Essays In Panel Data Modelling

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Essays In Panel Data Econometrics

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Author : Marc Nerlove
language : en
Publisher: Cambridge University Press
Release Date : 2005-11-10

Essays In Panel Data Econometrics written by Marc Nerlove and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-11-10 with Business & Economics categories.

This volume collects seven classic essays on panel data econometrics, and a cogent essay on the history of the subject.

Essays In Panel Data Modelling

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Author : Artūras Juodis
language : en
Publisher:
Release Date : 2015

Essays In Panel Data Modelling written by Artūras Juodis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

"Panel data are repeated observations on the same cross section unit, typically of individuals or firms (in microeconomic applications), observed for several time periods. The use of panel data has been increasingly popular in empirical macroeconomic and (especially) microeconomic studies and there are several reasons behind the success story. This thesis analyses the properties of the estimation techniques for panel data models with additive and multiplicative error structures. First, this thesis discusses the relative merits of the maximum likelihood estimators in dynamic panel data models. Second, it provides an in-depth analysis of genuine and pseudo panel data models with unobserved interactive effects."--Samenvatting auteur.

Three Essays On Dynamic Panel Data Estimation

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Author :
language : en
Publisher:
Release Date : 2004

Three Essays On Dynamic Panel Data Estimation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.

This dissertation consists of three essays, first two of which consider a new estimation method of dynamic panel data models and the last one considers an application of these models. The first essay (Chapter 1) offers empirical likelihood (EL) estimation of dynamic panel data models, which provide great flexibility to empirical researchers. EL estimation method is shown to have great advantages in usual settings, however little is known on the relative merits of these estimators in panel data models. With this essay, we try to fill that gap by establishing the asymptotic properties of the EL estimator for a dynamic panel model with individual effects when both the time and the cross-section dimensions tend to infinity. We give the conditions under which this estimator is consistent and asymptotically normal. In the second essay (Chapter 2), via a Monte Carlo study, we assess the relative finite sample performances of EL, generalized method of moments, and limited information maximum likelihood estimators for an autoregressive panel data model when there are many moment conditions. We also extend our results to the many weak moments settings. Our results suggest that when the overall performances are concerned, in terms of median, interquartile range and median absolute error of the estimators, in both strong and weak moments settings, EL is more reliable. In the final essay (Chapter 3) we consider an application of dynamic panel data models to examine the determinants of the allocation of state highway funds using panel data for North Carolina's 100 counties for the years 1990 to 2005. We make two main contributions with this essay. First, although there have been numerous studies of highway funding at the state level, to our knowledge, there is no analysis at the sub-state or county levels. Second, by using dynamic panel data models and sophisticated methods to estimate them, we account for any potential persistence in the process of adjustment toward an equilibri.

Three Essays On Panel Data Models With Interactive And Unobserved Effects

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Author : Nicholas Lynn Brown
language : en
Publisher:
Release Date : 2022

Three Essays On Panel Data Models With Interactive And Unobserved Effects written by Nicholas Lynn Brown and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Electronic dissertations categories.

Chapter 1: More Efficient Estimation of Multiplicative Panel Data Models in the Presence of Serial Correlation (with Jeffrey Wooldridge)We provide a systematic approach in obtaining an estimator asymptotically more efficient than the popular fixed effects Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we derive the optimal instrumental variables under appealing `working' second moment assumptions that allow underdispersion, overdispersion, and general patterns of serial correlation. Because parameters in the optimal instruments must be estimated, we argue for combining our new moment conditions with those that define the FEP estimator to obtain a generalized method of moments (GMM) estimator no less efficient than the FEP estimator and the estimator using the new instruments. A simulation study shows that the GMM estimator behaves well in terms of bias, and it often delivers nontrivial efficiency gains -- even when the working second-moment assumptions fail.Chapter 2: Information equivalence among transformations of semiparametric nonlinear panel data modelsI consider transformations of nonlinear semiparametric mean functions which yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I first derive a unified theory of algebraic equivalence for moment conditions created by a given linear transformation. The main equivalence result states that under standard regularity conditions, transformations which create conditional moment restrictions in a given empirical setting need only to have an equal rank to reach the same efficiency bound. Example applications are considered, including nonlinear models with multiplicative heterogeneity and linear models with arbitrary unobserved factor structures.Chapter 3: Moment-based Estimation of Linear Panel Data Models with Factor-augmented ErrorsI consider linear panel data models with unobserved factor structures when the number of time periods is small relative to the number of cross-sectional units. I examine two popular methods of estimation: the first eliminates the factors with a parameterized quasi-long-differencing (QLD) transformation. The other, referred to as common correlated effects (CCE), uses the cross-sectional averages of the independent and response variables to project out the space spanned by the factors. I show that the classical CCE assumptions imply unused moment conditions which can be exploited by the QLD transformation to derive new linear estimators which weaken identifying assumptions and have desirable theoretical properties. I prove asymptotic normality of the linear QLD estimators under a heterogeneous slope model which allows for a tradeoff between identifying conditions. These estimators do not require the number of cross-sectional variables to be less than T-1, a strong restriction in fixed-$T$ CCE analysis. Finally, I investigate the effects of per-student expenditure on standardized test performance using data from the state of Michigan.

Three Essays On Panel Data Models In Econometrics

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Author : Lina Lu
language : en
Publisher:
Release Date : 2017

Three Essays On Panel Data Models In Econometrics written by Lina Lu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

Chapter 3 also considers the extension to an approximate constrained factor model where the idiosyncratic errors are allowed to be weakly dependent processes.

Three Essays On Nonlinear Panel Data Models And Quantile Regression Analysis

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Author : Iván Fernández-Val
language : en
Publisher:
Release Date : 2005

Three Essays On Nonlinear Panel Data Models And Quantile Regression Analysis written by Iván Fernández-Val and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

This dissertation is a collection of three independent essays in theoretical and applied econometrics, organized in the form of three chapters. In the first two chapters, I investigate the properties of parametric and semiparametric fixed effects estimators for nonlinear panel data models. The first chapter focuses on fixed effects maximum likelihood estimators for binary choice models, such as probit, logit, and linear probability model. These models are widely used in economics to analyze decisions such as labor force participation, union membership, migration, purchase of durable goods, marital status, or fertility. The second chapter looks at generalized method of moments estimation in panel data models with individual-specific parameters. An important example of these models is a random coefficients linear model with endogenous regressors. The third chapter (co-authored with Joshua Angrist and Victor Chernozhukov) studies the interpretation of quantile regression estimators when the linear model for the underlying conditional quantile function is possibly misspecified.

Essays On Dynamic Panel Data Models With Interactive Effects

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Author : Yan-Ting Chen
language : en
Publisher:
Release Date : 2021

Essays On Dynamic Panel Data Models With Interactive Effects written by Yan-Ting Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.

Three Essays On Large Panel Data Models With Cross Sectional Dependence

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Author : Yonghui Zhang
language : en
Publisher:
Release Date : 2013

Three Essays On Large Panel Data Models With Cross Sectional Dependence written by Yonghui Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Econometrics categories.

"My dissertation consists of three essays which contribute new theoretical results to large panel data models with cross-sectional dependence. These essays try to answer or partially answer some prominent questions such as how to detect the presence of cross-sectional dependence and how to capture the latent structure of cross-sectional dependence and estimate parameters efficiently by removing its effects".-- Author's abstract.

Essays On Panel Data And Spatial Models

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Author : Dong Li
language : en
Publisher:
Release Date : 2000

Essays On Panel Data And Spatial Models written by Dong Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Essays On Nonlinear Panel Data Models

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Author : Center for Economic Research (Tilburg)
language : en
Publisher:
Release Date : 2014

Essays On Nonlinear Panel Data Models written by Center for Economic Research (Tilburg) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.