Download or read book Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods written by Cheng Hsiao and published by . This book was released on 1998 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Maximum Likelihood Estimation of Fixed Effects Dynamic Data Models Covering Short Time Periods written by Cheng Hsaio and published by . This book was released on 1998 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Maximum Likekihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods written by Hsiao Cheng and published by . This book was released on 1998 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects written by Kazuhiko Hayakawa and published by . This book was released on 2014 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Dynamic Panel Threshold Models written by and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1. Hansen (1999) introduced threshold estimation in non-dynamic panel threshold models. In this chapter we extend this previous work to allow dynamics in a panel data threshold model with individual fixed specific effects covering short time periods. We propose a maximum likelihood approach to estimate the structural parameters using a first difference transformation of a Dynamic Panel Threshold Model. We show the Maximum Likelihood estimation of the threshold parameter is consistent and converges to a double-sided standard Brownian motion distribution as in Hansen (2000), when the number of individuals grows to infinity for a fixed time period; and the Maximum Likelihood estimation of the slope parameters are consistent and converge to a normal distribution. Chapter 2. The super-neutrality of money hypothesis states that nominal variables do not affect real variables in the long-run. Nonetheless, Fischer (1993) found a negative relationship between inflation and economic growth, but Bruno and Easterly (1998) suggest that relationship is only present with high inflation periods. In this chapter we estimate a threshold level of inflation, above which inflation significantly slows growth; we estimate a dynamic panel threshold model. Using a sample of 72 countries and 8 periods of 5-year averages from 1961 to 2000, we found a threshold level of inflation at 13 percent, where inflation above this threshold has a negative effect on economic growth. In a model with a double threshold, we found two threshold levels of inflation at 13 and 39-42 percent, where that negative effect is stronger for inflation above 39-42 percent.

Download or read book The Econometrics of Panel Data written by Lászlo Mátyás and published by Springer Science & Business Media. This book was released on 2008-04-06 with total page 966 pages. Available in PDF, EPUB and Kindle. Book excerpt: This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.

Download or read book Maximum Likelihood and GMM Estimation of Dynamic Panel Data Models with Fixed Effects written by Hugo Kruiniger and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers inference procedures for two types of dynamic linear panel data models with fixed effects (FE). First, it shows that the closures of stationary ARMAFE models can be consistently estimated by Conditional Maximum Likelihood Estimators and it derives their asymptotic distributions. Then it presents an asymptotically equivalent Minimum Distance Estimator which permits an analytic comparison between the CMLE for the ARFE (1) model and the GMM estimators that have been considered in the literature. The CMLE is shown to be asymptotically less efficient than the most efficient GMM estimator when N approaches the limit infinity but T is fixed. Under normality some of the moment conditions become asymptotically redundant and the CMLE attains the Cramer-Rao lowerbound when T approaches the limit infinity as well. The paper also presents likelihood based unit root tests. Finally, the properties of CML, GMM, and Modified ML estimators for dynamic panel data models that condition on the initial observations are studied and compared. It is shown that for finite T the MMLE is less efficient than the most efficient GMM estimator.

Download or read book Maximum Likelihood Estimation with Stata Fourth Edition written by William Gould and published by Stata Press. This book was released on 2010-10-27 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maximum Likelihood Estimation with Stata, Fourth Edition is written for researchers in all disciplines who need to compute maximum likelihood estimators that are not available as prepackaged routines. Readers are presumed to be familiar with Stata, but no special programming skills are assumed except in the last few chapters, which detail how to add a new estimation command to Stata. The book begins with an introduction to the theory of maximum likelihood estimation with particular attention on the practical implications for applied work. Individual chapters then describe in detail each of the four types of likelihood evaluator programs and provide numerous examples, such as logit and probit regression, Weibull regression, random-effects linear regression, and the Cox proportional hazards model. Later chapters and appendixes provide additional details about the ml command, provide checklists to follow when writing evaluators, and show how to write your own estimation commands.

Download or read book Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effects written by Hugo Kruiniger and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Maximum Likelihood Estimation of Dynamic Linear Panel Data Models with Fixed Effect written by Hugo Kruiniger and published by . This book was released on 2002 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fixed Effects Regression Methods for Longitudinal Data Using SAS written by Paul D. Allison and published by . This book was released on 2019-07-12 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed Effects Regression Methods for Longitudinal Data Using SAS, written by Paul Allison, is an invaluable resource for all researchers interested in adding fixed effects regression methods to their tool kit of statistical techniques. First introduced by economists, fixed effects methods are gaining widespread use throughout the social sciences. Designed to eliminate major biases from regression models with multiple observations (usually longitudinal) for each subject (usually a person), fixed effects methods essentially offer control for all stable characteristics of the subjects, even characteristics that are difficult or impossible to measure. This straightforward and thorough text shows you how to estimate fixed effects models with several SAS procedures that are appropriate for different kinds of outcome variables. The theoretical background of each model is explained, and the models are then illustrated with detailed examples using real data. The book contains thorough discussions of the following uses of SAS procedures: PROC GLM for estimating fixed effects linear models for quantitative outcomes, PROC LOGISTIC for estimating fixed effects logistic regression models, PROC PHREG for estimating fixed effects Cox regression models for repeated event data, PROC GENMOD for estimating fixed effects Poisson regression models for count data, and PROC CALIS for estimating fixed effects structural equation models. To gain the most benefit from this book, readers should be familiar with multiple linear regression, have practical experience using multiple regression on real data, and be comfortable interpreting the output from a regression analysis. An understanding of logistic regression and Poisson regression is a plus. Some experience with SAS is helpful, but not required.

Download or read book A Summary of Some Estimators of Dynamic Panel Data Models and Their Applications written by Zhen Ma and published by . This book was released on 2012 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of two chapters. Chapter one summarizes three estimators of dynamic panel data models: Generalized Method of Moments (GMM) with fixed effects, Wooldridge Conditional Maximum Likelihood (CML) with random effects and a Maximum Simulated Likelihood (MSL) random effects dynamic probit. Chapter two presents their applications and empirical findings. I examine the impact of the large price increases in cigarettes after the Master Settlement Agreement (MSA) on drinking behavior using data from the Panel Study of Income Dynamics (PSID). Alcohol consumption, drinking participation and heavy drinking participation (three or more drinks per day) are considered for the full sample, as well as for sub-samples stratified by age group and gender. Estimation results are relatively stable across estimators. I find that the cross-price effects of cigarettes on alcohol consumption are insignificant showing that averaging on all consumption levels, the number of drinks consumed per day is not affected by the increases in cigarette prices; and that the cross-price effects of cigarettes on drinking participation are mostly positive and significant, indicating drinking is an economic substitute for smoking; also, cigarette prices do not affect heavy drinking prevalence.

Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.

Download or read book Econometric Analysis of Panel Data written by Badi H. Baltagi and published by Springer Nature. This book was released on 2021-03-16 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly." Professor Kajal Lahiri, State University of New York, Albany, USA. "This book is the most comprehensive work available on panel data. It is written by one of the leading contributors to the field, and is notable for its encyclopaedic coverage and its clarity of exposition. It is useful to theorists and to people doing applied work using panel data. It is valuable as a text for a course in panel data, as a supplementary text for more general courses in econometrics, and as a reference." Professor Peter Schmidt, Michigan State University, USA. “Panel data econometrics is in its ascendancy, combining the power of cross section averaging with all the subtleties of temporal and spatial dependence. Badi Baltagi provides a remarkable roadmap of this fascinating interface of econometric method, enticing the novitiate with technical gentleness, the expert with comprehensive coverage and the practitioner with many empirical applications.” Professor Peter C. B. Phillips, Cowles Foundation, Yale University, USA.

Download or read book On Maximum Likelihood Estimation of Dynamic Panel Data Models written by Maurice J. G. Bun and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse the finite sample properties of maximum likelihood estimators for dynamic panel data models. In particular, we consider transformed maximum likelihood (TML) and random effects maximum likelihood (RML) estimation. We show that TML and RML estimators are solutions to a cubic first-order condition in the autoregressive parameter. Furthermore, in finite samples both likelihood estimators might lead to a negative estimate of the variance of the individual-specific effects. We consider different approaches taking into account the non-negativity restriction for the variance. We show that these approaches may lead to a solution different from the unique global unconstrained maximum. In an extensive Monte Carlo study we find that this issue is non-negligible for small values of T and that different approaches might lead to different finite sample properties. Furthermore, we find that the Likelihood Ratio statistic provides size control in small samples, albeit with low power due to the flatness of the log-likelihood function. We illustrate these issues modelling US state level unemployment dynamics.

Download or read book Handbook of Regional Science written by Manfred M. Fischer and published by Springer. This book was released on 2013-09-17 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Regional Science is a multi-volume reference work providing a state-of-the-art knowledge on regional science composed by renowned scientists in the field. The Handbook is intended to serve the academic needs of graduate students, and junior and senior scientists in regional science and related fields, with an interest in studying local and regional socio-economic issues. The multi-volume handbook seeks to cover the field of regional science comprehensively, including areas such as regional housing and labor markets, regional economic growth, innovation and regional economic development, new and evolutionary economic geography, location and interaction, the environment and natural resources, spatial analysis and geo-computation as well as spatial statistics and econometrics.

Download or read book Longitudinal and Panel Data written by Edward W. Frees and published by Cambridge University Press. This book was released on 2004-08-16 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to foundations and applications for quantitatively oriented graduate social-science students and individual researchers.