Analysis of Panels and Limited Dependent Variable Models

A collection in honour of G. S. Maddala, bringing together leading econometricians to discuss important advances in econometrics.

Cheng Hsiao (Edited by), M. Hashem Pesaran (Edited by), Kajal Lahiri (Edited by), Lung Fei Lee (Edited by)

9780521631693, Cambridge University Press

Hardback, published 29 July 1999

350 pages
22.9 x 15.2 x 2.1 cm, 0.64 kg

Review of the hardback: 'The papers in this volume will help applied researchers interested in careful application of panel and limited dependent variable models.' Journal of the American Ststistical Association

This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

Foreword: Z. Griliches
Editorial introduction M. Hashem Pesaran, C. Hsiao, K. Lahiri and L. Lee
1. A note on left censoring T. Amemiya
2. Autoregressive models with sample selectivity for panel data M. Arellano, O. Bover and J. Labbeaga
3. Prediction from the regression model with one-way error components R. Baillie and B. Baltagi
Mixture of normal probit models J. Geweke and M. Keane
4. A Monte Carlo study of EC-estimation in panel data models with limited dependent variables and heterogeneity M. El-Gamal and D. Grether
5. Expectations of expansions for estimators in a dynamic panel data model
Some results for weakly-exogenous regressors J. F. Kiviet
6. Bayes estimation of short-run coefficients in dynamic panel data models C. Hsiao, M. Hashem Pesaran and A. Kamil Tahmiscioglu
7. Re-examining the rational expectations hypothesis using panel data on multiperiod forecasts A. Davies and K. Lahiri
8. Estimation of dynamic limited-dependent rational expectations models L. Lee
9. Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth M. Nerlove
10. Bias reduction in estimating long-run relationships from dynamic heterogeneous panels M. Hashem Pesaran and Z. Zhao
11. Modified generalised instrumental variables estimation of panel data models with strictly exogenous variables S. Chan Ahn and P. Schmidt
12. A biography of G. S. Maddala.

Subject Areas: Econometrics [KCH]