Panel Data Econometrics with R

Contents......Page 3
Preface......Page 9
Website......Page 12
Panel Data Econometrics: A Gentle Introduction......Page 13
R for Econometric Computing......Page 18
plm for the Casual R User......Page 20
plm for the Proficient R User......Page 23
plm for the R Developer......Page 25
Notations......Page 29
Notations and Hypotheses......Page 34
Ordinary Least Squares Estimators......Page 38
The Generalized Least Squares Estimator......Page 44
Comparison of the Estimators......Page 50
The Two-ways Error Components Model......Page 58
Estimation of a Wage Equation......Page 60
Unbalanced Panels......Page 63
Seemingly Unrelated Regression......Page 74
The Maximum Likelihood Estimator......Page 81
The Nested Error Components Model......Page 84
Tests on Individual and/or Time Effects......Page 92
Tests for Correlated Effects......Page 97
Tests for Serial Correlation......Page 104
Tests for Cross-sectional Dependence......Page 113
Robust Inference......Page 118
Unrestricted Generalized Least Squares......Page 136
Introduction......Page 147
The Instrumental Variables Estimator......Page 148
Error Components Instrumental Variables Estimator......Page 151
Estimation of a System of Equations......Page 162
More Empirical Examples......Page 166
Estimation of Dynamic Model......Page 168
Dynamic Model and Endogeneity......Page 170
GMM Estimation of the Differenced Model......Page 175
Generalized Method of Moments Estimator in Differences and Levels......Page 181
Inference......Page 185
More Empirical Examples......Page 189
Introduction......Page 192
Heterogeneous Coefficients......Page 193
Cross-sectional Dependence and Common Factors......Page 201
Nonstationarity and Cointegration......Page 207
Count Data & Limited Dependent Variables......Page 217
Binomial and Ordinal Models......Page 219
Censored or Truncated Dependent Variable......Page 229
Count Data......Page 242
More Empirical Examples......Page 249
Spatial Correlation......Page 251
Spatial Lags......Page 256
Individual Heterogeneity in Spatial Panels......Page 264
Serial and Spatial Correlation......Page 283
Biblio......Page 291
Index......Page 302