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Panel Data Econometrics

Manuel Arellano

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

Bibliographic Information

Print publication date: 2003 Print ISBN-13: 9780199245284
Published to Oxford Scholarship Online: July 2005 DOI:10.1093/0199245282.001.0001

Authors

Affiliations are at time of print publication.

Manuel Arellano, author
Professor of Econometrics, CEMFI, Madrid