics), Université Paris 1-Panthéon Sorbonne, France

  Patrick Sevestre

Short CV László Mátyás

Current employer: Central European University, Academic ProRector (2003 onwards)
Department of Economics, Head of Department (October 1999-2003);
CEU University Professor of Econometrics (1999 onwards)
ERUDITE, Universite de Paris XII, Research Associate (1996 onwards);

Previous employers:
Ministry of Economic Affairs, Institute for Economic Analysis, Director and Deputy Under-Secretary of State, 1999 Jan.-Sept.;
Budapest University of Economics, Dept. of Business Economics, Associate Professor and then from 1997 Szechenyi Istvan and Full Professor of Econometrics 1989-2002 (on leave from 1991 to 1997);
Monash University, Melbourne, Australia, Dept. of Econometrics, Senior Lecturer, 1991-1997;
Research Institute for Agricultural Economics, Budapest, Senior Research Fellow 1982-1989;
ENSAE (Ecole Nationale de la Statistique et de l'Administration Economique), Paris, Researcher, 1985-1986;

Visiting positions:
University of Bonn, Germany (1987)
Universidad Autonoma de Madrid, and Instituto de Estudios Fiscales, Spain (1988)
Universite Paris XII, France (1995)

Teaching:
Econometrics and Basic Econometrics, Econometric Theory, Applied Econometrics, Micro-econometrics, and supervision of graduate and Ph.D. students.

Professional activities :
- Associate Editor, European Economic Review, 2003 onwards,
- Member of the Scientific Committee of the Bi-annual Conference Series on Panel Data, 1994 onwards,
- Econometric Society, Regional Co-ordinator, Winter European Meetings, 2002 onwards,
- Member of the Program Committee of the Econometric Society European Meeting (ESEM'92), 1992,
- Chairman of the Program Committee of the Fourth Conference on Panel Data, Budapest, 1992,
- Secretary of the Local Organizing Committee of the Econometric Society European Meeting (ESEM'86), 1986,
- Guest Editor of the journal Structural Change and EconomicDynamics (Oxford University Press),
Refereeing for: the Australian Journal of Statistics, Applied Economics, Econometric Reviews, Journal of Econometrics, Empirical Economics, Journal of Applied Econometrics, Annales d'Economie et Statistique, Structural Change and Economic Dynamics, The World Economy, The Review of World Economics and the Hungarian Review of Statistics.

Short CV Patrick Sevestre

Doctor in economics mathematics and econometrics, with the aggregation of economics, Patrick Sevestre is Professor of Economics at the University Paris XII -Val de Marne (1994). He is also research fellow at l'ERUDITE, University Paris XII - Val de Marne, Consultant in the reserach center of Banque de France (since 1994) and teacher to the
CEPE, Centre d'Etude des Programmes Economiques (1991-1994 and since1996).

Policies and ethics