Tests Of No Cross Sectional Error Dependence In Panel Quantile Regressions
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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.
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.
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.
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.
Econometrics In Theory And Practice
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Author : Panchanan Das
language : en
Publisher: Springer Nature
Release Date : 2019-09-05
Econometrics In Theory And Practice written by Panchanan Das and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-05 with Business & Economics categories.
This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.
Analysis Of Panel Data
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Author : Cheng Hsiao
language : en
Publisher: Cambridge University Press
Release Date : 2022-07-07
Analysis Of Panel Data written by Cheng Hsiao 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 2022-07-07 with Business & Economics categories.
A comprehensive introduction of fundamental panel data methodologies.
Rank Based Tests For Cross Sectional Dependence In Large N T Fixed Effects Panel Data Models
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Author : Long Feng
language : en
Publisher:
Release Date : 2020
Rank Based Tests For Cross Sectional Dependence In Large N T Fixed Effects Panel Data Models written by Long Feng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Microeconometrics
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Author : A. Colin Cameron
language : en
Publisher: Cambridge University Press
Release Date : 2005-05-09
Microeconometrics written by A. Colin Cameron 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 2005-05-09 with Business & Economics categories.
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Quantile Regression
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Author : I. Gusti Ngurah Agung
language : en
Publisher: John Wiley & Sons
Release Date : 2021-06-18
Quantile Regression written by I. Gusti Ngurah Agung 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 2021-06-18 with Mathematics categories.
QUANTILE REGRESSION A thorough presentation of Quantile Regression designed to help readers obtain richer information from data analyses The conditional least-square or mean-regression (MR) analysis is the quantitative research method used to model and analyze the relationships between a dependent variable and one or more independent variables, where each equation estimation of a regression can give only a single regression function or fitted values variable. As an advanced mean regression analysis, each estimation equation of the mean-regression can be used directly to estimate the conditional quantile regression (QR), which can quickly present the statistical results of a set nine QR(τ)s for τ(tau)s from 0.1 up to 0.9 to predict detail distribution of the response or criterion variable. QR is an important analytical tool in many disciplines such as statistics, econometrics, ecology, healthcare, and engineering. Quantile Regression: Applications on Experimental and Cross Section Data Using EViews provides examples of statistical results of various QR analyses based on experimental and cross section data of a variety of regression models. The author covers the applications of one-way, two-way, and n-way ANOVA quantile regressions, QRs with multi numerical predictors, heterogeneous QRs, and latent variables QRs, amongst others. Throughout the text, readers learn how to develop the best possible quantile regressions and how to conduct more advanced analysis using methods such as the quantile process, the Wald test, the redundant variables test, residual analysis, the stability test, and the omitted variables test. This rigorous volume: Describes how QR can provide a more detailed picture of the relationships between independent variables and the quantiles of the criterion variable, by using the least-square regression Presents the applications of the test for any quantile of any numerical response or criterion variable Explores relationship of QR with heterogeneity: how an independent variable affects a dependent variable Offers expert guidance on forecasting and how to draw the best conclusions from the results obtained Provides a step-by-step estimation method and guide to enable readers to conduct QR analysis using their own data sets Includes a detailed comparison of conditional QR and conditional mean regression Quantile Regression: Applications on Experimental and Cross Section Data Using EViews is a highly useful resource for students and lecturers in statistics, data analysis, econometrics, engineering, ecology, and healthcare, particularly those specializing in regression and quantitative data analysis.
Dagstat 2022
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Author : DAGStat (Deutsche Arbeitsgemeinschaft Statistik)
language : en
Publisher: Cuvillier Verlag
Release Date : 2022-03-16
Dagstat 2022 written by DAGStat (Deutsche Arbeitsgemeinschaft Statistik) and has been published by Cuvillier Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-16 with Mathematics categories.
Das Buch enthält die Abstracts der eingeladenen bzw. angenommenen Vorträge der 6. Konferenz der Deutschen Arbeitsgemeinschaft Statistik (DAGStat), welche vom 28. März bis 1. April 2022 am Universitätsklinikum Hamburg-Eppendorf (UKE) in Kooperation mit der Universität Hamburg sowie der Helmut-Schmidt-Universität stattfand. Die Konferenz stellte ebenfalls das 68. Biometrische Kolloquium der Deutschen Region der International Biometric Society (IBS-DR) dar, sowie die 45. Jahrestagung der Gesellschaft für Klassifikation (GfKl/Data Science Society). Die Vorträge behandelten dabei ein breites Spektrum sowohl angewandter als auch eher methodischer/theoretischer Themen aus dem Bereich Statistik und Data Science.