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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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Critical Acclaim
Contributors
Contents
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This important reference work offers readers, researchers 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.
The first volume 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.
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.
The first volume 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.
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.
Critical Acclaim
‘. . . 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
Contributors include: T. Amemiya, B.H. Baltagi, T.D. Wallace
Contents
Contents
Acknowledgements
Introduction
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), ‘A Note on Error Components Models’
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 and Cheng Hsiao (1982), ‘Formulation and Estimation of Dynamic Models Using Panel Data’
15. Alok Bhargava and J.D. Sargan (1983), ‘Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods’
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), ‘Multivariate Regression Models for Panel Data’
19. Ingmar R. Prucha (1985), ‘Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components’
PART V APPLICATIONS OF VARIANCE COMPONENTS MODELS
20. E. Philip Howrey and Hal R. Varian (1984), ‘Estimating the Distributional Impact of Time-of-Day Pricing of Electricity’
21. Lee A. Lillard and Yoram Weiss (1979), ‘Components of Variation in Panel Earnings Data: American Scientists 1960–70’
22. Gary Chamberlain and Zvi Griliches (1975), ‘Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers’
PART VI INSTRUMENTAL VARIABLE ESTIMATORS
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’
PART VII RANDOM-COEFFICIENT MODELS
27. P.A.V.B. Swamy (1970), ‘Efficient Inference in a Random Coefficient Regression Model’
28. Barr Rosenberg (1973), ‘Linear Regression with Randomly Dispersed Parameters’
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), ‘Some Estimation Methods for a Random Coefficient Model’
32. Harry H. Kelejian and Scott W. Stephan (1983), ‘Inference in Random Coefficient Panel Data Models: A Correction and Clarification of the Literature’
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. Erik Biørn (1981), ‘Estimating Economic Relations from Incomplete Cross-Section/Time-Series Data’
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), ‘Analysis of Covariance with Qualitative Data’
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. Christopher Cornwell, Peter Schmidt and Robin C. Sickles (1990), ‘Production Frontiers with Cross-Sectional and Time-Series Variation in Efficiency Levels’
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), ‘Time-Series and Cross-Sectional Estimates on Panel Data: Why are They Different and Why Should They be Equal?’
Name Index
Acknowledgements
Introduction
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), ‘A Note on Error Components Models’
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 and Cheng Hsiao (1982), ‘Formulation and Estimation of Dynamic Models Using Panel Data’
15. Alok Bhargava and J.D. Sargan (1983), ‘Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods’
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), ‘Multivariate Regression Models for Panel Data’
19. Ingmar R. Prucha (1985), ‘Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components’
PART V APPLICATIONS OF VARIANCE COMPONENTS MODELS
20. E. Philip Howrey and Hal R. Varian (1984), ‘Estimating the Distributional Impact of Time-of-Day Pricing of Electricity’
21. Lee A. Lillard and Yoram Weiss (1979), ‘Components of Variation in Panel Earnings Data: American Scientists 1960–70’
22. Gary Chamberlain and Zvi Griliches (1975), ‘Unobservables with a Variance-Components Structure: Ability, Schooling, and the Economic Success of Brothers’
PART VI INSTRUMENTAL VARIABLE ESTIMATORS
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’
PART VII RANDOM-COEFFICIENT MODELS
27. P.A.V.B. Swamy (1970), ‘Efficient Inference in a Random Coefficient Regression Model’
28. Barr Rosenberg (1973), ‘Linear Regression with Randomly Dispersed Parameters’
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), ‘Some Estimation Methods for a Random Coefficient Model’
32. Harry H. Kelejian and Scott W. Stephan (1983), ‘Inference in Random Coefficient Panel Data Models: A Correction and Clarification of the Literature’
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. Erik Biørn (1981), ‘Estimating Economic Relations from Incomplete Cross-Section/Time-Series Data’
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), ‘Analysis of Covariance with Qualitative Data’
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. Christopher Cornwell, Peter Schmidt and Robin C. Sickles (1990), ‘Production Frontiers with Cross-Sectional and Time-Series Variation in Efficiency Levels’
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), ‘Time-Series and Cross-Sectional Estimates on Panel Data: Why are They Different and Why Should They be Equal?’
Name Index
