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Nonstationary Panels, Panel Cointegration, and Dynamic Panels (Advances in Econometrics)

Badi H. Baltagi (Editor)

1 ratings by Goodreads
ISBN 10: 0762306882 / ISBN 13: 9780762306886
Published by JAI Press(NY), 2000
New Condition: New Hardcover
From Ergodebooks (RICHMOND, TX, U.S.A.)

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Bibliographic Details

Title: Nonstationary Panels, Panel Cointegration, ...

Publisher: JAI Press(NY)

Publication Date: 2000

Binding: Hardcover

Book Condition:New

Edition: 1.

About this title

Synopsis:

This volume is dedicated to two recent intensive areas of research in the econometrics of panel data, namely nonstationary panels and dynamic panels. It includes a comprehensive survey of the nonstationary panel literature including panel unit root tests, spurious panel regressions and panel cointegration tests. In addition, it provides recent developments in the estimation of dynamic panel data models using generalized method of moments. The volume includes eleven chapters written by twenty authors. These chapters: investigate better methods of estimating dynamic panels; develop methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels; extend the concept of serial correlation common features analysis to nonstationary panel data models; study the local power of panel unit root test statistics; derive the asymptotic distributions of various estimators for the panel cointegrated regression model; propose a unit root test in the presence of structural change; develop a new limit theory for panel data that may be cross-sectionally heterogeneous; propose stationarity tests for a heterogeneous panel data model; derive instrumental variable estimators for a semiparametric partially linear dynamic panel data model; and conduct Monte Carlo experiments to study the small sample properties of a growth convergence equation. This collection of papers should prove useful for practitioners and researchers working with panel data.

Review:

B.H. Baltagi
...The subject area that the volume deals with has many potential applications, and is currently evolving very fast. As a result, this collection of timely surveys and new results will be a very useful handbook to anyone interested in current developments in the econometrics of panel data.
Mathematical Reviews, 2002

B.H. Baltagi
...The subject area that the volume deals with has many potential applications, and is currently evolving very fast. As a result, this collection of timely surveys and new results will be a very useful handbook to anyone interested in current developments in the econometrics of panel data.
Mathematical Reviews, 2002

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