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Nonstationary panels, panel cointegration, and dynamic panels[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	330.015195
書名/作者:	Nonstationary panels, panel cointegration, and dynamic panels/ Badi H. Baltagi, Thomas B. Fomby, R. Carter Hill.
其他作者:	Baltagi, Badi H.
出版者:	Bingley, U.K. : : Emerald,, 2001.
面頁冊數:	1 online resource (ix, 339 p.).
標題:	Business & Economics - Econometrics.
標題:	Econometrics.
ISBN:	9781849500654 (electronic bk.)
內容註:	Introduction / Badi H. Baltagi, Thomas B. Fomby, R. Carter Hill -- Testing for common cyclical features in nonstationary panel data models / Alain Hecq, Franz C. Palm, Jean-Pierre Urbain -- Thelocal power of some unit root tests for panel data / Jèorg Breitung -- On the estimation and inference of a cointegrated regression in panel data / Chihwa Kao, Min-Hsien Chiang -- Testing for unit roots in panels in the presence of structural change with an application to OECD unemployment / Christian J. Murray, David H. Papell -- Panel data limit theory and asymptoticanalysis of a panel regression with near integrated regressors / Heikki Kauppi -- Stationarity tests in heterogeneous panels / Yong Yin, Shaowen Wu -- Instrumental variable estimation of semiparametric dynamic panel data models : Monte Carlo results on several new and existing estimators / M. Douglas Berg, Qi Li, Aman Ullah --Small sample performance of dynamic panel data estimators in estimating the growth-convergence equation : a Monte Carlo study / Nazrul Islam -- Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator / Richard Blundell, Stephen Bond, Frank Windmeijer -- Nonstationary panels, cointegration in panels and dynamic panels : a survey / Badi H. Baltagi, Chihwa Kao -- Fully modified OLS for heterogeneous cointegrated panels / Peter Pedroni.
摘要、提要註:	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 paneldata models using generalizedmethod of moments. The volume includes eleven chapters written by twenty authors. These chapters: investigate better methods of estimating dynamic panels; develop methodsfor estimating and testing hypotheses forcointegrating vectors in dynamic panels; extend the concept of serial correlation common features analysis to nonstationary panel data models; study the localpower of panel unit root test statistics; derive the asymptotic distributions of various estimatorsfor the panel cointegrated regression model; propose a unit root test in the presence of structuralchange; 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 estimatorsfor a semiparametric partially linear dynamic panel data model; and conduct Monte Carlo experimentsto 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.
電子資源:	http://www.emeraldinsight.com/0731-9053/15

Nonstationary panels, panel cointegration, and dynamic panels[electronic resource] /
Nonstationary panels, panel cointegration, and dynamic panels[electronic resource] /Badi H. Baltagi, Thomas B. Fomby, R. Carter Hill. - Bingley, U.K. :Emerald,2001. - 1 online resource (ix, 339 p.). - Advances in econometrics,v. 150731-9053 ;. - Advances in econometrics ;v. 12..

Introduction / Badi H. Baltagi, Thomas B. Fomby, R. Carter Hill -- Testing for common cyclical features in nonstationary panel data models / Alain Hecq, Franz C. Palm, Jean-Pierre Urbain -- Thelocal power of some unit root tests for panel data / Jèorg Breitung -- On the estimation and inference of a cointegrated regression in panel data / Chihwa Kao, Min-Hsien Chiang -- Testing for unit roots in panels in the presence of structural change with an application to OECD unemployment / Christian J. Murray, David H. Papell -- Panel data limit theory and asymptoticanalysis of a panel regression with near integrated regressors / Heikki Kauppi -- Stationarity tests in heterogeneous panels / Yong Yin, Shaowen Wu -- Instrumental variable estimation of semiparametric dynamic panel data models : Monte Carlo results on several new and existing estimators / M. Douglas Berg, Qi Li, Aman Ullah --Small sample performance of dynamic panel data estimators in estimating the growth-convergence equation : a Monte Carlo study / Nazrul Islam -- Estimation in dynamic panel data models : improving on the performance of the standard GMM estimator / Richard Blundell, Stephen Bond, Frank Windmeijer -- Nonstationary panels, cointegration in panels and dynamic panels : a survey / Badi H. Baltagi, Chihwa Kao -- Fully modified OLS for heterogeneous cointegrated panels / Peter Pedroni.

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 paneldata models using generalizedmethod of moments. The volume includes eleven chapters written by twenty authors. These chapters: investigate better methods of estimating dynamic panels; develop methodsfor estimating and testing hypotheses forcointegrating vectors in dynamic panels; extend the concept of serial correlation common features analysis to nonstationary panel data models; study the localpower of panel unit root test statistics; derive the asymptotic distributions of various estimatorsfor the panel cointegrated regression model; propose a unit root test in the presence of structuralchange; 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 estimatorsfor a semiparametric partially linear dynamic panel data model; and conduct Monte Carlo experimentsto 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.

ISBN: 9781849500654 (electronic bk.)Subjects--Topical Terms:

400580
Business & Economics
--Econometrics.

LC Class. No.: HB139 / .N66 2001

Dewey Class. No.: 330.015195

Nonstationary panels, panel cointegration, and dynamic panels[electronic resource] /
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