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Analysis of Panel Data

2nd Edition

$40.00 ( ) USD

Part of Econometric Society Monographs

  • Date Published: December 2004
  • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • format: Adobe eBook Reader
  • isbn: 9780511055072
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About the Authors
  • Panel data models have become increasingly popular among applied researchers due to their heightened capacity for capturing the complexity of human behavior, as compared to cross-sectional or time series data models. This second edition represents a substantial revision of the highly successful first edition (1986). Recent advances in panel data research are presented in an accessible manner and are carefully integrated with the older material. The thorough discussion of theory and the judicious use of empirical examples make this book useful to graduate students and advanced researchers in economics, business, sociology and political science.

    •  Second edition of the standard work in the economics/statistics literature on panel data
    •  All chapters except chapter 5 have been revised, two new chapters on incomplete panel data, simulation methods, unit root tests, data with multi-level structures
    •  Author internationally renowned; this is his fourth work with the Press
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    Reviews & endorsements

    "Cheng Hsiao has made many significant and important contributions to panel data econometrics, both methodological and applied, beginning with his 1972 dissertation, in numerous articles, and in his masterful and magisterial 1986 monograph, long a standard reference and popular graduate text. Not only has Hsiao significantly revised the material covered in his original monograph, he has added major new chapters on nonlinear panel models of discrete choice and sample selection, and included new material on the Bayesian treatment of models with fixed and random coefficients, pseudopanels, simulation methods of estimation, and more extensive treatment of dynamic models. Throughout, Hsiao provides applied examples, which greatly enhance the reader's understanding and intuition. The clarity of his exposition and organization is exemplary. All of us who work in the field of panel data econometrics have been, and will now more than ever continue to be in Hsiao's debt."
    Marc Nerlove, University of Maryland

    "The literature on panel data modeling has seen unprecendented growth over the past decade and Cheng Hsiao, himself one of the leading contributors to this literature, is to be congratulated for providing us with a comprehensive and timely update of his classic text. This version not only presents a substantial revision of the 1986 edition, but also offers major additions covering non-linear panel data models dealing with useful overviews of unit root and cointegration in dynamic heterogeneous panels. It should prove invaluable to students and teachers of advanced undergraduate and graduate economic courses."
    Hashem Perasan, Trinity College, Cambridge

    "The first edition of Analysis of Panel Data by Cheng Hsiao has been necessary reading and a landmark for 15 years. The revised and much expanded second edition splendidly integrates the important new developments in the field. One can be sure it will stay a landmark for 15 years to come."
    Jacques Mairesse, ENSAE, France

    "Cheng Hsiao has done a great service to the profession by expanding his highly successful first edition to include the important results that have been obtained by him and other researchers since the publication of the first edition. Especially noteworthy in this edition is the application of panel data analysis to qualitative response and sample selection models. Cheng has admirably succeeded in presenting the mathematical results both rigorously and lucidly. Many theoretical results are illustrated by interesting empirical examples. This edition should prove to be an extremely useful reference for the experts in the field as well as graduate students."
    Takeshi Amemiya, Stanford University, California

    "Researchers will find that the insights that they gain from working through the book's tougher sections are well worth the effort. The book remains an indispensable and comprehensive reference for panel estimation methods."
    David C. Ribar, International Journal of Forecasting

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    Customer reviews

    06th Mar 2019 by Dilafadila

    like i need the book as my reference thanks for the books

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    Product details

    • Edition: 2nd Edition
    • Date Published: December 2004
    • format: Adobe eBook Reader
    • isbn: 9780511055072
    • contains: 16 b/w illus. 33 tables
    • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • Table of Contents

    Part I. Introduction:
    1. Advantages of panel data
    2. Issues involved in utilizing panel data
    3. Outline of the monograph
    Part II. Analysis of Covariance:
    4. Introduction
    5. Analysis of covariance
    6. An example
    Part III. Simple Regression with Variable Intercepts:
    7. Introduction
    8. Fixed-effects models: least-squares dummy-variable approach
    9. Random-effects models: estimation of variance-components models
    10. Fixed effects or random effects
    11. Tests for misspecification
    12. Models with specific variables and both individual- and time-specific effects
    13. Heteroscedasticity
    14. Models with serially correlated errors
    15. Models with arbitrary error structure - Chamberlain - approach
    Part IV. Dynamic Models with Variable Intercepts:
    16. Introduction
    17. The covariance estimator
    18. Random-effects models
    19. An example - demand for natural gas
    20. Fixed effects models
    21. Estimation of dynamic models with arbitrary correlations in the residuals
    22. Fixed effects vector autoregressive models
    Part V. Simultaneous-Equations Models:
    23. Introduction
    24. Joint generalized-least squares estimation technique
    25. Estimation of structural equations
    26. Triangular system
    Part VI. Variable-Coefficient Models:
    27. Introduction
    28. Coefficients that vary over cross-sectional units
    29. Coefficients that vary over time and cross-sectional units
    30. Coefficients that evolve over time
    31. Coefficients that are functions of other exogenous variables
    32. A mixed fixed and random coefficients model
    33. Dynamic random coefficients models
    34. An example - liquidity constraints and firm investment expenditure
    Part VII. Discrete Data:
    35. Introduction
    36. Some discrete-response models
    37. The parametric approach to static models with heterogeneity
    38. The semiparametric approach to static models
    39. Dynamic models
    Part VIII. Truncated and Censored Data:
    40. Introduction
    41. Nonrandomly missing data
    42. Tobit models with random individual effects
    43. Fixed effects estimator
    44. An example: housing expenditure
    45. Dynamic Tobit models
    Part IX. Incomplete Panel Data:
    46. Estimating distributed lags in short panels
    47. Rotating or randomly missing data
    48. Pseudo panels (or repeated cross-sectional data)
    49. Pooling of a single cross-section and a single time series
    Part X. Miscellaneous Topics:
    50. Simulation methods
    51. Panels with large N and T
    52. Unit root tests
    53. Data with multi-level structures
    54. Errors of measurement
    55. Modeling cross-sectional dependence
    Part XI. A Summary View:
    56. Introduction
    57. Benefits and limitations of panel data
    58. Efficiency of the estimates.

  • Author

    Cheng Hsiao, University of Southern California

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