Analysis of Panels and Limited Dependent Variable Models

Edited by Cheng Hsiao

University of Southern California

M. Hashem Pesaran

University of Cambridge

Kajal Lahiri

State University of New York

Lung Fei Lee

Hong Kong University of Science and Technology

 (ISBN-13: 9780521631693 | ISBN-10: 0521631696)

DOI: 10.2277/0521631696

• Also available in eBook format
• Published July 1999

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This important collection brings together leading econometricians to discuss recent advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover, and Labeaga primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real world phenomena into easily generalizable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

• Contributors are the most prestigious scholars working in econometrics today, with a track record of considerable sales success • Important and original research, including the very latest developments in panel data and limited dependent variable models • Includes a biography of the life and work of G. S. Maddala, perhaps the most influential econometrician of his generation

Contents

Foreword: Z. Griliches; Editorial introduction M. Hashem Pesaran, C. Hsiao, K. Lahiri and L. Lee; 1. A note on left censoring T. Amemiya; 2. Autoregressive models with sample selectivity for panel data M. Arellano, O. Bover and J. Labbeaga; 3. Prediction from the regression model with one-way error components R. Baillie and B. Baltagi; Mixture of normal probit models J. Geweke and M. Keane; 4. A Monte Carlo study of EC-estimation in panel data models with limited dependent variables and heterogeneity M. El-Gamal and D. Grether; 5. Expectations of expansions for estimators in a dynamic panel data model; Some results for weakly-exogenous regressors J. F. Kiviet; 6. Bayes estimation of short-run coefficients in dynamic panel data models C. Hsiao, M. Hashem Pesaran and A. Kamil Tahmiscioglu; 7. Reexamining the rational expectations hypothesis using panel data on multiperiod forecasts A. Davies and K. Lahiri; 8. Estimation of dynamic limited-dependent rational expectations models L. Lee; 9. Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth M. Nerlove; 10. Bias reduction in estimating long-run relationships from dynamic heterogeneous panels M. Hashem Pesaran and Z. Zhao; 11. Modified generalized instrumental variables estimation of panel data models with strictly exogenous variables S. Chan Ahn and P. Schmidt; 12. A biography of G. S. Maddala.

Review

‘The papers in this volume will help applied researchers interested in careful application of panel and limited dependent variable models.’ Journal of the American Ststistical Association

Contributors

Z. Griliches, M. Hashem Pesaran, C. Hsiao, K. Lahiri, L. Lee, T. Amemiya, M. Arellano, O. Bover, J. Labbeaga, R. Baillie, B. Baltagi, J. Geweke, M. Keane, M. El-Gamal, D. Grether, J. F. Kiviet, A. Kamil Tahmiscioglu, A. Davies, M. Nerlove, Z. Zhao, S. Chan Ahn, P. Schmidt