Econometric Analysis of Panel Data 3rd Edition by Badi H. Baltagi ISBN 0470014563 9780470014561

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ISBN 10:       0470014563
ISBN 13: 978-0470014561
Author:       Badi H. Baltagi  

This new edition of this established textbook reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. The book is packed with the most recent empirical examples from panel data literature, for example, a simultaneous equation on Crime will be added to chapter 7, which will be illustrated with STATA. Data sets will be provided as well as the programs to implement the estimation and testing procedures described in the book on the web site. Additional exercises will be added to each chapter and their solutions will be provided on the web site.

The text has also 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.

Econometric Analysis of Panel Data 3rd  Table of contents:

1. Introduction

   • Overview of Panel Data
   • Key Concepts in Econometrics
   • Panel Data vs. Cross-Sectional Data

2. The Panel Data Model

   • Basic Panel Data Models
   • Fixed Effects vs. Random Effects Models
   • Properties of the Random Effects Model
   • Estimation Techniques

3. Linear Panel Data Models

   • Estimation of Fixed Effects Models
   • Estimation of Random Effects Models
   • Comparison of Fixed and Random Effects Models
   • Tests for Model Specification

4. Instrumental Variables in Panel Data

   • Introduction to Instrumental Variables
   • Using Instruments for Endogeneity in Panel Data
   • Generalized Method of Moments (GMM) Estimation
   • Application to Panel Data

5. Dynamic Panel Data Models

   • Introduction to Dynamic Models
   • Arellano-Bond Estimator
   • GMM Estimation for Dynamic Models
   • Tests for Autocorrelation and Instrument Validity

6. Nonlinear Models

   • Logit and Probit Models with Panel Data
   • Estimation Techniques for Nonlinear Models
   • Dynamic Nonlinear Models
   • Application Examples

7. Limited Dependent Variables

   • Models with Limited Dependent Variables
   • Random Effects vs. Fixed Effects for Limited Dependent Variables
   • Estimation of Logit and Probit Models in Panel Data

8. Panel Data with Heteroscedasticity and Autocorrelation

   • Identifying and Addressing Heteroscedasticity in Panel Data
   • Modeling Autocorrelation in Panel Data
   • Estimation Techniques for Robustness

9. Dealing with Missing Data

   • Types of Missing Data in Panel Studies
   • Methods for Handling Missing Data
   • Imputation Techniques and Maximum Likelihood

10. Advanced Topics in Panel Data

• Panel Data Models with Multiple Levels
• Spatial Panel Data Models
• Large T, Large N Panel Data Models
• Structural Panel Data Models

11. Applications of Panel Data Analysis

• Empirical Applications in Economics
• Policy Evaluation with Panel Data
• Industry-Specific Applications (e.g., Health, Finance, Education)

12. Model Selection and Specification Testing

• Criteria for Model Selection
• Testing for Fixed vs. Random Effects
• Specification Tests in Panel Data

13. Conclusions

• Summary of Key Insights
• Future Directions for Panel Data Econometrics

14. References

• List of Cited Literature and Studies

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