Introduction to Panel Data Analysis

Recommended Text:

C. Hsiao (2003), Analysis of Panel Data , 2nd Edition, Cambridge , University

Press.

1. Introduction - Benefits and Limitation of Panel Data Analysis.

Hsiao (2003), Ch. 1.

Hsiao, C. ( 2001a ), “ Panel Data Models ” Ch. 16, in Companion of Econometrics , ed. by B. Baltagi, Oxford : Blackwell, 349-365.

Hsiao, C. (2001b), “ Economic Panel Data ” , in International Encyclopedia of the Social and Behavioral Sciences - Statistics Section , ed. by J. Kadane and S. Fienberg, Oxford : Elsevier (forthcoming).

2. Static Variable Intercept Models - Least Squares Dummy Variable Estimation,

Error Components Models, Fixed versus Random Effects Specification Analysis.

Hsiao (2003), Ch. 3.

Hsiao, C., J. Nugent, I. Perrigne and J. Qiu (1998), “ Shares vs. Residual Claimant Contracts: The Case of Chinese TVE ' s ” , Journal of Comparative Economics , 26, (1998), 317-337.

3. Dynamic Models with Variable Intercepts - Random Effects Models, Fixed Effects Model, Maximum Likelihood and Transformed Maximum Likelihood Estimators,Generalized Method of Moments Estimators (GMM).

Hsiao (2003), Ch. 4.

Ahn , S.C. and P. Schmidt (1995), “ Efficient Estimation of Models for Dynamic Panel Data, ” Journal of Econometrics , 68, 5-27.

Arellano, M. and O. Bover (1995), “ Another Look at the Instrumental Variable Estimation of Error-Components Models ” , Journal of Econometrics , 68, 29-51.

Hsiao, C., M.H. Pesaran and A.K. Tahmiscioglu (2002), “ Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods ” , Journal of Econometrics , 109, 107-150.

Binder, M., C. Hsiao and M.H. Pesaran (2004), “ Estimation and Inference in Short panel Vector Autoregressions with Unit Roots and Cointegration ” , mimeo .

4. Variable Coefficients Models - Random Coefficients Models, Mixed Fixed and Random Coefficients Models, Dynamic Random Coefficient Models.

Hsiao (2003), Ch. 6.

Hsiao, C. and D. Mountain (1995), “ A Framework for Regional Modeling and Impact Analysis - An Analysis of Demand for Electricity by Large Municipalities in Ontario, Canada ” , Journal of Regional Science , 34, 361-385.

Hsiao, C. and K. Tahmiscioglu (1997), “ A Panel Analysis of Liquidity Constraints and Firm Investment ” , Journal of the American Statistical Association , 92, 455-465.

Hsiao, C, T.W. Appelbe and C.R. Dineen (1993), “ A General Framework for the Panel Data Analysis - with an Application to Canadian Customer Dialed Long Distance Service ” , Journal of Econometrics , 59, 63-86.

Hsiao, C., M.H. Pesaran and A.K. Tahmiscioglu (1999), “ Bayes Estimation of Short- Run Coefficients in Dynamic Panel Data Models ” , in Analysis of Panels and Limited Dependent Variable Models , ed. by C. Hsiao, L.F. Lee, K. Lahiri and M.H. Pesaran, Cambridge : Cambridge University Press, 268-296.

Hsiao, C., D. Mountain, K. Tsui and M.W. Chan (1989), “ Modeling Ontario Regional Electricity System Demand Using a Mixed Fixed and Random Coefficients Approach ” , Regional Science and Urban Economics , 19, 565-587.

Hsiao, C. and Y. Shen (2004), “ Aggregate vs Disaggregate Data Analysis — A Paradox in the Estimation of the Money Demand Function for Japan Under the Low

Interest Rate Policy ” , Journal of Applied Econometrics , (forthcoming).