The Econometrics of Panel Data

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April 2008



This completely restructured, updated third edition of the volume first published in 1992 provides a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Kuh (1959), Mundlak (1961), Hoch (1962), and Balestra and Nerlove (1966), the pooling of cross section and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Much work has been done over the last four decades: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models, the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific difficulties associated with the use of panel data are also explored, such as attrition, heterogeneity, selectivity bias, pseudo-panels etc. Recently, much work has been done about unit roots and co integration using panel data. Some other fields have also experienced a strong development such as the econometrics of policy evaluation and the analysis of qualitative and truncated dependent variable models, among others, which all are also discussed. The third, enhanced edition provides a complete and up to date presentation of these theoretical developments as well as surveys about how these econometric tools are used to study firms and household s behaviors and/or more macroeconomic phenomena such as economic growth. It contains sixteen entirely new chapters while the others have been largely revised to account for recent developments in the field. Part I is concerned with the fundamentals of panel data econometrics, both linear and non linear; Part II deals with more advanced topics such as dynamic models, simultaneity and measurement errors, unit roots and co integration, incomplete panels and selectivity, duration and count models, etc. This volume also provides insights into the use of panel data in empirical studies. Part III deals with surveys in several major fields of applied economics, such as investment demand, foreign direct investment and international trade, production efficiency, labour supply, transitions on the labour market, etc. Six new chapters about R&D and innovation, wages, health economics, policy evaluation, growth empirics and the impact of monetary policy have been included.


Fixed Effects Models and Fixed Coefficients Models.
Error Components Models.
Endogenous Regressors and Correlated Effects.
The Chamberlain Approach to Panel Data: An Overview and Some Simulations.
Random Coefficient Models.
Parametric Binary Choice Models.
Advanced Topics.
Dynamic Models for Short Panels.
Unit Roots and Cointegration in Panels.
Measurement Errors and Simultaneity.
Pseudo-Panels and Repeated Cross-Sections.
Attrition, Selection Bias and Censored Regressions.
Simulation Techniques for Panels: Efficient Importance Sampling.
Semi-parametric and Non-parametric Methods in Panel Data Models.
Panel Data Modeling and Inference: A Bayesian Primer.
To Pool or Not to Pool?.
Duration Models and Point Processes.
GMM for Panel Data Count Models.
Spatial Panel Econometrics.
Foreign Direct Investment: Lessons from Panel Data.
Stochastic Frontier Analysis and Efficiency Estimation.
Econometric Analyses of Linked Employer-Employee Data.
Life Cycle Labor Supply and Panel Data: A Survey.
Dynamic Policy Analysis.
Econometrics of Individual Labor Market Transitions.
Software Review.


Short CV László Mátyás
Current employer: Central European University, Academic ProRector (2003 onwards) Department of Economics, Head of Department (October 1999-2003); CEU University Professor of Econometrics (1999 onwards) ERUDITE, Universite de Paris XII, Research Associate (1996 onwards);
Previous employers: Ministry of Economic Affairs, Institute for Economic Analysis, Director and Deputy Under-Secretary of State, 1999 Jan.-Sept.; Budapest University of Economics, Dept. of Business Economics, Associate Professor and then from 1997 Szechenyi Istvan and Full Professor of Econometrics 1989-2002 (on leave from 1991 to 1997);Monash University, Melbourne, Australia, Dept. of Econometrics, Senior Lecturer, 1991-1997;Research Institute for Agricultural Economics, Budapest, Senior Research Fellow 1982-1989;ENSAE (Ecole Nationale de la Statistique et de l'Administration Economique), Paris, Researcher, 1985-1986;
Visiting positions:University of Bonn, Germany (1987)Universidad Autonoma de Madrid, and Instituto de Estudios Fiscales, Spain (1988)Universite Paris XII, France (1995)
Teaching: Econometrics and Basic Econometrics, Econometric Theory, Applied Econometrics, Micro-econometrics, and supervision of graduate and Ph.D. students.
Professional activities :- Associate Editor, European Economic Review, 2003 onwards,- Member of the Scientific Committee of the Bi-annual Conference Series on Panel Data, 1994 onwards,- Econometric Society, Regional Co-ordinator, Winter European Meetings, 2002 onwards,- Member of the Program Committee of the Econometric Society European Meeting (ESEM'92), 1992,- Chairman of the Program Committee of the Fourth Conference on Panel Data, Budapest, 1992,- Secretary of the Local Organizing Committee of the Econometric Society European Meeting (ESEM'86), 1986,- Guest Editor of the journal Structural Change and Economic Dynamics (Oxford University Press),Refereeing for: the Australian Journal of Statistics, Applied Economics, Econometric Reviews, Journal of Econometrics, Empirical Economics, Journal of Applied Econometrics, Annales d'Economie et Statistique, Structural Change and Economic Dynamics, The World Economy, The Review of World Economics and the Hungarian Review of Statistics.
Short CV Patrick Sevestre
Doctor in economics mathematics and econometrics, with the aggregation of economics, Patrick Sevestre is Professor of Economics at the University Paris XII -Val de Marne (1994). He is also research fellow at l'ERUDITE, University Paris XII - Val de Marne, Consultant in the reserach center of Banque de France (since 1994) and teacher to the CEPE, Centre d'Etude des Programmes Economiques (1991-1994 and since1996).

EAN: 9783540758891
ISBN: 3540758895
Untertitel: Fundamentals and Recent Developments in Theory and Practice. 'Advanced Studies in Theoretical and Applied Econometrics'. 3rd ed. 1987. 2nd Print. Sprache: Englisch.
Verlag: Springer-Verlag GmbH
Erscheinungsdatum: April 2008
Seitenanzahl: XXVI
Format: gebunden
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