- General index
-
- Akaike information criteria 205
- Amemiya and MaCurdy estimator 147, 148, 153, 154
- Amemiya estimator 36, 58, 68, 77
- Anderson and Hsiao estimator 167, 168, 172
- Angrist and Newey test 93, 95
- asymptotic least squares estimator 93
- augmented Dickey-Fuller regression 204—207
- auto-regressive process 21, 101, 261
-
- Baltagi and Li test 97—98, 101
- Baltagi, Song and Koh test 269—272
- Baltagi, Song, Jung and Koh test 281—284
- Bayes' theorem 238
- Bera, Sosa-Escudero and Yoon test 97, 98
- between estimator 28, 29
- between transformation 24, 26, 35
- binomial model 211, 213
- block-diagonal matrix 17, 54, 170, 171
- Breusch, Mizon and Schmidt estimator 147, 148
- Breusch-Godfrey test 97, 101
- Breusch-Pagan test 84—88, 105, 269
-
- censored model 211
- Chamberlain test 90—95
- Cholesky decomposition 67, 156
- Cobb-Douglas functional form 77
- cointegration 207—209
- common correlated effects 196—198, 200, 207, 209, 249, 254, 255
- conditional logit model 219—222
- constained least squares 65
- constrained estimator 93
- contiguity matrix 250
- count data 236—243
- cross-sectional and timewise correlation consistent covariance matrix 115, 117, 119
- cross-sectional augmented regression 207—209
- cross-sectional dependence 104—108, 207, 208, 247—251
- cross-sectional heteroscedasticity and serial correlation consistent covariance matrix 111, 115, 117, 119
- cross-sectionally augmented Im, Pesaran and Shin test 207—209
-
- Dickey-Fuller test 204
- differenced generalised method of moments estimator 168—172
- distance matrix 250
- Durbin-Watson test 101
- dynamic model 161—184
-
- endogeneity 139—159
- error component 144—146, 148, 149
- error components instrumental variables estimator 143
- error components three stage least squares 156—158
- error components two stage least squares 146
-
- F test 84, 86—88
- feasible generalized least squares 123, 128, 129
- first difference transformation , 103, 120, 121, 132, 136, 137
- first generation unit root tests 204, 206
- fixed effects 101, 102, 120, 121, 130—132, 135—137, 261, 269
- fixed effects censored model 229—233
- fixed effects model 30, 55—56, 93
- fixed effects Negbin model 239—243
- fixed effects Poisson model 237—239
- fixed effects truncated model 227—229
- Frisch-Waugh theorem 30, 53, 55
-
- general feasible generalized least squares estimator 17, 127—137
- generalized least squares 17, 20, 31, 33—35, 38—45, 47, 48, 51, 54, 58, 71, 74, 89, 90, 93, 99, 100, 122, 127—133, 135, 140, 141, 144, 146, 149, 150, 155, 156, 159, 163, 190, 263, 264, 267
- generalized linear model 211
- generalized method of moments 168, 171—174, 176, 177, 180, 182, 183, 185
- generalized moments estimation 254, 267—269
- Gourieroux, Holly and Monfort test 86, 88
-
- Hausman and Taylor estimator 36, 146, 151, 153, 154
- Hausman test 90, 125, 149, 150, 152
- heteroscedasticity and autocorrelation consistent covariancematrix 110
- heteroscedasticity and cross-sectional correlation consistent covariancematrix 111, 115—117, 119
- heteroscedasticity consistent covariance matrix 120
- Honda test 86, 87
-
- idempotent matrix 25, 30, 54, 141
- Im, Pesaran and Shin test 205, 207
- incidental parameter problem 212
- instrument proliferation 172—174
- instrumental variable estimator 140, 166
- instrumental variables estimator 140—159
-
- Kapoor, Kelejian and Prucha estimator 261, 267, 268, 278
- King and Wu test 86, 88
- Kronecker product 24
-
- Lagrange multiplier test 18, 84—88, 97, 98,#x2014;274, 281—283
- Lagrangian function 65
- least absolute deviations 229, 231
- least squares dummy variables , 10
- Levin, Lin and Chu test 205
- likelihood ratio test 18, 99, 100, 276, 277
- logit 211
-
- Maddala and Wu test 206
- maximum likelihood estimator 71—74, 95, 99, 166, 212, 226—227, 254, 258, 262, 267, 269, 271, 272, 275—277, 280, 282, 283
- mean groups 190—192, 197, 198, 200, 209,
- measurement error 139
- multinomial logit model 239
- Mundlak model 89, 90
-
- Negbin model 211, 236—237
- neighborhood matrix 250
- Nerlove estimator 37
- nested error components model 74—80
- Newey-West robust covariance matrix 117
- nonstationarity 200—209
-
- omitted variable 139
- ordinal model 211, 214
- orthogonal decomposition 25
- orthogonal deviations 166
-
- panel corrected standard errors 122, 123, 128
- partitioned matrix 29
- Pesaran cross-sectional dependence test 105
- Poisson model 211, 236
- poolability tests 192—194
- pooled common correlated effects 198—200, 209
- pooling estimator 27—28
- power of a matrix 54
- probit 211
- purchasing power parity 124, 125
-
- quadratic form 58—60, 75, 76, 93, 169
-
- random coefficients model 187—192
- random effects 97—99, 101, 104, 106, 120, 121, 129, 261, 264—269, 272, 275—278, 283
- random effects binomial model 214—217
- random effects censored model 234
- random effects model 56—57
- random effects Negbin model 240
- random effects ordinal model 217—219
- random effects Poisson model 239—240
- random effects truncated model 233—234,
- randomized W test 247—250
- robust covariance matrix 178—179
- robust Lagrange multiplier test 273, 275
-
- Sargan test 180
- scaled Lagrange multiplier 105, 247
- Schwarz information criteria 204
- second generation unit root tests 207, 209
- seemingly unrelated regressions 64—71, 91, 128, 154, 155
- serially autoregressive random effect 277, 278
- simultaneity 139
- sparse matrix 17
- spatial correlation consistent 116, 117, 120, 127, 131, 132, 135—137
- spatial error model 21, 255, 256, 261—263, 265—269, 272—278, 283,
- spatial lag and spatial error model 261, 268, 272, 275, 277, 278
- spatial lags 250—257
- spatially autoregressive model 21, 254—256, 261—264, 265, 267, 268, 272—277, 284
- sufficient statistic 212
- Swamy and Arora estimator 37, 58, 68, 77
- Swamy estimator 187—189
- symmetrical trimmed estimator 225—226
- system generalized method of moments estimator 174—177
-
- three stage least squares 155—158
- trace of a matrix 29, 30, 59
- translog functional form 68
- trimmed estimator 212
- truncated and censored model 223—236
- truncated model 211
- two stage least squares 141, 142, 144—149, 154, 156—159, 268
- two-ways error component model 47—49, 54—64, 85
-
- unbalanced panel 53—64, 86, 105
- unit root tests 201—209
-
- vector autoregressive model 183
-
- Wald test 14, 18, 102, 179, 275
- Wallace and Hussain estimator 36, 58, 77
- weak instruments 174
- White robust covariance matrix 111, 115—117, 119
- within estimator 29, 164—168
- within instrumental variables estimator 141—143
- within model 145
- within transformation 25, 26, 35
- Wooldridge unobserved effects test 95
- Wooldridge within-based test 102
- Wooldridge first-difference-based test 103
- Functions
- AER
- tobit 211
- MASS
- glm.nb 211
- polr 211, 218
- base
- attach 10
- cbind
- crossprod
- detach 10
- diff
- mean 10
- read.table
- sapply 39, 43, 49
- solve , 17
- summary 14
- car
- lht 15, 16
- linearHypothesis 15, 123, 124
- censReg
- censReg 211
- default
- summary 193
- dplyr
- mutate 69
- graphics
- plot 14
- lmtest
- bgtest 102
- coeftest , 112, 117, 123, 124, 251
- dwtest 102
- waldtest 123, 124
- msm
- deltamethod 191
- nlme
- gls 99, 100
- lme 99
- pglm
- ordinal 218
- pglm 73, 216, 218
- plm
- aneweytest 95
- Between 41, 94
- between 94
- cipstest 208, 209
- cortab 107
- ercomp 38, 43
- index 32
- mtest 182
- pbgtest 101, 102
- pbltest 97, 98
- pbsytest 98
- pcce 198, 200, 255
- pcdtest 105—107, 207, 249
- pdata.frame 31, 77
- pdim 31, 60
- pdwtest 101, 102
- pFtest 86
- pggls 129—131
- pgmm 171
- phtest 93, 126, 132
- piest 94
- pldv 212, 232
- plm , , 16, 31, 70, 77, 112, 114, 120, 130, 131, 142, 148, 157, 164, 165, 171, 216, 251, 259, 275
- plmtest 87, 97
- pmg 190, 197, 198, 255
- pooltest 192
- purtest 206
- pvcm 187, 188, 192, 193
- pwartest 103
- pwfdtest 103
- sargan 180
- vcovDC 117
- vcovG 117
- vcovNW 117, 200
- vcovSCC 117
- Within 41, 274
- sandwich
- vcovHAC 120
- vcovHC 15, 16, 102, 113, 120, 179, 200
- spdep
- lagsarlm 254
- nb2mat 247
- nblag 247
- splm
- bsktest 271
- pcdtest 247
- pmg 207, 249
- rwtest 249
- slag 253, 255
- slmtest 273
- spgm 268
- spml 259, 268, 275
- spreml 255, 256, 259, 275
- stats
- coef , 15, 16
- glm 211, 215, 216, 218
- lag 164
- lm , , , 33, 100, 112, 113, 164, 215
- vcov 15, 16, 179
- survival
- clogit 222
- texreg
- screenreg 80, 216, 219
- truncreg
- truncreg 211
- Data
- AER
- Fatalities , , 14
- pcse
- agl 123
- pder
- Callbacks 244
- CoordFailure 244
- DemocracyIncome 161, 164, 165, 167, 171, 177, 179, 180, 182
- DemocracyIncome25 46, 173
- Dialysis 188
- Donor 234
- etw 279
- EvapoTransp 279, 284
- FinanceGrowth 183
- ForeignTrade 42, 148, 157
- GiantsShoulders 240, 241
- HousePricesUS 107, 190, 193, 197, 198, 206—208, 245, 248, 254
- IncomeMigrationH 244
- IncomeMigrationV 244
- IneqGrowth 183
- LandReform 243
- LateBudgets 231
- Mafia 159
- MagazinePrices 220, 222
- RDPerfComp 184
- RDSpillovers 105, 126, 135, 191, 200
- Reelection 215, 216
- RegIneq 184
- ScrambleAfrica 243
- SeatBelt 142
- Seniors 243
- Solow 183
- TexasElectr 44, 68
- Tileries , 15, 16, 60
- TobinQ 31, 37, 41, 48
- TradeEU 151
- TradeFDI 159
- TurkishBanks 44
- TwinCrises 159
- pglm
- Fairness 218
- PatentsRD 244
- PatentsRDUS 244
- UnionWage 49, 244
- plm
- Cigar 252
- Cigarette 251
- Crime 159
- EmplUK 102, 103, 129, 131, 132, 183
- Grunfeld 99, 126
- Hedonic 113
- %
- Parity 124
- Produc 77, 79, 111, 117, 118, 122, 124
- Snmesp 183
- Wages 159
- splm
- RiceFarms 73, 79, 86, 93, 96, 98, 101, 104, 133, 256, 258, 259, 264, 266, 268, 271, 274—276, 283
- riceww 256
- %
- Packages
- AER 211
- car 123, 124
- censReg 211
- dplyr 69, 241
- fiftystater 245
- foreign
- Formula 142, 167
- ggplot2 241, 245
- lmtest 101, 112, 123
- MASS 211, 218
- Matrix 17
- MaxLik 17
- msm 191
- nlme 17, 99
- pcse 123
- pder 31, 142, 148, 151, 159, 182—184, 215, 222, 241, 243, 244
- pglm 13, 73, 211, 218, 244
- plm , 13, 14, 16, 17, 31, 79, 95, 108, 109, 120, 159, 164, 171, 182, 183, 187, 212, 255
- sandwich 120
- spam 17
- spdep 247, 254
- splm 13, 268
- stargazer 50
- survival 222
- texreg 80, 153, 216
- truncreg 211
- Programming Language and Software
- C 17
- Emacs 13
- ESS 13
- FORTRAN 17
- Gretl
- knitr 12
- R , , 5—15, 17, 32, 118, 120, 164, 211, 245, 254
- RStudio 13
- S 14
- Sweave 12
- tikz xiv
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