Companion to Econometric Analysis of Panel Data

ISBN-10: 0470744030
ISBN-13: 9780470744031
Edition: 2009
Authors: Badi H. Baltagi
List price: $102.99 Buy it from $47.69
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Book details

List price: $102.99
Copyright year: 2009
Publisher: John Wiley & Sons, Limited
Publication date: 3/6/2009
Binding: Paperback
Pages: 308
Size: 6.50" wide x 9.75" long x 0.75" tall
Weight: 1.144
Language: English

Partitioned regression and the Frisch-Waugh-Lovell theorem
Partitioned regresion
The Frisch-Waugh-Lovell theorem
Residualing the constant
Adding a dummy variable for the ith observation
Computing forecasts and forecast standard errors
The one-way error component model
The one-way fixed effects model
One-way fixed effects regression
OLS and GLS for fixed effects
Testing for fixed effects
The one-way random effects model
Variance-covariance matrix of the one-way random effects model
The Fuller and Battese (1973) transformation for the one-way random effects model
Unbiased estimates of the variance components: the one-way model
Feasible unbiased estimates of the variance components: the one-way model
Gasoline demand in the OECD
System estimation of the one-way model: OLS versus GLS
GLS is a matrix weighted average of Between and Within
Efficiency of GLS compared to Within and Between estimators
MLE of the random effects model
Prediction in the one-way random effects model
Mincer wage equation
Bounds for s-& in a one-way random effects model
Heteroskedastic fixed effects models
The two-way error component model
The two-way fixed effects model
Two-way fixed effects regression
The two-way random effects model
Variance-covariance matrix of the two-way random effects model
The Fuller and Battese (1973) transformation for the two-way random effects model
Unbiased estimates of the variance components: the two-way model
Feasible unbiased estimates of the variance components: the two-way model
System estimation of the two-way model: OLS versus GLS
Prediction in the two-way random effects model
Variance component estimation under misspecification
Bounds for s-& in a two-way random effects model
Nested effects
Three-way error component model
A mixed-error component model
Productivity of public capital in private production
Test of hypotheses using panel data
Tests for poolability of the data
The Chow (1960) test
The Roy (1957) and Zellner (1962) test
Tests for individual and time effects
The Breusch and Pagan (1980) Lagrange-multiplier test
Local mean most powerful one-sided test
The standardized Honda (1985) test
The standardized King and Wu (1997) test
Conditional Lagrange multiplier test: random individual effects
Conditional Lagrange multiplier test: random time effects
Testing for poolability using GrunfeldG+&s data
Testing for random time and individual effects using GrunfeldG+&s data
Hausman's test for correlated effects
The Hausman (1978) test based on a contrast of two e

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