Preface |
Acknowledgments |
About the Companion Website |
Introduction / 1: |
Panel Data Econometrics: A Gentle Introduction / 1.1: |
Eliminating Unobserved Components / 1.1.1: |
Differencing Methods / 1.1.1.1: |
LSDV Methods / 1.1.1.2: |
Fixed Effects Methods / 1.1.1.3: |
R for Econometric Computing / 1.2: |
The Modus Operandi of R / 1.2.1: |
Data Management / 1.2.2: |
Outsourcing to Other Software / 1.2.2.1: |
Data Management Through Formulae / 1.2.2.2: |
plm for the Casual R User / 1.3: |
R for the Matrix Language User / 1.3.1: |
R for the User of Econometric Packages / 1.3.2: |
plm for the Proficient R User / 1.4: |
Reproducible Econometric Work / 1.4.1: |
Object-orientation for the User / 1.4.2: |
plm for the R Developer / 1.5: |
Object-orientation for Development / 1.5.1: |
Notations / 1.6: |
General Notation / 1.6.1: |
Maximum Likelihood Notations / 1.6.2: |
Index / 1.6.3: |
The Two-way Error Component Model / 1.6.4: |
Transformation for the One-way Error Component Model / 1.6.5: |
Transformation for the Two-ways Error Component Model / 1.6.6: |
Groups and Nested Models / 1.6.7: |
Instrumental Variables / 1.6.8: |
Systems of Equations / 1.6.9: |
Time Series / 1.6.10: |
Limited Dependent and Count Variables / 1.6.11: |
Spatial Panels / 1.6.12: |
The Error Component Model / 2: |
Notations and Hypotheses / 2.1: |
Some Useful Transformations / 2.11: |
Hypotheses Concerning the Errors / 2.1.3: |
Ordinary Least Squares Estimators / 2.2: |
Ordinary Least Squares on the Raw Data: The Pooling Model / 2.2.1: |
The between Estimator / 2.2.2: |
The within Estimator / 2.2.3: |
The Generalized Least Squares Estimator / 2.3: |
Presentation of the GLS Estimator / 2.3.1: |
Estimation of the Variances of the Components of the Error / 2.3.2: |
Comparison of the Estimators / 2.4: |
Relations between the Estimators / 2.4.1: |
Comparison of the Variances / 2.4.2: |
Fixed vs Random Effects / 2.4.3: |
Some Simple Linear Model Examples / 2.4.4: |
The Two-ways Error Components Model / 2.5: |
Error Components in the Two-ways Model / 2.5.1: |
Fixed and Random Effects Models / 2.5.2: |
Estimation of a Wage Equation / 2.6: |
Advanced Error Components Models / 3: |
Unbalanced Panels / 3.1: |
Individual Effects Model / 3.1.1: |
Two-ways Error Component Model / 3.1.2: |
Fixed Effects Model / 3.1.2.1: |
Random Effects Model / 3.1.2.2: |
Estimation of the Components of the Error Variance / 3.1.3: |
Seemingly Unrelated Regression / 3.2: |
Constrained Least Squares / 3.2.1: |
Inter-equations Correlation / 3.2.3: |
Sur With Panel Data / 3.2.4: |
The Maximum Likelihood Estimator / 3.3: |
Derivation of the Likelihood Function / 3.3.1: |
Computation of the Estimator / 3.3.2: |
The Nested Error Components Model / 3.4: |
Presentation of the Model / 3.4.1: |
Estimation of the Variance of the Error Components / 3.4.2: |
Tests on Error Component Models / 4: |
Tests on Individual and/or Time Effects / 4.1: |
F Tests / 4.1.1: |
Breusch-Pagan Tests / 4.1.2: |
Tests for Correlated Effects / 4.2: |
The Mundlak Approach / 4.2.1: |
Hausman Test / 4.2.2: |
Chamberlain's Approach / 4.2.3: |
Unconstrained Estimator / 4.2.3.1: |
Constrained Estimator / 4.2.3.2: |
Fixed Effects Models / 4.2.3.3: |
Tests for Serial Correlation / 4.3: |
Unobserved Effects Test / 4.3.1: |
Score Test of Serial Correlation and/or Individual Effects / 4.3.2: |
Likelihood Ratio Tests for AR(1) and Individual Effects / 4.3.3: |
Applying Traditional Serial Correlation Tests to Panel Data / 4.3.4: |
Wald Tests for Serial Correlation using within and First-differenced Estimators / 4.3.5: |
Wooldridge's within-based Test / 4.3.5.1: |
Wooldridge's First-difference-based Test / 4.3.5.2: |
Tests for Cross-sectional Dependence / 4.4: |
Pairwise Correlation Coefficients / 4.4.1: |
CD-type Tests for Cross-sectional Dependence / 4.4.2: |
Testing Cross-sectional Dependence in a pseries / 4.4.3: |
Robust Inference and Estimation for Non-spherical Errors / 5: |
Robust Inference / 5.1: |
Robust Covariance Estimators / 5.1.1: |
Cluster-robust Estimation in a Panel Setting / 5.1.1.1: |
Double Clustering / 5.1.1.2: |
Panel Newey-west and SCC / 5.1.1.3: |
Generic Sandwich Estimators and Panel Models / 5.1.2: |
Panel Corrected Standard Errors / 5.1.2.1: |
Robust Testing of Linear Hypotheses / 5.1.3: |
An Application: Robust Hausman Testing / 5.1.3.1: |
Unrestricted Generalized Least Squares / 5.2: |
General Feasible Generalized Least Squares / 5.2.1: |
Pooled GGLS / 5.2.11: |
Fixed Effects GLS / 5.2.12: |
First Difference GLS / 5.2.13: |
Applied Examples / 5.2.2: |
Endogeneity / 6: |
The Instrumental Variables Estimator / 6.1: |
Generalities about the Instrumental Variables Estimator / 6.2.1: |
The within Instrumental Variables Estimator / 6.2.2: |
Error Components Instrumental Variables Estimator / 6.3: |
The General Model / 6.3.1: |
Special Cases of the General Model / 6.3.2: |
The within Model / 6.3.2.1: |
Error Components Two Stage Least Squares / 6.3.2.2: |
The Hausman and Taylor Model / 6.3.2.3: |
The Amemiya-Macurdy Estimator / 6.3.2.4: |
The Breusch, Mizon and Schmidt's Estimator / 6.3.2.5: |
Balestra and Varadharajan-Krishnakumar Estimator / 6.3.2.6: |
Estimation of a System of Equations / 6.4: |
The Three Stage Least Squares Estimator / 6.4.1: |
The Error Components Three Stage Least Squares Estimator / 6.4.2: |
More Empirical Examples / 6.5: |
Estimation of a Dynamic Model / 7: |
Dynamic Model and Endogeneity / 7.1: |
The Bias of the OLS Estimator / 7.1.1: |
Consistent Estimation Methods for Dynamic Models / 7.1.2: |
GMM Estimation of the Differenced Model / 7.2: |
Instrumental Variables and Generalized Method of Moments / 7.2.1: |
One-step Estimator / 7.2.2: |
Two-steps Estimator / 7.2.3: |
The Proliferation of Instruments in the Generalized Method of Moments Difference Estimator / 7.2.4: |
Generalized Method of Moments Estimator in Differences and Levels / 7.3: |
Weak Instruments / 7.3.1: |
Moment Conditions on the Levels Model / 7.3.2: |
The System GMM Estimator / 7.3.3: |
Inference / 7.4: |
Robust Estimation of the Coefficients' Covariance / 7.4.1: |
Overidentification Tests / 7.4.2: |
Error Serial Correlation Test / 7.4.3: |
Panel Time Series / 7.5: |
Heterogeneous Coefficients / 8.1: |
Fixed Coefficients / 8.2.1: |
Random Coefficients / 8.2.2: |
The Swamy Estimator / 8.2.2.1: |
The Mean Groups Estimator / 8.2.2.2: |
Testing for Poolability / 8.2.3: |
Cross-sectional Dependence and Common Factors / 8.3: |
The Common Factor Model / 8.3.1: |
Common Correlated Effects Augmentation / 8.3.2: |
CCE Mean Groups vs. CCE Pooled / 8.3.2.1: |
Computing the CCEP Variance / 8.3.2.2: |
Nonstationarity and Cointegration / 8.4: |
Unit Root Testing: Generalities / 8.4.1: |
First Generation Unit Root Testing / 8.4.2: |
Preliminary Results / 8.4.2.1: |
Levin-Lin-Chu Test / 8.4.2.2: |
Im, Pesaran and Shin Test / 8.4.2.3: |
The Maddala and Wu Test / 8.4.2.4: |
Second Generation Unit Root Testing / 8.4.3: |
Count Data and Limited Dependent Variables / 9: |
Binomial and Ordinal Models / 9.1: |
The Binomial Model / 9.1.1: |
Ordered Models / 9.1.1.2: |
The Random Effects Model / 9.1.2: |
The Conditional Logit Model / 9.1.2.1: |
Censored or Truncated Dependent Variable / 9.2: |
The Ordinary Least Squares Estimator / 9.2.1: |
The Symmetrical Trimmed Estimator / 9.2.3: |
Truncated Sample / 9.2.3.1: |
Censored Sample / 9.2.3.2: |
Count Data / 9.2.4: |
The Poisson Model / 9.3.1: |
The NegBin Model / 9.3.1.2: |
Negbin Model / 9.3.2: |
Random Effects Models / 9.3.3: |
Spatial Correlation / 9.3.3.1: |
Visual Assessment / 10.1.1: |
Testing for Spatial Dependence / 10.1.2: |
CD P Tests for Local Cross-sectional Dependence / 10.1.2.1: |
The Randomized W Test / 10.1.2.2: |
Spatial Lags / 10.2: |
Spatially Lagged Regressors / 10.2.1: |
Spatially Lagged Dependent Variables / 10.2.2: |
Spatial OLS / 10.2.2.1: |
ML Estimation of the SAR Model / 10.2.2.2: |
Spatially Correlated Errors / 10.2.3: |
Individual Heterogeneity in Spatial Panels / 10.3: |
Random versus Fixed Effects / 10.3.1: |
Spatial Panel Models with Error Components / 10.3.2: |
Spatial Panels with Independent Random Effects / 10.3.2.1: |
Spatially Correlated Random Effects / 10.3.2.2: |
Estimation / 10.3.3: |
Spatial Models with a General Error Covariance / 10.3.3.1: |
General Maximum Likelihood Framework / 10.3.3.2: |
Generalized Moments Estimation / 10.3.3.3: |
Testing / 10.3.4: |
LM Tests for Random Effects and Spatial Errors / 10.3.4.1: |
Testing for Spatial Lag vs Error / 10.3.4.2: |
Serial and Spatial Correlation / 10.4: |
Maximum Likelihood Estimation / 10.4.1: |
Serial and Spatial Correlation in the Random Effects Model / 10.4.1.1: |
Serial and Spatial Correlation with KKP-Type Effects / 10.4.1.2: |
Tests for Random Effects, Spatial, and Serial Error Correlation / 10.4.2: |
Spatial Lag vs Error in the Serially Correlated Model / 10.4.2.2: |
Bibliography |