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Panel data econometrics / Manuel Arellano.

By: Material type: TextTextSeries: Advanced texts in econometricsPublication details: Oxford ; Oxford University Press, 2013.Description: xii, 231 p. : ill. ; 24 cmISBN:
  • 9780199245291
Subject(s): DDC classification:
  • 330.015195 23 Ar679
Contents:
1. Introduction -- I. Static Models: 2. Unobserved heterogeneity -- 3. Error components -- 4. Error in variables -- II. Time Series Models with Error Components: 5. Covariance structures for dynamic error components -- 6. Autoregressive models with individual effects -- III. Dynamics and Predeterminedness: 7. Models with both strictly exogenous and lagged dependent variables -- 8. Predetermined variables -- IV. Appendices: A. Generalized method of moments estimation -- B. Optimal instruments in conditional models.
Summary: Presenting some of the main topics in panel data econometrics, this work deals with static models, time series models with error components, and with dynamics and predeterminedness. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Books ISI Library, Kolkata 330.015195 Ar679 (Browse shelf(Opens below)) Available 137210
Total holds: 0

Includes bibliographical references and index.

1. Introduction --
I. Static Models: 2. Unobserved heterogeneity --
3. Error components --
4. Error in variables --
II. Time Series Models with Error Components: 5. Covariance structures for dynamic error components --
6. Autoregressive models with individual effects --
III. Dynamics and Predeterminedness: 7. Models with both strictly exogenous and lagged dependent variables --
8. Predetermined variables --
IV. Appendices: A. Generalized method of moments estimation --
B. Optimal instruments in conditional models.

Presenting some of the main topics in panel data econometrics, this work deals with static models, time series models with error components, and with dynamics and predeterminedness. The author concentrates on linear models, and emphasizes the roles of heterogeneity and dynamics in panel data modelling.

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