Panel Data Econometrics: Empirical Applications

Cover......Page 1
Panel Data
Econometrics:

Empirical Applications......Page 3
Copyright......Page 4
Contributors......Page 5
Detailed Presentation......Page 7
General References......Page 15
Introduction......Page 16
Regulatory Background......Page 19
The Relationships Among Capital, Risk, and Efficiency: Theoretical Hypotheses......Page 21
Empirical Model......Page 22
Network Model......Page 23
Variables Affecting Changes in Capital, Risk and Efficiency......Page 25
Measures of Cost Efficiency......Page 26
Endogenity......Page 27
Spatial Correlation......Page 28
Spatial Weights Matrix and Financial Network......Page 30
Estimation and Testing When the Weights Matrix Is Misspecified......Page 34
Correction for Selection Bias......Page 37
Data......Page 38
Estimation of Cost Efficiency......Page 42
Relationships Between Changes in Capital, Risk and Efficiency......Page 43
Impact of Regulatory Pressures on Changes in Capital and Risk......Page 45
The Spatial Effects......Page 46
Concluding Remarks......Page 49
Appendix A: A Stochastic Frontier Model......Page 50
Quasi-Maximum Likelihood Formulation......Page 53
Appendix C: Variable Definitions......Page 54
Appendix D: Tables......Page 56
References......Page 74
Further Reading......Page 77
Introduction......Page 78
Pupil Level Analyses......Page 79
School Level Studies......Page 82
Cohort Analyses......Page 84
Peer Effects......Page 85
Intergenerational Analysis......Page 88
Efficiency Analysis......Page 90
Dynamic Discrete Choice Models......Page 94
Conclusions......Page 96
References......Page 97
Further Reading......Page 104
Introduction......Page 105
Cost, Derived Demand, and Profit Functions......Page 107
Pooled and Fixed-Effects Panel Data Modeling......Page 109
Single-Output Input Demand, Cost, and Production Functions......Page 110
Cost Savings From Economies of Vertical Integration......Page 114
Single or Multiple Good Outputs With Bads......Page 117
Railroads......Page 118
Airlines......Page 119
A Control Function Approach......Page 122
Conclusion......Page 124
References......Page 125
Introduction......Page 130
Why Do Economists Conduct Experiments?......Page 131
Controlling for Factors Through Experimental Design......Page 133
The Panel Structure of Experimental Data in Auctions......Page 135
Common or Private Value Auctions and Sequential Single Unit Sales......Page 137
Procurement Auctions......Page 142
Auction in Environmental Economics......Page 143
Multiunit Auctions......Page 144
Auction as an Elicitation Method......Page 145
Fixed Effects......Page 146
Fixed Effects and Random Effects......Page 148
Mixed Effects......Page 149
Conclusion......Page 150
References......Page 151
Further Reading......Page 154
Introduction......Page 155
Cross-Lagged Panel Models......Page 157
Dynamic Panel Data Models......Page 158
GMM Estimation......Page 159
ML Estimation of Dynamic Panel Models......Page 161
ML Estimation Via SEM......Page 162
Empirical Example......Page 165
Monte Carlo Study......Page 169
Discussion and Conclusion......Page 174
Results From Monte Carlo Simulations......Page 177
Explanation......Page 183
Mplus......Page 184
Explanation......Page 185
lavaan (R package)......Page 186
Explanation......Page 187
Introduction......Page 190
Panel Surveys......Page 192
Panel Survey Studies......Page 195
Pseudo Panels......Page 198
Supply-Side Studies......Page 199
Case Study Background, Methodology, and Data......Page 203
Case Study Results......Page 209
References......Page 212
Introduction......Page 216
Generating a Panel Data Set......Page 217
Scale Economies and Technical Change......Page 221
Scope Economies......Page 226
Assessing Bank Efficiency Using Frontier Models......Page 228
Bank Competition......Page 231
Productivity Analysis......Page 233
Other Banking Topics......Page 235
Summary......Page 240
References......Page 553
Introduction......Page 245
Literature Review......Page 247
Quantile Panel Estimators......Page 248
Statistical Tests......Page 252
Goodness of Fit Measures for Quantile Panel Estimators......Page 253
Application to Systemic Risk......Page 254
Systemic Risk Measurement......Page 255
Estimation and Results......Page 258
Discussion and Policy Implications......Page 264
Conclusion......Page 267
Anova Tables......Page 268
References......Page 269
Chapter Outline......Page 271
Introduction......Page 272
Impacts of Trade and Aid on Growth: Panel Data Analysis......Page 273
Unemployment Inflation Tradeoffs Across OECD Countries......Page 278
Inflation and Unemployment Trade-Offs: Country-Specific Phillips Curves......Page 279
Panel Data Model for Inflation and Unemployment Trade-Offs......Page 282
Regressions of Inflation on Growth Rates: Country Specific Supply Functions......Page 283
Panel VAR Model of Inflation and Unemployment Trade-Offs in OECD Countries......Page 284
Determinants of Trade and Growth in South Asia......Page 290
Empirical Literature on FDI and Growth......Page 293
Panel Regression Analysis on Impacts of FDI in Growth and Investment......Page 295
Panel Regressions of Trade Ratios in the Global Economy......Page 299
Cognitive Skill and Economic Growth......Page 302
Panel Unit Root Test......Page 304
Larsson, Fisher, Kao, and Pedroni Tests of Panel Cointegration......Page 305
Construction of Panel Data Workfile in Eviews......Page 307
Conclusion......Page 308
References......Page 309
References......Page 313
Introduction......Page 315
Health Outcome Regression Models......Page 318
The UKHLS and BHPS Datasets......Page 319
Self-Reported Health......Page 320
Blood-Based Biomarkers......Page 321
Other Covariates......Page 322
Empirical Results......Page 323
Conclusions......Page 337
Descriptive Statistics......Page 338
Income gradients in self-reported health measures for the nurse visits subsample......Page 341
References......Page 344
Chapter Outline......Page 348
Data Sources......Page 349
Securitization and Lending......Page 351
Methodology......Page 352
Securitization and Bank Business Models......Page 353
Types of Securitization and Asymmetric Information......Page 357
Subprime Mortgage Lending......Page 358
Corporate Lending......Page 360
Securitization and Financial Stability......Page 362
Methodology......Page 364
Global Banking and Credit......Page 367
Conclusion......Page 371
References......Page 372
Introduction......Page 376
A Brief Sketch of Stochastic Frontier Analysis......Page 379
Technical Efficiency......Page 381
Endogenous Regressors......Page 382
Technology Classes......Page 383
Empirical Application......Page 385
Data......Page 386
Do States Belong in Different Innovation Regimes?......Page 388
Do States Change Innovation Class Membership?......Page 393
Conclusions......Page 396
Models Parameter Identification......Page 397
References......Page 402
Introduction......Page 406
Hypotheses to be Tested and Related Literature......Page 409
A managerial Preference Function......Page 412
Cost and Revenue Efficiency......Page 415
Data Description......Page 416
Managerial Preferences Across Countries and Over Time Using Accounting Ratios......Page 421
Managerial Preferences Across Countries and Over Time Using Efficiency Scores......Page 424
Managerial Preferences by Organizational Type Using Efficiency Scores......Page 427
Second Stage Regression: Factors Affecting Alphas......Page 432
Panel Vector Autoregression (VAR) Analysis......Page 433
Conclusion......Page 437
Appendix......Page 440
References......Page 576
Further Reading......Page 443
Introduction......Page 444
The Bolivian Deposit Insurance Scheme......Page 446
Methodology......Page 449
Data......Page 451
Results......Page 455
Conclusions......Page 464
References......Page 468
Further Reading......Page 469
Introduction......Page 470
Export Pricing With Micro Data: Gravity-Type Models......Page 471
Quality and Firm Export Pricing......Page 474
Markups and Exchange Rate Pass-Throughs......Page 476
Financial Constraints......Page 477
The Dataset for Greek Exporting Firms......Page 478
Panel Data Evidence From Greek Exporters......Page 480
Acknowledgments......Page 486
Introduction......Page 490
Motivation......Page 493
The Single Time Trend Model......Page 494
The Multiple Time Trends Model......Page 495
The General Index Model......Page 496
The Technology Shifters Model......Page 497
Variables Definitions......Page 499
Observable Technology Shifters......Page 501
Managing the Missing Units Data......Page 502
An Analysis of Coefficients......Page 504
An Analysis of Elasticities......Page 514
Motivation......Page 515
Model......Page 516
Variables and Functional Forms for GDPit and δit......Page 518
Data......Page 520
Estimation Results......Page 521
Conclusion......Page 526
Appendix......Page 527
References......Page 532
Further Reading......Page 534
Introduction......Page 535
Data and Data Transformation......Page 538
Theory, Methods, and the Test Statistics......Page 540
The Test Statistics......Page 541
Unconditional Analysis......Page 543
Conditional Analysis......Page 544
Test Results for Household Registration Type......Page 545
Test Results for Gender of Household Head......Page 546
Test Results for Age Cohorts......Page 547
Test Results for Educational Levels......Page 548
Test Results for Household Sizes......Page 550
Summary and Conclusion......Page 552
Introduction......Page 556
Neural Networks in Business and Economics......Page 558
Semiparametric NPF......Page 560
Measures of Interest......Page 561
Econometric Estimation......Page 563
Empirical Analysis......Page 565
Conclusion......Page 572
Appendix......Page 573
Broyden-Fletcher-Goldfarb-Shannon Method......Page 575
Further Reading......Page 580
B......Page 582
D......Page 583
E......Page 584
G......Page 585
K......Page 586
O......Page 587
Q......Page 588
S......Page 589
U......Page 590
W......Page 591
Back Cover......Page 592