Oxford Scholarship Online: Panel Data Econometrics

Subject: Economics and Finance Book Title: Panel Data Econometrics

Panel Data Econometrics Arellano, Manuel, Professor of Econometrics, CEMFI, Madrid Print publication date: 2003 Published to Oxford Scholarship Online: July 2005 Print ISBN-13: 978-0-19-924528-4 doi:10.1093/0199245282.001.0001
Abstract: This book reviews some of the main topics in panel data econometrics. It analyses econometric models with non-exogenous explanatory variables, and the problem of distinguishing between dynamic responses and unobserved heterogeneity in panel data models. The book is divided into three parts. Part I deals with static models. Part II discusses pure time series models. Part III considers dynamic conditional models. Keywords: panel data econometrics, linear static models, dynamic models, error components, time series models Table of Contents Full Book Contents Preface 1. Introduction Part I. Static Models 2. Unobserved Heterogeneity 3. Error Components 4. Error in Variables Part II. Time Series Models with Error Components 5. Covariance Structures for Dynamic Error Components 6. Autoregressive Models With Individual Effects Part III. Dynamics and Predeterminedness 7. Models with Both Strictly Exogenous and Lagged Dependent Variables 8. Predetermined Variables Part IV. Appendices Bibliography Index

doi:10.1093/0199245282.001.0001