[PDF] Equivalence Of Alternative Specifications Of Nonlinear Panel Data Models eBook

Author : Nicholas Lynn Brown
Publisher :
Page : 0 pages
File Size : 47,23 MB
Release : 2022
Category : Electronic dissertations
ISBN :

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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.

Author : Yves Croissant
Publisher : John Wiley & Sons
Page : 328 pages
File Size : 27,61 MB
Release : 2018-08-10
Category : Mathematics
ISBN : 1118949188

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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.

Author : Manuel Arellano
Publisher : OUP Oxford
Page : 244 pages
File Size : 46,6 MB
Release : 2003-06-26
Category : Business & Economics
ISBN : 0191529672

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This book, by one of the world's leading experts on dynamic panel data, presents a modern review of some of the main topics in panel data econometrics. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling. The book combines methods and applications, so will appeal to both the academic and practitioner markets. The book is divided in four parts. Part I concerns static models, and deals with the problem of unobserved heterogeneity and how the availability of panel data helps to solve it, error component models, and error in variables in panel data. Part II looks at time series models with error components. Its chapters deal with the problem of distinguishing between unobserved heterogeneity and individual dynamics in short panels, modelling strategies of time effects, moving average models, inference from covariance structures, the specification and estimation of autoregressive models with heterogeneous intercepts, and the impact of assumptions about initial conditions and heteroskedacity on estimation. Part III examines dynamics and predeterminedness. Its two chapters consider alternative approaches to estimation from small and large T perspectives, looking at models with both strictly exogenous and lagged dependent variables allowing for autocorrelation of unknown form, models in which the errors are mean independent of current and lagged values of certain conditioning variables but not with their future values. Together Parts II and III provide a synthesis, and unified perspective, of a vast literature that has had a significant impact on recent econometric practice. Part IV reviews the main results in the theory of generalized method of moments estimation and optimal instrumental variables.

Author : Constantin Colonescu
Publisher : Lulu.com
Page : 278 pages
File Size : 22,95 MB
Release : 2017-12-28
Category : Business & Economics
ISBN : 1387473611

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This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.

Author : Edward W. Frees
Publisher : Cambridge University Press
Page : 492 pages
File Size : 16,31 MB
Release : 2004-08-16
Category : Business & Economics
ISBN : 9780521535380

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

Author : Econometric Society. World Congress
Publisher : Cambridge University Press
Page : 316 pages
File Size : 38,20 MB
Release : 2003-01-20
Category : Business & Economics
ISBN : 9780521524131

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Author : Badi Hani Baltagi
Publisher :
Page : 705 pages
File Size : 17,11 MB
Release : 2015
Category : Business & Economics
ISBN : 0199940045

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The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.