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Robust Cross Sectional Dependence Test In Panel Regression Model


Robust Cross Sectional Dependence Test In Panel Regression Model
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Robust Cross Sectional Dependence Test In Panel Regression Model


Robust Cross Sectional Dependence Test In Panel Regression Model
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Author : Nurul Sima Md. Shariff
language : en
Publisher:
Release Date : 2009

Robust Cross Sectional Dependence Test In Panel Regression Model written by Nurul Sima Md. Shariff and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Mathematical statistics categories.




Panel Data Econometrics With R


Panel Data Econometrics With R
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Author : Yves Croissant
language : en
Publisher: John Wiley & Sons
Release Date : 2018-11-05

Panel Data Econometrics With R written by Yves Croissant and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-05 with Mathematics categories.


Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.



Understanding Cross Sectional Dependence In Panel Data


Understanding Cross Sectional Dependence In Panel Data
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Author : Gopal K. Basak
language : en
Publisher:
Release Date : 2018

Understanding Cross Sectional Dependence In Panel Data written by Gopal K. Basak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.


We provide various norm-based definitions of different types of cross-sectional dependence and the relations between them. These definitions facilitate to comprehend and to characterize the various forms of cross-sectional dependence, such as strong, semi-strong, and weak dependence. Then we examine the asymptotic properties of parameter estimators both for fixed (within) effect estimator and random effect (pooled) estimator for linear panel data models incorporating various forms of cross-sectional dependence. The asymptotic properties are also derived when both cross-sectional and temporal dependence are present. Subsequently, we develop consistent and robust standard error of the parameter estimators both for fixed effect and random effect model separately. Robust standard errors are developed (i) for pure cross-sectional dependence; and (ii) also for cross-sectional and time series dependence. Under strong or semi-strong cross-sectional dependence, it is established that when the time dependence comes through the idiosyncratic errors, such time dependence does not have any influence in the asymptotic variance of $( hat{ beta}_{FE/RE}). $ Hence, it is argued that in estimating $Var( hat{ beta}_{FE/RE}),$ Newey-West kind of correction injects bias in the variance estimate. Furthermore, this article lay down conditions under which $t$, $F$ and the $Wald$ statistics based on the robust covariance matrix estimator give valid inference.



The Oxford Handbook Of Panel Data


The Oxford Handbook Of Panel Data
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Author : Badi Hani Baltagi
language : en
Publisher: Oxford Handbooks
Release Date : 2015

The Oxford Handbook Of Panel Data written by Badi Hani Baltagi and has been published by Oxford Handbooks this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Business & Economics categories.


Panel data econometrics has evolved rapidly over the past three decades. The field is of both theoretical and practical importance, and methods to deal with micro- and macroeconomic panel data are in high demand from practitioners. Applications in finance, development, trade, marketing, health, labor, and consumer economics attest to the usefulness of these methods in applied economics. THis book is a comprehensive source on panel data. It contains 20 chapters edited by Professor Badi Baltagi--one of the leading econometricians in the area of panel data econometrics--and authored by renowned experts in the field. The chapters are divided into two sections. Part I examines new developments in theory. It includes panel cointegration, dynamic panel data models, incidental parameters and dynamic panel modeling, and panel data models for discrete choice. The chapters in Part II target applications of panel data, including health, labor, marketing, trade, productivity and macro applications in panels.



Econometric Analysis Of Cross Section And Panel Data Second Edition


Econometric Analysis Of Cross Section And Panel Data Second Edition
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Author : Jeffrey M. Wooldridge
language : en
Publisher: MIT Press
Release Date : 2010-10-01

Econometric Analysis Of Cross Section And Panel Data Second Edition written by Jeffrey M. Wooldridge and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-01 with Business & Economics categories.


The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.



Tests Of No Cross Sectional Error Dependence In Panel Quantile Regressions


Tests Of No Cross Sectional Error Dependence In Panel Quantile Regressions
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Author : Matei Demetrescu
language : en
Publisher:
Release Date : 2023

Tests Of No Cross Sectional Error Dependence In Panel Quantile Regressions written by Matei Demetrescu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.


This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting distribution under joint N, T asymptotics with restrictions on the relative rate at which N and T go to infinity. A finitesample correction improves the applicability of the test for panels with larger N. An empirical application to housing markets illustrates the use of the proposed cross-sectional dependence test.



Panel Data Econometrics


Panel Data Econometrics
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Author : Donggyu Sul
language : en
Publisher: Routledge
Release Date : 2019-02-07

Panel Data Econometrics written by Donggyu Sul and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-07 with Business & Economics categories.


In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel data. Aimed at applied researchers who want to learn about panel data econometrics by running statistical software, this book provides clear guidance and is supported by a full range of online teaching and learning materials. It includes practice sections on MATLAB, STATA, and GAUSS throughout, along with short and simple econometric theories on basic panel regressions for those who are unfamiliar with econometric theory on traditional panel regressions.



Longitudinal And Panel Data


Longitudinal And Panel Data
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Author : Edward W. Frees
language : en
Publisher: Cambridge University Press
Release Date : 2004-08-16

Longitudinal And Panel Data written by Edward W. Frees 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 2004-08-16 with Business & Economics categories.


An introduction to foundations and applications for quantitatively oriented graduate social-science students and individual researchers.



Panel Data Econometrics


Panel Data Econometrics
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Author : Mike Tsionas
language : en
Publisher: Academic Press
Release Date : 2019-06-19

Panel Data Econometrics written by Mike Tsionas and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-19 with Business & Economics categories.


Panel Data Econometrics: Theory introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts



Testing Weak Cross Sectional Dependence In Large Panels


Testing Weak Cross Sectional Dependence In Large Panels
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Author : M. Hashem Pesaran
language : en
Publisher:
Release Date : 2012

Testing Weak Cross Sectional Dependence In Large Panels written by M. Hashem Pesaran and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.