Index

  1. General index
  2.  
  3. Akaike information criteria 205
  4. Amemiya and MaCurdy estimator 147, 148, 153, 154
  5. Amemiya estimator 36, 58, 68, 77
  6. Anderson and Hsiao estimator 167, 168, 172
  7. Angrist and Newey test 93, 95
  8. asymptotic least squares estimator 93
  9. augmented Dickey-Fuller regression 204—207
  10. auto-regressive process 21, 101, 261
  11.  
  12. Baltagi and Li test 97—98, 101
  13. Baltagi, Song and Koh test 269—272
  14. Baltagi, Song, Jung and Koh test 281—284
  15. Bayes' theorem 238
  16. Bera, Sosa-Escudero and Yoon test 97, 98
  17. between estimator 28, 29
  18. between transformation 24, 26, 35
  19. binomial model 211, 213
  20. block-diagonal matrix 17, 54, 170, 171
  21. Breusch, Mizon and Schmidt estimator 147, 148
  22. Breusch-Godfrey test 97, 101
  23. Breusch-Pagan test 84—88, 105, 269
  24.  
  25. censored model 211
  26. Chamberlain test 90—95
  27. Cholesky decomposition 67, 156
  28. Cobb-Douglas functional form 77
  29. cointegration 207—209
  30. common correlated effects 196—198, 200, 207, 209, 249, 254, 255
  31. conditional logit model 219—222
  32. constained least squares 65
  33. constrained estimator 93
  34. contiguity matrix 250
  35. count data 236—243
  36. cross-sectional and timewise correlation consistent covariance matrix 115, 117, 119
  37. cross-sectional augmented regression 207—209
  38. cross-sectional dependence 104—108, 207, 208, 247—251
  39. cross-sectional heteroscedasticity and serial correlation consistent covariance matrix 111, 115, 117, 119
  40. cross-sectionally augmented Im, Pesaran and Shin test 207—209
  41.  
  42. Dickey-Fuller test 204
  43. differenced generalised method of moments estimator 168—172
  44. distance matrix 250
  45. Durbin-Watson test 101
  46. dynamic model 161—184
  47.  
  48. endogeneity 139—159
  49. error component 144—146, 148, 149
  50. error components instrumental variables estimator 143
  51. error components three stage least squares 156—158
  52. error components two stage least squares 146
  53.  
  54. F test 84, 86—88
  55. feasible generalized least squares 123, 128, 129
  56. first difference transformation 2, 103, 120, 121, 132, 136, 137
  57. first generation unit root tests 204, 206
  58. fixed effects 101, 102, 120, 121, 130—132, 135—137, 261, 269
  59. fixed effects censored model 229—233
  60. fixed effects model 30, 55—56, 93
  61. fixed effects Negbin model 239—243
  62. fixed effects Poisson model 237—239
  63. fixed effects truncated model 227—229
  64. Frisch-Waugh theorem 30, 53, 55
  65.  
  66. general feasible generalized least squares estimator 17, 127—137
  67. 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
  68. generalized linear model 211
  69. generalized method of moments 168, 171—174, 176, 177, 180, 182, 183, 185
  70. generalized moments estimation 254, 267—269
  71. Gourieroux, Holly and Monfort test 86, 88
  72.  
  73. Hausman and Taylor estimator 36, 146, 151, 153, 154
  74. Hausman test 90, 125, 149, 150, 152
  75. heteroscedasticity and autocorrelation consistent covariancematrix 110
  76. heteroscedasticity and cross-sectional correlation consistent covariancematrix 111, 115—117, 119
  77. heteroscedasticity consistent covariance matrix 120
  78. Honda test 86, 87
  79.  
  80. idempotent matrix 25, 30, 54, 141
  81. Im, Pesaran and Shin test 205, 207
  82. incidental parameter problem 212
  83. instrument proliferation 172—174
  84. instrumental variable estimator 140, 166
  85. instrumental variables estimator 140—159
  86.  
  87. Kapoor, Kelejian and Prucha estimator 261, 267, 268, 278
  88. King and Wu test 86, 88
  89. Kronecker product 24
  90.  
  91. Lagrange multiplier test 18, 84—88, 97, 98,#x2014;274, 281—283
  92. Lagrangian function 65
  93. least absolute deviations 229, 231
  94. least squares dummy variables 2, 10
  95. Levin, Lin and Chu test 205
  96. likelihood ratio test 18, 99, 100, 276, 277
  97. logit 211
  98.  
  99. Maddala and Wu test 206
  100. maximum likelihood estimator 71—74, 95, 99, 166, 212, 226—227, 254, 258, 262, 267, 269, 271, 272, 275—277, 280, 282, 283
  101. mean groups 190—192, 197, 198, 200, 209,
  102. measurement error 139
  103. multinomial logit model 239
  104. Mundlak model 89, 90
  105.  
  106. Negbin model 211, 236—237
  107. neighborhood matrix 250
  108. Nerlove estimator 37
  109. nested error components model 74—80
  110. Newey-West robust covariance matrix 117
  111. nonstationarity 200—209
  112.  
  113. omitted variable 139
  114. ordinal model 211, 214
  115. orthogonal decomposition 25
  116. orthogonal deviations 166
  117.  
  118. panel corrected standard errors 122, 123, 128
  119. partitioned matrix 29
  120. Pesaran cross-sectional dependence test 105
  121. Poisson model 211, 236
  122. poolability tests 192—194
  123. pooled common correlated effects 198—200, 209
  124. pooling estimator 27—28
  125. power of a matrix 54
  126. probit 211
  127. purchasing power parity 124, 125
  128.  
  129. quadratic form 58—60, 75, 76, 93, 169
  130.  
  131. random coefficients model 187—192
  132. random effects 97—99, 101, 104, 106, 120, 121, 129, 261, 264—269, 272, 275—278, 283
  133. random effects binomial model 214—217
  134. random effects censored model 234
  135. random effects model 56—57
  136. random effects Negbin model 240
  137. random effects ordinal model 217—219
  138. random effects Poisson model 239—240
  139. random effects truncated model 233—234,
  140. randomized W test 247—250
  141. robust covariance matrix 178—179
  142. robust Lagrange multiplier test 273, 275
  143.  
  144. Sargan test 180
  145. scaled Lagrange multiplier 105, 247
  146. Schwarz information criteria 204
  147. second generation unit root tests 207, 209
  148. seemingly unrelated regressions 64—71, 91, 128, 154, 155
  149. serially autoregressive random effect 277, 278
  150. simultaneity 139
  151. sparse matrix 17
  152. spatial correlation consistent 116, 117, 120, 127, 131, 132, 135—137
  153. spatial error model 21, 255, 256, 261—263, 265—269, 272—278, 283,
  154. spatial lag and spatial error model 261, 268, 272, 275, 277, 278
  155. spatial lags 250—257
  156. spatially autoregressive model 21, 254—256, 261—264, 265, 267, 268, 272—277, 284
  157. sufficient statistic 212
  158. Swamy and Arora estimator 37, 58, 68, 77
  159. Swamy estimator 187—189
  160. symmetrical trimmed estimator 225—226
  161. system generalized method of moments estimator 174—177
  162.  
  163. three stage least squares 155—158
  164. trace of a matrix 29, 30, 59
  165. translog functional form 68
  166. trimmed estimator 212
  167. truncated and censored model 223—236
  168. truncated model 211
  169. two stage least squares 141, 142, 144—149, 154, 156—159, 268
  170. two-ways error component model 47—49, 54—64, 85
  171.  
  172. unbalanced panel 53—64, 86, 105
  173. unit root tests 201—209
  174.  
  175. vector autoregressive model 183
  176.  
  177. Wald test 14, 18, 102, 179, 275
  178. Wallace and Hussain estimator 36, 58, 77
  179. weak instruments 174
  180. White robust covariance matrix 111, 115—117, 119
  181. within estimator 29, 164—168
  182. within instrumental variables estimator 141—143
  183. within model 145
  184. within transformation 25, 26, 35
  185. Wooldridge unobserved effects test 95
  186. Wooldridge within-based test 102
  187. Wooldridge first-difference-based test 103
  188. Functions
  189. AER
    1. tobit 211
  190. MASS
    1. glm.nb 211
    2. polr 211, 218
  191. base
    1. attach 10
    2. cbind 9
    3. crossprod 9
    4. detach 10
    5. diff 5
    6. mean 10
    7. read.table 8
    8. sapply 39, 43, 49
    9. solve 9, 17
    10. summary 14
  192. car
    1. lht 15, 16
    2. linearHypothesis 15, 123, 124
  193. censReg
    1. censReg 211
  194. default
    1. summary 193
  195. dplyr
    1. mutate 69
  196. graphics
    1. plot 14
  197. lmtest
    1. bgtest 102
    2. coeftest 4, 112, 117, 123, 124, 251
    3. dwtest 102
    4. waldtest 123, 124
  198. msm
    1. deltamethod 191
  199. nlme
    1. gls 99, 100
    2. lme 99
  200. pglm
    1. ordinal 218
    2. pglm 73, 216, 218
  201. plm
    1. aneweytest 95
    2. Between 41, 94
    3. between 94
    4. cipstest 208, 209
    5. cortab 107
    6. ercomp 38, 43
    7. index 32
    8. mtest 182
    9. pbgtest 101, 102
    10. pbltest 97, 98
    11. pbsytest 98
    12. pcce 198, 200, 255
    13. pcdtest 105—107, 207, 249
    14. pdata.frame 31, 77
    15. pdim 31, 60
    16. pdwtest 101, 102
    17. pFtest 86
    18. pggls 129—131
    19. pgmm 171
    20. phtest 93, 126, 132
    21. piest 94
    22. pldv 212, 232
    23. plm 4, 5, 16, 31, 70, 77, 112, 114, 120, 130, 131, 142, 148, 157, 164, 165, 171, 216, 251, 259, 275
    24. plmtest 87, 97
    25. pmg 190, 197, 198, 255
    26. pooltest 192
    27. purtest 206
    28. pvcm 187, 188, 192, 193
    29. pwartest 103
    30. pwfdtest 103
    31. sargan 180
    32. vcovDC 117
    33. vcovG 117
    34. vcovNW 117, 200
    35. vcovSCC 117
    36. Within 41, 274
  202. sandwich
    1. vcovHAC 120
    2. vcovHC 15, 16, 102, 113, 120, 179, 200
  203. spdep
    1. lagsarlm 254
    2. nb2mat 247
    3. nblag 247
  204. splm
    1. bsktest 271
    2. pcdtest 247
    3. pmg 207, 249
    4. rwtest 249
    5. slag 253, 255
    6. slmtest 273
    7. spgm 268
    8. spml 259, 268, 275
    9. spreml 255, 256, 259, 275
  205. stats
    1. coef 6, 15, 16
    2. glm 211, 215, 216, 218
    3. lag 164
    4. lm 3, 4, 9, 33, 100, 112, 113, 164, 215
    5. vcov 15, 16, 179
  206. survival
    1. clogit 222
  207. texreg
    1. screenreg 80, 216, 219
  208. truncreg
    1. truncreg 211
  209. Data
  210. AER
    1. Fatalities 3, 9, 14
  211. pcse
    1. agl 123
  212. pder
    1. Callbacks 244
    2. CoordFailure 244
    3. DemocracyIncome 161, 164, 165, 167, 171, 177, 179, 180, 182
    4. DemocracyIncome25 46, 173
    5. Dialysis 188
    6. Donor 234
    7. etw 279
    8. EvapoTransp 279, 284
    9. FinanceGrowth 183
    10. ForeignTrade 42, 148, 157
    11. GiantsShoulders 240, 241
    12. HousePricesUS 107, 190, 193, 197, 198, 206—208, 245, 248, 254
    13. IncomeMigrationH 244
    14. IncomeMigrationV 244
    15. IneqGrowth 183
    16. LandReform 243
    17. LateBudgets 231
    18. Mafia 159
    19. MagazinePrices 220, 222
    20. RDPerfComp 184
    21. RDSpillovers 105, 126, 135, 191, 200
    22. Reelection 215, 216
    23. RegIneq 184
    24. ScrambleAfrica 243
    25. SeatBelt 142
    26. Seniors 243
    27. Solow 183
    28. TexasElectr 44, 68
    29. Tileries 6, 15, 16, 60
    30. TobinQ 31, 37, 41, 48
    31. TradeEU 151
    32. TradeFDI 159
    33. TurkishBanks 44
    34. TwinCrises 159
  213. pglm
    1. Fairness 218
    2. PatentsRD 244
    3. PatentsRDUS 244
    4. UnionWage 49, 244
  214. plm
    1. Cigar 252
    2. Cigarette 251
    3. Crime 159
    4. EmplUK 102, 103, 129, 131, 132, 183
    5. Grunfeld 99, 126
    6. Hedonic 113
  215. %
    1. Parity 124
    2. Produc 77, 79, 111, 117, 118, 122, 124
    3. Snmesp 183
    4. Wages 159
  216. splm
    1. RiceFarms 73, 79, 86, 93, 96, 98, 101, 104, 133, 256, 258, 259, 264, 266, 268, 271, 274—276, 283
    2. riceww 256
  217. %
  218. Packages
  219. AER 211
  220. car 123, 124
  221. censReg 211
  222. dplyr 69, 241
  223. fiftystater 245
  224. foreign 8
  225. Formula 142, 167
  226. ggplot2 241, 245
  227. lmtest 101, 112, 123
  228. MASS 211, 218
  229. Matrix 17
  230. MaxLik 17
  231. msm 191
  232. nlme 17, 99
  233. pcse 123
  234. pder 31, 142, 148, 151, 159, 182—184, 215, 222, 241, 243, 244
  235. pglm 13, 73, 211, 218, 244
  236. plm 5, 13, 14, 16, 17, 31, 79, 95, 108, 109, 120, 159, 164, 171, 182, 183, 187, 212, 255
  237. sandwich 120
  238. spam 17
  239. spdep 247, 254
  240. splm 13, 268
  241. stargazer 50
  242. survival 222
  243. texreg 80, 153, 216
  244. truncreg 211
  245. Programming Language and Software
  246. C 17
  247. Emacs 13
  248. ESS 13
  249. FORTRAN 17
  250. Gretl 8
  251. knitr 12
  252. R 1, 3, 5—15, 17, 32, 118, 120, 164, 211, 245, 254
  253. RStudio 13
  254. S 14
  255. Sweave 12
  256. tikz xiv
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