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| Preface | |
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| Introduction | |
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| Panel Data: Some Examples | |
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| Why Should We Use Panel Data? Their Benefits and Limitations | |
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| Note | |
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| The One-way Error Component Regression Model | |
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| Introduction | |
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| The Fixed Effects Model | |
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| The Random Effects Model | |
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| Maximum Likelihood Estimation | |
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| Prediction | |
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| Examples | |
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| Selected Applications | |
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| Computational Note | |
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| Notes | |
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| Problems | |
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| The Two-way Error Component Regression Model | |
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| Introduction | |
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| The Fixed Effects Model | |
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| The Random Effects Model | |
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| Maximum Likelihood Estimation | |
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| Prediction | |
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| Examples | |
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| Selected Applications | |
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| Notes | |
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| Problems | |
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| Test of Hypotheses with Panel Data | |
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| Tests for Poolability of the Data | |
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| Tests for Individual and Time Effects | |
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| Hausman's Specification Test | |
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| Further Reading | |
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| Notes | |
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| Problems | |
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| Heteroskedasticity and Serial Correlation in the Error Component Model | |
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| Heteroskedasticity | |
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| Serial Correlation | |
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| Notes | |
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| Problems | |
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| Seemingly Unrelated Regressions with Error Components | |
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| The One-way Model | |
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| The Two-way Model | |
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| Applications and Extensions | |
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| Problems | |
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| Simultaneous Equations with Error Components | |
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| Single Equation Estimation | |
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| Empirical Example: Crime in North Carolina | |
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| System Estimation | |
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| The Hausman and Taylor Estimator | |
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| Empirical Example: Earnings Equation Using PSID Data | |
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| Extensions | |
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| Notes | |
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| Problems | |
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| Dynamic Panel Data Models | |
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| Introduction | |
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| The Arellano and Bond Estimator | |
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| The Arellano and Bover Estimator | |
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| The Ahn and Schmidt Moment Conditions | |
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| The Blundell and Bond System GMM Estimator | |
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| The Keane and Runkle Estimator | |
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| Further Developments | |
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| Empirical Example: Dynamic Demand for Cigarettes | |
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| Further Reading | |
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| Notes | |
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| Problems | |
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| Unbalanced Panel Data Models | |
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| Introduction | |
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| The Unbalanced One-way Error Component Model | |
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| Empirical Example: Hedonic Housing | |
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| The Unbalanced Two-way Error Component Model | |
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| Testing for Individual and Time Effects Using Unbalanced Panel Data | |
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| The Unbalanced Nested Error Component Model | |
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| Notes | |
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| Problems | |
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| Special Topics | |
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| Measurement Error and Panel Data | |
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| Rotating Panels | |