Analysis of Panels and Limited Dependent Variable Models

doi:10.1017/CBO9780511493140

This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

Review of the hardback:‘The papers in this volume will help applied researchers interested in careful application of panel and limited dependent variable models.’

Source: Journal of the American Ststistical Association

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Contents

Frontmatter
pp i-iv
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Contents
pp v-vi
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List of contributors
pp vii-viii
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Foreword
pp ix-x
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Introduction
pp 1-6
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1 - A note on left censoring
pp 7-22
- By Takeshi Amemiya
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2 - Autoregressive models with sample selectivity for panel data
pp 23-48
- By Manuel Arellano, Olympia Bover, José M. Labeaga
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3 - Mixture of normals probit models
pp 49-78
- By John Geweke, Michael Keane
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4 - Estimation of dynamic limited-dependent rational expectations models
pp 79-113
- By Lung-Fei Lee
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5 - A Monte Carlo study of EC estimation in panel data models with limited dependent variables and heterogeneity
pp 114-135
- By Mahmoud A. El-Gamal, David M. Grether
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6 - Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth
pp 136-170
- By Marc Nerlove
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7 - Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables
pp 171-198
- By Seung Chan Ahn, Peter Schmidt
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8 - Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors
pp 199-225
- By Jan F. Kiviet
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9 - Re-examining the rational expectations hypothesis using panel data on multi-period forecasts
pp 226-254
- By Anthony Davies, Kajal Lahiri
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10 - Prediction from the regression model with one-way error components
pp 255-267
- By Richard T. Baillie, Badi H. Baltagi
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11 - Bayes estimation of short-run coefficients in dynamic panel data models
pp 268-296
- By Cheng Hsiao, M. Hashem Pesaran, A. Kamil Tahmiscioglu
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12 - Bias reduction in estimating long-run relationships from dynamic heterogeneous panels
pp 297-322
- By M. Hashem Pesaran, Zhongyun Zhao
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CV of G.S. Maddala
pp 323-333
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Index
pp 334-338
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Analysis of Panels and Limited Dependent Variable Models

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Contents

Frontmatter
pp i-iv

Contents
pp v-vi

List of contributors
pp vii-viii

Foreword
pp ix-x

Introduction
pp 1-6

1 - A note on left censoring
pp 7-22

2 - Autoregressive models with sample selectivity for panel data
pp 23-48

3 - Mixture of normals probit models
pp 49-78

4 - Estimation of dynamic limited-dependent rational expectations models
pp 79-113

5 - A Monte Carlo study of EC estimation in panel data models with limited dependent variables and heterogeneity
pp 114-135

6 - Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth
pp 136-170

7 - Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables
pp 171-198

8 - Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors
pp 199-225

9 - Re-examining the rational expectations hypothesis using panel data on multi-period forecasts
pp 226-254

10 - Prediction from the regression model with one-way error components
pp 255-267

11 - Bayes estimation of short-run coefficients in dynamic panel data models
pp 268-296

12 - Bias reduction in estimating long-run relationships from dynamic heterogeneous panels
pp 297-322

CV of G.S. Maddala
pp 323-333

Index
pp 334-338

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Analysis of Panels and Limited Dependent Variable Models

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