Econometrics

Download Analysis of Panel Data by Cheng Hsiao PDF

By Cheng Hsiao

This publication offers a accomplished, coherent, and intuitive assessment of panel information methodologies which are valuable for empirical research. considerably revised from the second one version, it contains new chapters on modeling cross-sectionally based information and dynamic platforms of equations. a number of the extra complex innovations were extra streamlined. different new fabric comprises correlated random coefficient types, pseudo-panels, length and count number facts types, quantile research, and replacement ways for controlling the effect of unobserved heterogeneity in nonlinear panel info types.

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22) 24 Homogeneity Tests for Linear Regression Models with (T − 1) and T (N − 1) − K degrees of freedom. , a single least-squares regression using all observations of cross-sectional units through time) may lead to serious bias. It should be noted that the foregoing tests are not independent. For example, the uncomfortable possibility exists that according to F3 (or F3 ) we might find homogeneous slopes and intercepts, and yet this finding could be compatible with opposite results according to F1 (F1 ) and F4 (F4 ), because the alternative or null hypotheses are somewhat different in the two cases.

3) Note that even if the homogeneity hypothesis is rejected, some useful information can be found in pooling the data, as long as the source of sample variability can be identified. For details, see later chapters. 2 Analysis of Covariance 19 H3 : Both slope and intercept coefficients are the same. That is, yit = α ∗ + ␤ x it + uit . 3). 4) as the pooled regression. 6) t=1 T t=1 be the means of y and x, respectively, for the ith individual. 1) are given by2 −1 ␤ˆ i = Wxx,i Wxy,i , αˆ i = y¯i − ␤ˆ i x¯ i , i = 1, .

The common parameters, ␤, are called structural parameters in the statistical literature. , Balestra and Nerlove 1966). , Kuh 1963). 3 Issues Involved in Utilizing Panel Data 11 called incidental parameters in the statistical literature because when sample sizes increase, so do the unknown ␥ it . , Mundlak 1978a; Hausman 1978; Chamberlain 1984). The focus of panel data analysis is how to control the impact of unobserved heterogeneity to obtain valid inference on the common parameters, ␤. For instance, in a linear regression framework, suppose unobserved heterogeneity is individual specific and time invariant.

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