Kooperativer Bibliotheksverbund

UID:

Umfang: Online-Ressource

Ausgabe: Online-Ausg

ISBN: 9781849500654

Serie: Advances in econometrics 0731-9053 v. 15

Inhalt: Introduction / Badi H. Baltagi, Thomas B. Fomby, R. Carter Hill -- Testing for common cyclical features in nonstationary panel data models / Alain Hecq, Franz C. Palm, Jean-Pierre Urbain -- The local power of some unit root tests for panel data / J(c)·org Breitung -- On the estimation and inference of a cointegrated regression in panel data / Chihwa Kao, Min-Hsien Chiang -- Testing for unit roots in panels in the presence of structural change with an application to OECD unemployment / Christian J. Murray, David H. Papell -- Panel data limit theory and asymptotic analysis of a panel regression with near integrated regressors / Heikki Kauppi -- Stationarity tests in heterogeneous panels / Yong Yin, Shaowen Wu -- Instrumental variable estimation of semiparametric dynamic panel data models : Monte Carlo results on several new and existing estimators / M. Douglas Berg, Qi Li, Aman Ullah -- Small sample performance of dynamic panel data estimators in estimating the growth-convergence equation : a Monte Carlo study / Nazrul Islam -- Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator / Richard Blundell, Stephen Bond, Frank Windmeijer -- Nonstationary panels, cointegration in panels and dynamic panels : a survey / Badi H. Baltagi, Chihwa Kao -- Fully modified OLS for heterogeneous cointegrated panels / Peter Pedroni. - This volume is dedicated to two recent intensive areas of research in the econometrics of panel data, namely nonstationary panels and dynamic panels. It includes a comprehensive survey of the nonstationary panel literature including panel unit root tests, spurious panel regressions and panel cointegration tests. In addition, it provides recent developments in the estimation of dynamic panel data models using generalized method of moments. The volume includes eleven chapters written by twenty authors. These chapters: investigate better methods of estimating dynamic panels; develop methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels; extend the concept of serial correlation common features analysis to nonstationary panel data models; study the local power of panel unit root test statistics; derive the asymptotic distributions of various estimators for the panel cointegrated regression model; propose a unit root test in the presence of structural change; develop a new limit theory for panel data that may be cross-sectionally heterogeneous; propose stationarity tests for a heterogeneous panel data model; derive instrumental variable estimators for a semiparametric partially linear dynamic panel data model; and conduct Monte Carlo experiments to study the small sample properties of a growth convergence equation. This collection of papers should prove useful for practitioners and researchers working with panel data

Anmerkung: Description based upon print version of record , Front Cover; NONSTATIONARY PANELS, PANEL COINTEGRATION, AND DYNAMIC PANELS; Copyright Page; CONTENTS; LIST OF CONTRIBUTORS; CHAPTER 1. INTRODUCTION; CHAPTER 2. NONSTATIONARY PANELS, COINTEGRATION IN PANELS AND DYNAMIC PANELS: A SURVEY; CHAPTER 3. ESTIMATION IN DYNAMIC PANEL DATA MODELS: IMPROVING ON THE PERFORMANCE OF THE STANDARD GMM ESTIMATOR; CHAPTER 4. FULLY MODIFIED OLS FOR HETEROGENEOUS COINTEGRATED PANELS; CHAPTER 5. TESTING FOR COMMON CYCLICAL FEATURES IN NONSTATIONARY PANEL DATA MODELS; CHAPTER 6. THE LOCAL POWER OF SOME UNIT ROOT TESTS FOR PANEL DATA , CHAPTER 7. ON THE ESTIMATION AND INFERENCE OF A COINTEGRATED REGRESSION IN PANEL DATACHAPTER 8. TESTING FOR UNIT ROOTS IN PANELS IN THE PRESENCE OF STRUCTURAL CHANGE WITH AN APPLICATION TO OECD UNEMPLOYMENT; CHAPTER 9. PANEL DATA LIMIT THEORY AND ASYMPTOTIC ANALYSIS OF A PANEL REGRESSION WITH NEAR INTEGRATED REGRESSORS; CHAPTER 10. STATIONARITY TESTS IN HETEROGENEOUS PANELS; CHAPTER 11. INSTRUMENTAL VARIABLE ESTIMATION OF SEMIPARAMETRIC DYNAMIC PANEL DATA MODELS: MONTE CARLO RESULTS ON SEVERAL NEW AND EXISTING ESTIMATORS , CHAPTER 12. SMALL SAMPLE PERFORMANCE OF DYNAMIC PANEL DATA ESTIMATORS IN ESTIMATING THE GROWTH-CONVERGENCE EQUATION: A MONTE CARLO STUDY , Online-Ausg.

Weitere Ausg.: Erscheint auch als Druck-Ausgabe Nonstationary Panels, Panel Cointegration, and Dynamic Panels

Sprache: Englisch

Schlagwort(e): Electronic books

URL: Volltext

Mehr zum Autor: Baltagi, Badi H. 1954-

UID:

Umfang: 1 Online-Ressource (XVIII, 709 Seiten) , Diagramme

Ausgabe: First published in paperback

Ausgabe: Electronic reproduction; Mode of access: World Wide Web

ISBN: 1405142073 , 9781405142076 , 9781405166386 , 140516638X , 9780470996249 , 0470996242 , 9780470996249

Serie: Blackwell companions to contemporary economics

Inhalt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized t

Anmerkung: Originally published: Malden, Mass. : Blackwell, 2001. - Includes bibliographical references and index. - Print version record , Parallel als Buchausg. erschienen , Artificial regressions , General hypothesis testing , Serial correlation , Heteroskedasticity , Seemingly unrelated regression , Simultaneous equation model estimators: statistical properties and practical implications , Identification in parametric models , Measurement error and latent variables , Diagnostic testing , Basic elements of asymptotic theory , Generalized method of moments , Collinearity , Nonnested hypothesis testing: an overview , Spatial econometrics , Essentials of count data regression , Panel data models , Qualitative response models , Self-selection , Random coefficient models , Nonparametric kernel methods of estimation and hypothesis testing , Durations , Simulation based inference for dynamic multinomial choice models , Monte Carlo test methods in econometrics , Bayesian analysis of stochastic frontier models , Parametric and nonparametric tests of limited domain and ordered hypotheses in economics , Spurious regressions in econometrics , Forecasting economic time series , Time series and dynamic models , Unit roots , Cointegration , Seasonal nonstationarity and near-nonstationarity , Vector autoregressions , Electronic reproduction; Mode of access: World Wide Web

Weitere Ausg.: ISBN 0–631–21254–X

Weitere Ausg.: ISBN 9780631212546

Weitere Ausg.: ISBN 140510676X

Weitere Ausg.: ISBN 140510676X

Weitere Ausg.: ISBN 9781405106764

Weitere Ausg.: ISBN 9781405106764

Weitere Ausg.: Erscheint auch als Druck-Ausgabe A companion to theoretical econometrics Oxford : Blackwell, 2003 ISBN 140510676X

Weitere Ausg.: ISBN 9781405106764

Sprache: Englisch

Fachgebiete: Wirtschaftswissenschaften

Schlagwort(e): Ökonometrie ; Electronic books

DOI: 10.1002/9780470996249

URL: Volltext

URL: Volltext

Mehr zum Autor: Baltagi, Badi H. 1954-

UID:

Umfang: 1 Online-Ressource (403 Seiten)

Ausgabe: First edition 2017

ISBN: 9781785609855

Serie: Advances in Econometrics volume 37

Inhalt: Advances in Econometrics 37 highlights key research in econometrics in a user friendly way for economists who are not econometricians

Inhalt: Front Cover -- Spatial Econometrics: Qualitative and Limited Dependent Variables -- Copyright Page -- Contents -- List of Contributors -- Part I: Introduction -- Progress in Spatial Modeling of Discrete and Continuous Dependent Variables -- Part II: Discrete Dependent Variables - Maximum Likelihood -- Fast Simulated Maximum Likelihood Estimation of the Spatial Probit Model Capable of Handling Large Samples -- 1. Introduction -- 2. Spatial Probit Models -- 3. GHK Mechanics -- 3.1. GHK Applied to the Variance-Covariance Matrix -- 3.2. Sparsity and the GHK

Inhalt: 3.3. GHK Applied to the Precision Matrix -- 4. GHK Performance -- 5. Empirical Examples -- 5.1. A Development Application -- 5.2. A Mortgage Application -- 6. Implementation Issues and Opportunities -- 6.1. Implementation -- 6.2. Opportunities -- 6.3. Evaluation of Likelihood -- 7. Conclusion -- Notes -- Acknowledgments -- References -- Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables -- 1. Introduction -- 2. Spatial-dependent Variable Models -- 2.1. Baseline Model -- 2.2. Spatial Probit Models -- 2.3. Spatial Count Data Models

Inhalt: 2.4. Censored Data -- 3. Spatial EIS -- 3.1. EIS Principle -- 3.2. Sequential EIS -- 3.3. Sequential EIS for Spatial Models -- 3.3.1. The Integrating Factors χi(u(i+1) -- ai) -- 3.3.2. Kernel Representation of f(ui&smid -- u(i+1)) -- 3.3.3. Construction of the EIS Kernel ki(u(i) -- ai) -- 3.3.4. Spatial EIS Implementation -- 3.3.5. Pseudo-Code -- 3.3.6. Sparse EIS Operations -- 3.4. Spatial Probit Model -- 3.5. Spatial Poisson Model -- 3.6. Censored Data -- 4. Monte Carlo Study -- 4.1. Spatial Probit Models -- 4.2. Spatial Poisson Models -- 5. Empirical Applications

Inhalt: 5.1. Spatial Probit for the 1996 US Presidential Election -- 5.2. Spatial Count Model for US Firms Location Choices -- 6. Conclusions -- Notes -- Acknowledgments -- References -- Part III: Discrete Dependent Variables - Bayesian -- The Impact of Storms on Firm Survival: A Bayesian Spatial Econometric Model for Firm Survival -- 1. Introduction -- 2. Data -- 3. Spatial Probit Model Specification -- 4. Bayesian Inference in the Spatial Probit Model Specification -- 5. Results -- 6. Conclusion -- Notes -- Acknowledgments -- References -- Appendix -- Bayesian Spatial Bivariate Panel Probit Estimation

Inhalt: 1. Introduction -- 2. Econometric Model -- 3. Model Estimation -- 3.1. Bayesian Estimation Procedure -- 3.1.1. Likelihood -- 3.1.2. Priors -- 3.2. Conditional Distributions -- 3.2.1. Conditional Distribution of y1* and y2* -- 3.2.2. Conditional Distribution of β -- 3.2.3. Conditional Distribution of λ1 and λ2 -- 3.2.4. Conditional Distribution of τ -- 3.2.5. Conditional Distribution of α -- 3.2.6. Interpretation of Results -- 4. Extensions -- 4.1. A Richer Structural Latent-Variable Framework -- 4.1.1. Model -- 4.1.2. Joint Distribution of (y1*,y2*) and the Likelihood -- 4.1.3. Priors

Inhalt: 4.1.4. Conditional Distribution of y1* and y2*

Anmerkung: Description based upon print version of record

Weitere Ausg.: ISBN 9781785609862

Weitere Ausg.: Erscheint auch als Druck-Ausgabe Spatial econometrics: qualitative and limited dependent variables Bingley : Emerald, 2017 ISBN 9781785609862

Sprache: Englisch

Schlagwort(e): Electronic books

URL: Volltext  (lizenzpflichtig)

Mehr zum Autor: Baltagi, Badi H. 1954-