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Panel Data Econometrics

Manuel Arellano

Published in print:
2003
Published Online:
July 2005
ISBN:
9780199245284
eISBN:
9780191602481
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0199245282.001.0001
Subject:
Economics and Finance, Econometrics

This book reviews some of the main topics in panel data econometrics. It analyses econometric models with non-exogenous explanatory variables, and the problem of distinguishing between dynamic ... More


Error Components

Manuel Arellano

in Panel Data Econometrics

Published in print:
2003
Published Online:
July 2005
ISBN:
9780199245284
eISBN:
9780191602481
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199245282.003.0003
Subject:
Economics and Finance, Econometrics

This chapter discusses the use of panel data to separate out permanent from transitory components of variation. It analyses models of variance decomposition and error-components regression, and ... More


Covariance Structures for Dynamic Error Components

Manuel Arellano

in Panel Data Econometrics

Published in print:
2003
Published Online:
July 2005
ISBN:
9780199245284
eISBN:
9780191602481
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199245282.003.0005
Subject:
Economics and Finance, Econometrics

This chapter analyses the time series properties of panel data sets, focusing on short panels. It discusses time effects and moving average covariances. It presents estimates of covariance structures ... More


Multi-equation models

Erik Biørn, Erik Biørn, Erik Biørn, and Erik Biørn

in Econometrics of Panel Data: Methods and Applications

Published in print:
2016
Published Online:
December 2016
ISBN:
9780198753445
eISBN:
9780191815072
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198753445.003.0012
Subject:
Economics and Finance, Econometrics

Two types of models are considered: systems of regression equations and interdependent models. For the former systems, equations with only individual-specific random intercepts and equations with ... More


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