Download or read book Econometric Models with Panel Data Applications with STATA written by César Pérez López and published by CESAR PEREZ. This book was released on 2022 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The data panels are a special type of samples in which the behavior of a certain number of economic agents is followed over time. In this way, the researcher can perform economic analysis and specify models with the data of cross section that are obtained when all operators are considered in an instant of time. Different patterns of behaviour of all agents together studied in the different temporal moments may thus be assessed. Alternatively, you can perform the same analysis considering time series given by the evolution of each economic agent throughout all the periods of the sample. This book explores the panel data econometrics through STATA. The most important topics are the following: Linear regression estimators in panel data models, fixed and random effects, heteroskedasticity and autocorrelation in panel data models, instrumental variables and two stage least squares in panel data models, dynamic panel data models, logit and probit panel data models, censored panel data models, count panel data models, Tobit panel data models, Poisson panel data models, negative binomial panel data models and others models with panel data.".

Download or read book Econometric Models with Panel Data Across Stata written by Econometric Books and published by Createspace Independent Publishing Platform. This book was released on 2015-10-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The data panels are a special type of samples in which the behavior of a certain number of economic agents is followed over time. In this way, the researcher can perform economic analysis and specify models with the data of cross section that are obtained when all operators are considered in an instant of time. Different patterns of behaviour of all agents together studied in the different temporal moments may thus be assessed. Alternatively, you can perform the same analysis considering time series given by the evolution of each economic agent throughout all the periods of the sample. This book explores the panel data econometrics through STATA. The content is de next: PANEL DATA MODELS 1.1 Introduction TO PANEL data: Data structures 1.2 ECONOMETRIC Models with PANEL data 1.3 Panel DATA Models with constant coefficients 1.4 Panel DATA Models WITH Fixed effects 1.5 PANEL DATA Models WITH Random effects 1.6 DYNAMIC PANEL data Models 1.7 LOGIT and PROBIT PANEL DATA Models PANEL data models with STATA 2.1 Stata And PANEL data models 2.2 Examples MODELS with PANEL data 2.3 Logit, probit and Poisson models with panel data 2.4 Estimation of dynamic panels using the Arellano - Bond methodology LINEAR REGRESSION ESTIMATORS IN PANEL DATA MODELS 3.1 STATA COMMANDS IN PANEL DATA MODELS LINEAR REGRESSION 3.2 FIXED AN RANDOM EFFECTS, AND POPULATION-AVERAGED EFECTS LINEAR MODELS. XTREG 3.3 PANELS WITH AUTOCORRELATION. XTREGAR 3.4 HETEROSKEDASTICITY AN AUTOCORRELATION IN PANEL DATA MODELS. XTGLS 3.5 PANEL-CORRECTED STANDARD ERRORS. XTPCSE 3.6 INSTRUMENTAL VARIABLES AND TWO-STAGE LEAST SQUARES IN PANEL DATA. XTIVREG 3.7 panel-data models with random coefficients. XTRC 3.8 panel-data models with multilevel mixed effects. XTMIXED 3.9 ERROR-COMPONENTS MODEL across Hausman-Taylor estimator. XTHTAYLOR 3.10 Stochastic frontier models for panel data. XTFRONTIER DYNAMIC PANEL DATA Models 4.1 ESTIMATORS FOR DYNAMIC PANEL DATA MODELS 4.2 ARELLANO-BOND LINEAR DYNAMIC PANEL DATA. XTABOND COMMAND 4.3 LINEAR DYNAMIC PANEL-DATA ESTIMATION. XTPD 4.4 ARELLANO-BOVER/BLUNDELL-BOND LINEAR DYNAMIC PANEL-DATA ESTIMATION. XTDPDSYS LOGIT AND PROBIT PANEL DATA Models 5.1 METHODOLOGICAL NOTES 5.2 STATA COMMAnds FOR ESTIMATE LOGIT AND PROBIT PANEL DATA MODELS 5.3 Fixed-effects, random-effects, and population-averaged logit models. XTLOGIT 5.4 Random-effects and population-averaged probit models. Xtprobit 5.5 Random-effects and population-averaged cloglog models. xtcloglog: 5.6 Multilevel mixed-effects logistic regression. Xtmelogit CENSORED AND COUNT Panel DATA MODELS. TOBIT, POISSON AND NEGATIVE BINOMIAL MODELS 6.1 CENSORED AND COUNT PANEL DATA MODELS 6.2 CENSORED PANEL DATA MODELS 6.3 COUNT PANEL DATA MODELS

Download or read book Econometrics in Theory and Practice written by Panchanan Das and published by Springer Nature. This book was released on 2019-09-05 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces econometric analysis of cross section, time series and panel data with the application of statistical software. It serves as a basic text for those who wish to learn and apply econometric analysis in empirical research. The level of presentation is as simple as possible to make it useful for undergraduates as well as graduate students. It contains several examples with real data and Stata programmes and interpretation of the results. While discussing the statistical tools needed to understand empirical economic research, the book attempts to provide a balance between theory and applied research. Various concepts and techniques of econometric analysis are supported by carefully developed examples with the use of statistical software package, Stata 15.1, and assumes that the reader is somewhat familiar with the Strata software. The topics covered in this book are divided into four parts. Part I discusses introductory econometric methods for data analysis that economists and other social scientists use to estimate the economic and social relationships, and to test hypotheses about them, using real-world data. There are five chapters in this part covering the data management issues, details of linear regression models, the related problems due to violation of the classical assumptions. Part II discusses some advanced topics used frequently in empirical research with cross section data. In its three chapters, this part includes some specific problems of regression analysis. Part III deals with time series econometric analysis. It covers intensively both the univariate and multivariate time series econometric models and their applications with software programming in six chapters. Part IV takes care of panel data analysis in four chapters. Different aspects of fixed effects and random effects are discussed here. Panel data analysis has been extended by taking dynamic panel data models which are most suitable for macroeconomic research. The book is invaluable for students and researchers of social sciences, business, management, operations research, engineering, and applied mathematics.

Download or read book Econometric Analysis of Cross Section and Panel Data second edition written by Jeffrey M. Wooldridge and published by MIT Press. This book was released on 2010-10-01 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

Download or read book Econometric Analysis of Panel Data written by Badi Baltagi and published by John Wiley & Sons. This book was released on 2008-06-30 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.

Download or read book ECONOMETRIC MODELS WITH PANEL DATA APPLICATIONS WITH STATA written by Perez Lopez Cesar Perez Lopez and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applied Panel Data Analysis for Economic and Social Surveys written by Hans-Jürgen Andreß and published by Springer Science & Business Media. This book was released on 2013-01-24 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many economic and social surveys are designed as panel studies, which provide important data for describing social changes and testing causal relations between social phenomena. This textbook shows how to manage, describe, and model these kinds of data. It presents models for continuous and categorical dependent variables, focusing either on the level of these variables at different points in time or on their change over time. It covers fixed and random effects models, models for change scores and event history models. All statistical methods are explained in an application-centered style using research examples from scholarly journals, which can be replicated by the reader through data provided on the accompanying website. As all models are compared to each other, it provides valuable assistance with choosing the right model in applied research. The textbook is directed at master and doctoral students as well as applied researchers in the social sciences, psychology, business administration and economics. Readers should be familiar with linear regression and have a good understanding of ordinary least squares estimation. ​

Download or read book An Introduction to Modern Econometrics Using Stata written by Christopher F. Baum and published by Stata Press. This book was released on 2006-08-17 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, this introduction illustrates how to apply econometric theories used in modern empirical research using Stata. The author emphasizes the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how to apply the theories to real data sets. The book first builds familiarity with the basic skills needed to work with econometric data in Stata before delving into the core topics, which range from the multiple linear regression model to instrumental-variables estimation.

Download or read book Panel Data Econometrics written by Donggyu Sul and published by Routledge. This book was released on 2019-02-07 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel data. Aimed at applied researchers who want to learn about panel data econometrics by running statistical software, this book provides clear guidance and is supported by a full range of online teaching and learning materials. It includes practice sections on MATLAB, STATA, and GAUSS throughout, along with short and simple econometric theories on basic panel regressions for those who are unfamiliar with econometric theory on traditional panel regressions.

Download or read book Econometrics For Dummies written by Roberto Pedace and published by John Wiley & Sons. This book was released on 2013-06-05 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Score your highest in econometrics? Easy. Econometrics can prove challenging for many students unfamiliar with the terms and concepts discussed in a typical econometrics course. Econometrics For Dummies eliminates that confusion with easy-to-understand explanations of important topics in the study of economics. Econometrics For Dummies breaks down this complex subject and provides you with an easy-to-follow course supplement to further refine your understanding of how econometrics works and how it can be applied in real-world situations. An excellent resource for anyone participating in a college or graduate level econometrics course Provides you with an easy-to-follow introduction to the techniques and applications of econometrics Helps you score high on exam day If you're seeking a degree in economics and looking for a plain-English guide to this often-intimidating course, Econometrics For Dummies has you covered.

Download or read book Microeconometrics Using Stata written by Adrian Colin Cameron and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book ADVANCED ECONOMETRICS with STATA Concepts and Exercises written by Cesar Perez Lopez and published by Createspace Independent Publishing Platform. This book was released on 2014-01-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers a wide typology of advanced econometric models including models of limited dependent variable, discrete choice, count, censored, truncated and sample selection. Also develop models of simultaneous equations, nonlinear models, multivariate time series models, models with panel and unit roots theory data and cointegrated models. In the last chapters the most typical problems of diagnosis are addressed to check in all econometric model, the analysis of variance and covariance, simple and multiple models, the linear model GLM general and mixed models. The development of practical exercises is performed using STATA software. The content of the book is as follows: Limited dependent variable models Discrete choice models Binary discrete choice models Multiple choice models Logit and Probit ordered models Count data models Censored models: the tobit model Sample selection: truncated models Correction the sample selection: heckman two-step estimation or heckit method Limited dependent variable models with STATA Multi-equational linear models. Simultaneous equations Multi-equational linear models. Structural form and simultaneous equations Multi-equational model in reduced form Structural model identification. Simultaneous equations. MCI estimation Simultaneous equations linear model estimation STATA and simultaneous linear equations models Multivariate time series models: VAR, VARX, VARMA and BVAR models. Cointegration Vector autoregressive VAR models VARMA models Cointegration in VAR models. Johansen test STATA and the VAR and VEC models. Causality and cointegration tests. Johansen test Econometrics panel data. Unit roots and cointegration in panel Panel data econometric models Fixed effects panel data models Random -effects panel data models Dynamic panel data models Logit and Probit panel data models Unit roots and cointegration of panel data STATA and panel data models Logit, Probit and Poisson models with panel data Dynamic panel models estimation. Arellano - bond methodology Non-linear models and systems. STATA and non- linear equations models Tests for diagnosis. Autocorrelation, heteroscedasticity, normality, multicollinearity and influence Conditional heteroscedasticity . ARCH and GARCH tests STATA and the multicollinearity, influence, autocorrelation and heteroscedasticity STATA and the multicolinearity, influence, autocorrelation, heteroscedasticity through menus Simple and multiple variance analysis and the simple and multiple covariance models . General lonear models GLM and mixed models STATA and the analysis of the variance-covariance, the GLM model and mixed models

Download or read book Panel Methods for Finance written by Marno Verbeek and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-10-25 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial data are typically characterised by a time-series and cross-sectional dimension. Accordingly, econometric modelling in finance requires appropriate attention to these two – or occasionally more than two – dimensions of the data. Panel data techniques are developed to do exactly this. This book provides an overview of commonly applied panel methods for financial applications, including popular techniques such as Fama-MacBeth estimation, one-way, two-way and interactive fixed effects, clustered standard errors, instrumental variables, and difference-in-differences. Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications by Marno Verbeek offers the reader: Focus on panel methods where the time dimension is relatively small A clear and intuitive exposition, with a focus on implementation and practical relevance Concise presentation, with many references to financial applications and other sources Focus on techniques that are relevant for and popular in empirical work in finance and accounting Critical discussion of key assumptions, robustness, and other issues related to practical implementation

Download or read book Econometric Models with Panel Data written by César Pérez López and published by Createspace Independent Publishing Platform. This book was released on 2015-01-20 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data panels are a special type of samples in which the behavior of a certain number of economic agents is followed over time. In this way, the researcher can perform economic analysis and specify models with the data of cross section (or cross section) that are obtained when all operators are considered in an instant of time. Different patterns of behaviour of all players together studied in the different temporal moments may thus be assessed. Alternatively, you can perform the same analysis considering time series given by the evolution of each economic agent throughout all the periods of the sample. In the latter case could be considered different patterns for individual to individual behaviour all the time interval of the sample. The book focuses on practical aspects of econometrics of panel data presenting variety of solved exercise with the latest software. STATA, SAS, SPSS and EVIEWS software was used. The remarkable reads as follows: MODELS WITH PANEL DATA PURE PANELS AND EXPANDED PANELS COMPARISON BETWEEN ANNUAL SAMPLES, COMBINATIONS OF CROSS SECTIONS (DATA POOL) AND PANELS ECONOMETRIC MODELS WITH PANEL DATA PANEL DATA MODELS WITH CONSTANT COEFFICIENTS PANEL DATA MODELS WITH FIXED EFFECTS PANEL DATA MODELS WITH RANDOM EFFECTS DYNAMIC PANEL DATA MODELS LOGIT AND PROBIT PANEL DATA MODELS PANEL DATA MODELS WITH EVIEWS EVIEWS AND MODELS WITH PANEL DATA. PANELS OF CONSTANT COEFICIENTS, FIXED EFFECTS AND RANDOM EFFECTS EVIEWS AND DYNAMIC MODELS WITH PANEL DATA. ARELLANO AND BOND METHODOLOGY PANEL DATA MODELS WITH STATA EXAMPLES MODELS WITH PANEL DATA LOGIT, PROBIT AND POISSON MODELS WITH PANEL DATA ESTIMATION OF DYNAMIC PANELS USING THE ARELLANO - BOND METHODOLOGY PANEL DATA MODELS WITH SAS 57 SAS AND MODELS WITH PANELDATA. PROCEDURE TSCSREG SAS AND MODELS WITH PANEL DATA. PROCEDURE PANEL PANEL DATA MODELS WITH SPSS STABILITY IN PANEL DATA MODELS. STRUCTURAL CHANGE, UNIT ROOTS AND COINTEGRATION STRUCTURAL STABILITY IN ECONOMETRIC MODELS UNSTABLE MODELS: SPURIOUS REGRESSIONS SEASONAL TIME SERIES. DETECTION OF SEASONALITY UNIT ROOTS TESTS STABLE MODELS IN THE LONG TERM: THE COINTEGRATION ANALYSIS THE ERROR CORRECTION MODELS UNIT ROOTS AND COINTEGRATION IN SEASONAL SERIES UNIT ROOTS AND COINTEGRATION IN SERIES WITH STRUCTURAL CHANGE UNIT ROOTS AND COINTEGRATION WITH PANEL DATA STATIONARY AND SEASONALITY WITH EVIEWS ROOTS UNIT, COINTEGRATION AND STRUCTURAL CHANGE WITH EVIEWS EVIEWS AND THE CONTRASTS OF UNIT ROOTS WITH PANEL DATA. COINTEGRATION IN PANEL DATA MODELS UNIT ROOTS, COINTEGRATION AND STRUCTURAL CHANGE WITH SAS SAS AND UNIT ROOTS TESTS WITH PANEL DATA MODELS. COINTEGRATION IN PANEL DATA MODELS

Download or read book Financial Econometrics Using Stata written by Simona Boffelli and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Econometrics Using Stata is an essential reference for graduate students, researchers, and practitioners who use Stata to perform intermediate or advanced methods. After discussing the characteristics of financial time series, the authors provide introductions to ARMA models, univariate GARCH models, multivariate GARCH models, and applications of these models to financial time series. The last two chapters cover risk management and contagion measures. After a rigorous but intuitive overview, the authors illustrate each method by interpreting easily replicable Stata examples.

Download or read book Environmental Econometrics Using Stata written by Christopher F. Baum and published by Stata Press. This book was released on 2021-05-10 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aspects of environmental change are some of the greatest challenges faced by policymakers today. The key issues addressed by environmental science are often empirical, and in many instances very detailed, sizable datasets are available. Researchers in this field should have a solid understanding of the econometric tools best suited for analysis of these data. While complex and expensive physical models of the environment exist, it is becoming increasingly clear that reduced-form econometric models have an important role to play in modeling environmental phenomena. In short, successful environmental modeling does not necessarily require a structural model, but the econometric methods underlying a reduced-form approach must be competently executed. Environmental Econometrics Using Stata provides an important starting point for this journey by presenting a broad range of applied econometric techniques for environmental econometrics and illustrating how they can be applied in Stata. The emphasis is not only on how to formulate and fit models in Stata but also on the need to use a wide range of diagnostic tests in order to validate the results of estimation and subsequent policy conclusions. This focus on careful, reproducible research should be appreciated by academic and non-academic researchers who are seeking to produce credible, defensible conclusions about key issues in environmental science.

Download or read book Advanced Econometrics Dynamic Models Exercises with SPSS SAS Stata and Eviews written by César Pérez López and published by CreateSpace. This book was released on 2013-10 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Usually variables that appear how explanatory in econometric models are supposed related at one time with the endogenous variable, so usually the temporary subscripts of all variables are equal. However, economic theory, econometrics, and other sciences lead us to relationship dynamic between the variables, since the impacts between variables can become manifest in later periods or extended to many periods. In this way appear dynamic models with variables out in time. Dynamic models usually seen three different situations according to the variables affected by delays. It may be that the delays involved only to exogenous variables, only the endogenous variable or simultaneously to endogenous and exogenous variables. This book covers a wide typology of dynamic models including models with distributed delays, models with stochastic regressors, models with structural change and dynamic panel data models. Widely is the theory of unit roots, the Cointegration and error correction models. And all this from a perspective multi-software, using the latest software on the market suitable for these non-trivial econometric tasks (SAS, EVIEWS, SPSS and STATA). The book develops the following themes: Dynamic models Dynamic models with delays in exogenous variables Dynamic models with delays in the endogenous variable Dynamic models with delays in the endogenous variable and the exogenous variables simultaneously Special types of dynamic models Models with finite distributed delays Models with distributed delays infinite EVIEWS and the specific dynamic models SPSS and the dynamic models SPSS and dynamic models with stochastic regressors. instrumental variables EVIEWS and dynamic models with stochastic regressors. instrumental variables SAS and the dynamic models Stable models. Structural change, unit roots and cointegration Structural stability in econometric models Parameters constant in time and prediction of Chow test Chow prediction test Structural Change and Chow test Recursive models: contrasts based on recursive estimation CUSUM and CUSUMQ tests Unstable models: spurious regressions Stationary time series. Detecting stationarity Seasonality detection Unit roots test Dickey-Fuller Unit Roots Tests Phillips-Perron Unit Roots Test Stable models in the long term: the cointegration analysis Phillips-Oularis for the Cointegration Test Error correction models mce Unit roots and cointegration in seasonal series Unit roots and cointegration in series with structural change Stationary and seasonality with EVIEWS Unit roots, cointegration and structural change with EVIEWS Panel data models. Unit roots and cointegration in panel. Dynamic panels Econometric models with panel data Panel data models with constant coefficients Panel data models with fixed effects Panel data models with random -effects Dynamic panel data models Logit and probit panel data models Unit roots and cointegration in panel data models EVIEWS and panel data models SPSS and panel data models Panel data models with SAS EVIEWS and dynamic models with panel data. methodology of ARELLANO and BOND EVIEWS and the contrasts of unit roots with panel data. Cointegration in panel