Analysis of Panels and Limited Dependent Variable Models

by Edited by Cheng Hsiao , M. Hashem Pesaran , Kajal Lahiri , Lung Fei Lee

• ISBN13: 9780521631693
• ISBN10: 0521631696
• Format: Hardcover
• Copyright: 1999-08-28
• Publisher: Cambridge University Press

Summary

This important collection brings together leading econometricians to discuss recent 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.

Table of Contents

List of contributors	vii	(2)
Foreword	ix
Introduction	1	(6)
1 A note on left censoring	7	(16)
Takeshi Amemiya
2 Autoregressive models with sample selectivity for panel data	23	(26)
Manuel Arellano
Olympia Bover
Jose M. Labeaga
3 Mixture of normals probit models	49	(30)
John Geweke
Michael Keane
4 Estimation of dynamic limited-dependent rational expectations models	79	(35)
Lung-Fei Lee
5 A Monte Carlo study of EC estimation in panel data models with limited dependent variables and heterogeneity	114	(22)
Mahmoud A. El-Gamal
David M. Grether
6 Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth	136	(35)
Mare Nerlove
7 Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables	171	(28)
Seung Chan Ahn
Peter Schmidt
8 Expectations of expansions for estimators in a dynamic panel data model: some results for weakly exogenous regressors	199	(27)
Jan F. Kiviet
9 Re-examining the rational expectations hypothesis using panel data on multi-period forecasts	226	(29)
Anthony Davies
Kajal Lahiri
10 Prediction from the regression model with one-way error components	255	(13)
Richard T. Baillie
Badi H. Baltagi
11 Bayes estimation of short-run coefficients in dynamic panel data models	268	(29)
Cheng Hsiao
M. Hashem Pesaran
A. Kamil Tahmiscioglu
12 Bias reduction in estimating long-run relationships from dynamic heterogeneous panels	297	(26)
M. Hashem Pesaran
Zhongyun Zhao
CV of G.S. Maddala	323	(11)
Index	334