Analysis of Panels and Limited Dependent Variable Models
Analysis of Panels and Limited Dependent Variable Models
M. Hashem Pesaran, University of Cambridge
Kajal Lahiri, State University of New York
Lung Fei Lee, Hong Kong University of Science and Technology
This important collection brings together leading econometricians to discuss recent advances in the areas of the econometrics of panel data, limited dependent variable models and limited dependent variable models with panel data. The contributors focus on the issues of simplifying complex real world phenomena into easily generalizable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data have been particularly influential, it is a fitting tribute that this volume is dedicated to him.
- Contributors are the most prestigious scholars working in econometrics today, with a track record of considerable sales success
- Important and original research, including the very latest developments in panel data and limited dependent variable models
- Includes a biography of the life and work of G. S. Maddala, perhaps the most influential econometrician of his generation
Reviews & endorsements
"...brings together recent advances in the areas of the econometrics of panel data, limited dependent variable models, and limited dependent variable models with panel data." Journal of Economic Literature
Product details
August 1999Hardback
9780521631693
350 pages
229 × 152 × 21 mm
0.64kg
Available
Table of Contents
- Foreword: Z. Griliches
- Editorial introduction M. Hashem Pesaran, C. Hsiao, K. Lahiri and L. Lee
- 1. A note on left censoring T. Amemiya
- 2. Autoregressive models with sample selectivity for panel data M. Arellano, O. Bover and J. Labbeaga
- 3. Prediction from the regression model with one-way error components R. Baillie and B. Baltagi
- Mixture of normal probit models J. Geweke and M. Keane
- 4. A Monte Carlo study of EC-estimation in panel data models with limited dependent variables and heterogeneity M. El-Gamal and D. Grether
- 5. Expectations of expansions for estimators in a dynamic panel data model
- Some results for weakly-exogenous regressors J. F. Kiviet
- 6. Bayes estimation of short-run coefficients in dynamic panel data models C. Hsiao, M. Hashem Pesaran and A. Kamil Tahmiscioglu
- 7. Re-examining the rational expectations hypothesis using panel data on multiperiod forecasts A. Davies and K. Lahiri
- 8. Estimation of dynamic limited-dependent rational expectations models L. Lee
- 9. Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth M. Nerlove
- 10. Bias reduction in estimating long-run relationships from dynamic heterogeneous panels M. Hashem Pesaran and Z. Zhao
- 11. Modified generalised instrumental variables estimation of panel data models with strictly exogenous variables S. Chan Ahn and P. Schmidt
- 12. A biography of G. S. Maddala.
