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THE ECONOMETRICS OF PANEL DATA
This title features work on variance components model, its extensions and applications, estimation of variances, dynamic models, instrumental variable estimators and random coefficient models. The second volume covers errors in variables and incomplete data, specification tests, limited dependent variables, frontier production functions and some practical problems with panel data.
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备受好评
Contributors
Contents
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这提供了重要的参考著作的读者,复位archers and students a thoughtful, balanced selection of core articles from the voluminous literature on panel data. The Econometrics of Panel Data will be welcomed by econometricians and economists as a central reference point and guide to current thinking.
第一卷特征在方差组件模型，其扩展和应用，方差估计，动态模型，仪器变量估计器和随机系数模型上工作。第二卷涵盖了变量和不完整的数据，规范测试，有限的因变量，前沿生产功能以及面板数据的一些实际问题。
G.S. Maddala has chosen a series of key contributions by leading econometricians which guide the reader through the literature. As well as reproducing the central articles and papers, intact with their original pagination, the editor provides a comprehensive introduction and additional references which will allow students and researchers to pursue their studies further.
第一卷特征在方差组件模型，其扩展和应用，方差估计，动态模型，仪器变量估计器和随机系数模型上工作。第二卷涵盖了变量和不完整的数据，规范测试，有限的因变量，前沿生产功能以及面板数据的一些实际问题。
G.S. Maddala has chosen a series of key contributions by leading econometricians which guide the reader through the literature. As well as reproducing the central articles and papers, intact with their original pagination, the editor provides a comprehensive introduction and additional references which will allow students and researchers to pursue their studies further.
备受好评
‘. . . in a rapidly expanding area such as this with publications appearing in such diverse journals, Maddala has done us all a great favour by picking out many of the articles that have shaped research in this area over the past two decades or more.’
– Richard Blundell, The Economic Journal
– Richard Blundell, The Economic Journal
Contributors
贡献者包括de: T. Amemiya, B.H. Baltagi, T.D. Wallace
Contents
Contents
Acknowledgements
介绍
PART I VARIANCE COMPONENT MODELS
1. Pietro Balestra and Marc Nerlove (1966), ‘Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas’
2. T.D. Wallace and Ashiq Hussain (1969), ‘The Use of Error Components Models in Combining Cross Section with Time Series Data’
3. G.S. Maddala (1971), ‘The Use of Variance Components Models in Pooling Cross Section and Time Series Data’
4. Marc Nerlove（1971），“错误组件模型的注释”
5. Wayne A. Fuller and George E. Battese (1974), ‘Estimation of Linear Models with Crossed-Error Structure’
6. Trevor S. Breusch (1987), ‘Maximum Likelihood Estimation of Random Effects Models’
PART II ESTIMATION OF VARIANCES
7. C. Radhakrishna Rao (1972), ‘Estimation of Variance and Covariance Components in Linear Models’
8. Takeshi Amemiya (1971), ‘The Estimation of the Variances in a Variance-Components Model’
9. G.S. Maddala and T.D. Mount (1973), ‘A Comparative Study of Alternative Estimators for Variance Components Models Used in Econometric Applications’
10. William E. Taylor (1980), ‘Small Sample Considerations in Estimation from Panel Data’
11. Tom Wansbeek (1980), ‘A Regression Interpretation of the Computation of MINQUE Variance Component Estimates’
PART III DYNAMIC MODELS
12. Marc Nerlove (1971), ‘Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections’
13. Stephen Nickell (1981), ‘Biases in Dynamic Models with Fixed Effects’
14. T.W.Anderson和Cheng Hsiao（1982），“使用面板数据的动态模型的配方和估计”
15. Alok Bhargava和J.D. Sargan（1983），“估计涵盖短时间的面板数据中的动态随机效应模型”
PART IV EXTENSIONS OF THE VARIANCE COMPONENTS MODEL
16. Badi H. Baltagi (1980), ‘On Seemingly Unrelated Regressions with Error Components’
17. Badi H. Baltagi (1981), ‘Simultaneous Equations with Error Components’
18. Gary Chamberlain（1982），“面板数据的多元回归模型”
19. Ingmar R. Prucha (1985), ‘Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components’
方差组件模型的V部分应用
20. E. Philip Howrey and Hal R. Varian (1984), ‘Estimating the Distributional Impact of Time-of-Day Pricing of Electricity’
21. Lee A. Lillard和Yoram Weiss（1979），“小组收入的变化的组成部分：美国科学家1960-70”
22. Gary Chamberlain and Zvi Griliches (1975), ‘Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers’
第六部分仪器变量估计器
23. Jerry A. Hausman and William E. Taylor (1981), ‘Panel Data and Unobservable Individual Effects’
24. Takeshi Amemiya and Thomas E. MaCurdy (1986),
‘Instrumental-Variable Estimation of an Error-Components Model’
25. Trevor S. Breusch, Grayham E. Mizon, and Peter Schmidt
(1989), ‘Efficient Estimation Using Panel Data’
26. Michael P. Keane and David E. Runkle (1992), ‘On the Estimation of Panel-Data Models with Serial Correlation when Instruments are not Strictly Exogenous’
第七部分随机模型
27. P.A.V.B. Swamy (1970), ‘Efficient Inference in a Random Coefficient Regression Model’
28. Barr Rosenberg（1973），“随机分散参数的线性回归”
29. A.F.M. Smith (1973), ‘A General Bayesian Linear Model’
30. C. Radhakrishna Rao (1975), ‘Simultaneous Estimation of Parameters in Different Linear Models and Applications to Biometric Problems’
31. Cheng Hsiao（1975），“随机系数模型的某些估计方法”
32. Harry H. Kelejian和Scott W. Stephan（1983），“随机系数面板数据模型的推断：文献的校正和澄清”
Name Index
Volume II
PART I ERRORS IN VARIABLES AND INCOMPLETE DATA
1. Zvi Griliches and Jerry A. Hausman (1986), ‘Errors in Variables in Panel Data’
2.ErikBiørn（1981），“从不完整的横截面/时间序列数据中估算经济关系”
3. Tom Wansbeek and Arie Kapteyn (1989), ‘Estimation of the Error-Components Model with Incomplete Panels’
4. Angus Deaton (1985), ‘Panel Data from Time Series of Cross-Sections’
PART II SPECIFICATION TESTS
5. J.A. Hausman (1978), ‘Specification Tests in Econometrics’
6. Yair Mundlak (1978), ‘On the Pooling of Time Series and Cross Section Data’
7. Suk Kang (1985), ‘A Note on the Equivalence of Specification Tests in the Two-Factor Multivariate Variance Components Model’
8. Brent R. Moulton (1987), ‘Diagnostics for Group Effects in Regression Analysis’
9. Douglas Holtz-Eakin, Whitney Newey, and Harvey S. Rosen (1988), ‘Estimating Vector Autoregressions with Panel Data’
10. Joshua D. Angrist and Whitney K. Newey (1991), ‘Over-Identification Tests in Earnings Functions With Fixed Effects’
11. Manuel Arellano and Stephen Bond (1991), ‘Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations’
PART III LIMITED DEPENDENT VARIABLES
12. Gary Chamberlain（1980），“与定性数据的协方差分析”
13. J.S. Butler and Robert Moffitt (1982), ‘A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model’
14. D.M. Grether and G.S. Maddala (1982), ‘A Time Series Model with Qualitative Variables’
15. Robert B. Avery, Lars Peter Hansen and V. Joseph Hotz (1983), ‘Multiperiod Probit Models and Orthogonality Condition Estimation’
16. J.D. Kalbfleisch and J.F. Lawless (1985), ‘The Analysis of Panel Data under a Markov Assumption’
17. Robin C. Sickles and Paul Taubman (1986), ‘An Analysis of the Health and Retirement Status of the Elderly’
18. G.S. Maddala (1987), ‘Limited Dependent Variable Models Using Panel Data’
PART IV FRONTIER PRODUCTION FUNCTIONS
19. Peter Schmidt and Robin C. Sickles (1984), ‘Production Frontiers and Panel Data’
20.克里斯托弗·康威尔（Christopher Cornwell），彼得·施密特（Peter Schmidt）和罗宾·C·镰刀（Robin C. Sickles）（1990），“效率水平的横截面和时间序列变化的生产边界”
PART V SPECIAL PROBLEMS WITH PANEL DATA
21. Jerry A. Hausman and David A. Wise (1979), ‘Attrition Bias in Experimental and Panel Data: The Gary Income Maintenance Experiment’
22. Jerry Hausman, Bronwyn H. Hall and Zvi Griliches (1984), ‘Econometric Models for Count Data with an Application to the Patents-R&D Relationship’
23. James J. Heckman and Richard Robb, Jr. (1985), ‘Alternative Methods for Evaluating the Impact of Interventions: An Overview’
24. Lawrence S. Mayer (1986), ‘On Cross-Lagged Panel Models with Serially Correlated Errors’
25. Jacques Mairesse（1990），“小组数据的时间序列和横截面估计：它们为什么与众不同，为什么它们应该相等？”
Name Index
Acknowledgements
介绍
PART I VARIANCE COMPONENT MODELS
1. Pietro Balestra and Marc Nerlove (1966), ‘Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas’
2. T.D. Wallace and Ashiq Hussain (1969), ‘The Use of Error Components Models in Combining Cross Section with Time Series Data’
3. G.S. Maddala (1971), ‘The Use of Variance Components Models in Pooling Cross Section and Time Series Data’
4. Marc Nerlove（1971），“错误组件模型的注释”
5. Wayne A. Fuller and George E. Battese (1974), ‘Estimation of Linear Models with Crossed-Error Structure’
6. Trevor S. Breusch (1987), ‘Maximum Likelihood Estimation of Random Effects Models’
PART II ESTIMATION OF VARIANCES
7. C. Radhakrishna Rao (1972), ‘Estimation of Variance and Covariance Components in Linear Models’
8. Takeshi Amemiya (1971), ‘The Estimation of the Variances in a Variance-Components Model’
9. G.S. Maddala and T.D. Mount (1973), ‘A Comparative Study of Alternative Estimators for Variance Components Models Used in Econometric Applications’
10. William E. Taylor (1980), ‘Small Sample Considerations in Estimation from Panel Data’
11. Tom Wansbeek (1980), ‘A Regression Interpretation of the Computation of MINQUE Variance Component Estimates’
PART III DYNAMIC MODELS
12. Marc Nerlove (1971), ‘Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections’
13. Stephen Nickell (1981), ‘Biases in Dynamic Models with Fixed Effects’
14. T.W.Anderson和Cheng Hsiao（1982），“使用面板数据的动态模型的配方和估计”
15. Alok Bhargava和J.D. Sargan（1983），“估计涵盖短时间的面板数据中的动态随机效应模型”
PART IV EXTENSIONS OF THE VARIANCE COMPONENTS MODEL
16. Badi H. Baltagi (1980), ‘On Seemingly Unrelated Regressions with Error Components’
17. Badi H. Baltagi (1981), ‘Simultaneous Equations with Error Components’
18. Gary Chamberlain（1982），“面板数据的多元回归模型”
19. Ingmar R. Prucha (1985), ‘Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components’
方差组件模型的V部分应用
20. E. Philip Howrey and Hal R. Varian (1984), ‘Estimating the Distributional Impact of Time-of-Day Pricing of Electricity’
21. Lee A. Lillard和Yoram Weiss（1979），“小组收入的变化的组成部分：美国科学家1960-70”
22. Gary Chamberlain and Zvi Griliches (1975), ‘Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers’
第六部分仪器变量估计器
23. Jerry A. Hausman and William E. Taylor (1981), ‘Panel Data and Unobservable Individual Effects’
24. Takeshi Amemiya and Thomas E. MaCurdy (1986),
‘Instrumental-Variable Estimation of an Error-Components Model’
25. Trevor S. Breusch, Grayham E. Mizon, and Peter Schmidt
(1989), ‘Efficient Estimation Using Panel Data’
26. Michael P. Keane and David E. Runkle (1992), ‘On the Estimation of Panel-Data Models with Serial Correlation when Instruments are not Strictly Exogenous’
第七部分随机模型
27. P.A.V.B. Swamy (1970), ‘Efficient Inference in a Random Coefficient Regression Model’
28. Barr Rosenberg（1973），“随机分散参数的线性回归”
29. A.F.M. Smith (1973), ‘A General Bayesian Linear Model’
30. C. Radhakrishna Rao (1975), ‘Simultaneous Estimation of Parameters in Different Linear Models and Applications to Biometric Problems’
31. Cheng Hsiao（1975），“随机系数模型的某些估计方法”
32. Harry H. Kelejian和Scott W. Stephan（1983），“随机系数面板数据模型的推断：文献的校正和澄清”
Name Index
Volume II
PART I ERRORS IN VARIABLES AND INCOMPLETE DATA
1. Zvi Griliches and Jerry A. Hausman (1986), ‘Errors in Variables in Panel Data’
2.ErikBiørn（1981），“从不完整的横截面/时间序列数据中估算经济关系”
3. Tom Wansbeek and Arie Kapteyn (1989), ‘Estimation of the Error-Components Model with Incomplete Panels’
4. Angus Deaton (1985), ‘Panel Data from Time Series of Cross-Sections’
PART II SPECIFICATION TESTS
5. J.A. Hausman (1978), ‘Specification Tests in Econometrics’
6. Yair Mundlak (1978), ‘On the Pooling of Time Series and Cross Section Data’
7. Suk Kang (1985), ‘A Note on the Equivalence of Specification Tests in the Two-Factor Multivariate Variance Components Model’
8. Brent R. Moulton (1987), ‘Diagnostics for Group Effects in Regression Analysis’
9. Douglas Holtz-Eakin, Whitney Newey, and Harvey S. Rosen (1988), ‘Estimating Vector Autoregressions with Panel Data’
10. Joshua D. Angrist and Whitney K. Newey (1991), ‘Over-Identification Tests in Earnings Functions With Fixed Effects’
11. Manuel Arellano and Stephen Bond (1991), ‘Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations’
PART III LIMITED DEPENDENT VARIABLES
12. Gary Chamberlain（1980），“与定性数据的协方差分析”
13. J.S. Butler and Robert Moffitt (1982), ‘A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model’
14. D.M. Grether and G.S. Maddala (1982), ‘A Time Series Model with Qualitative Variables’
15. Robert B. Avery, Lars Peter Hansen and V. Joseph Hotz (1983), ‘Multiperiod Probit Models and Orthogonality Condition Estimation’
16. J.D. Kalbfleisch and J.F. Lawless (1985), ‘The Analysis of Panel Data under a Markov Assumption’
17. Robin C. Sickles and Paul Taubman (1986), ‘An Analysis of the Health and Retirement Status of the Elderly’
18. G.S. Maddala (1987), ‘Limited Dependent Variable Models Using Panel Data’
PART IV FRONTIER PRODUCTION FUNCTIONS
19. Peter Schmidt and Robin C. Sickles (1984), ‘Production Frontiers and Panel Data’
20.克里斯托弗·康威尔（Christopher Cornwell），彼得·施密特（Peter Schmidt）和罗宾·C·镰刀（Robin C. Sickles）（1990），“效率水平的横截面和时间序列变化的生产边界”
PART V SPECIAL PROBLEMS WITH PANEL DATA
21. Jerry A. Hausman and David A. Wise (1979), ‘Attrition Bias in Experimental and Panel Data: The Gary Income Maintenance Experiment’
22. Jerry Hausman, Bronwyn H. Hall and Zvi Griliches (1984), ‘Econometric Models for Count Data with an Application to the Patents-R&D Relationship’
23. James J. Heckman and Richard Robb, Jr. (1985), ‘Alternative Methods for Evaluating the Impact of Interventions: An Overview’
24. Lawrence S. Mayer (1986), ‘On Cross-Lagged Panel Models with Serially Correlated Errors’
25. Jacques Mairesse（1990），“小组数据的时间序列和横截面估计：它们为什么与众不同，为什么它们应该相等？”
Name Index