Arellano, Manuel Professor of Econometrics, CEMFI, Madrid
Print publication date: 2003 (this edition)
Published to Oxford Scholarship Online: July 2005
Print ISBN-13: 978-0-19-924528-4
doi:10.1093/0199245282.003.0003
Manuel Arellano
This chapter discusses the use of panel data to separate out permanent from transitory components of variation. It analyses models of variance decomposition and error-components regression, and models with information in levels. It then presents estimations of error components distributions.
Keywords: error components, panel data econometrics, permanent variation, transitory variation, error components model, variance decomposition,
doi:10.1093/0199245282.003.0003
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Part I Static Models
Part II Time Series Models with Error Components
Part III Dynamics and Predeterminedness
Part IV Appendices