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by Giovanni Millo, Yves Croissant
Panel Data Econometrics with R
Cover
Dedication
Preface
Acknowledgments
About the Companion Website
Chapter 1: Introduction
1.1 Panel Data Econometrics: A Gentle Introduction
1.2 R for Econometric Computing
1.3 plm for the Casual R User
1.4 plm for the Proficient R User
1.5 plm for the R Developer
1.6 Notations
Chapter 2: The Error Component Model
2.1 Notations and Hypotheses
2.2 Ordinary Least Squares Estimators
2.3 The Generalized Least Squares Estimator
2.4 Comparison of the Estimators
2.5 The Two‐ways Error Components Model
2.6 Estimation of a Wage Equation
Chapter 3: Advanced Error Components Models
3.1 Unbalanced Panels
3.2 Seemingly Unrelated Regression
3.3 The Maximum Likelihood Estimator
3.4 The Nested Error Components Model
Chapter 4: Tests on Error Component Models
4.1 Tests on Individual and/or Time Effects
4.2 Tests for Correlated Effects
4.3 Tests for Serial Correlation
4.4 Tests for Cross‐sectional Dependence
Chapter 5: Robust Inference and Estimation for Non‐spherical Errors
5.1 Robust Inference
5.2 Unrestricted Generalized Least Squares
Chapter 6: Endogeneity
6.1 Introduction
6.2 The Instrumental Variables Estimator
6.3 Error Components Instrumental Variables Estimator
6.4 Estimation of a System of Equations
6.5 More Empirical Examples
Chapter 7: Estimation of a Dynamic Model
7.1 Dynamic Model and Endogeneity
7.2 GMM Estimation of the Differenced Model
7.3 Generalized Method of Moments Estimator in Differences and Levels
7.4 Inference
7.5 More Empirical Examples
Chapter 8: Panel Time Series
8.1 Introduction
8.2 Heterogeneous Coefficients
8.3 Cross‐sectional Dependence and Common Factors
8.4 Nonstationarity and Cointegration
Chapter 9: Count Data and Limited Dependent Variables
9.1 Binomial and Ordinal Models
9.2 Censored or Truncated Dependent Variable
9.3 Count Data
9.4 More Empirical Examples
Chapter 10: Spatial Panels
10.1 Spatial Correlation
10.2 Spatial Lags
10.3 Individual Heterogeneity in Spatial Panels
10.4 Serial and Spatial Correlation
Bibliography
Index
End User License Agreement
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