Panel Data Econometrics

In the memorable words of Ragnar Frisch, econometrics is ‘a unification of the theoretical–quantitative and the empirical–quantitative approach to economic problems’. Beginning to take shape in the 1930s and 1940s, econometrics is now recognized as a vital subdiscipline supported by a vast—and still rapidly growing—body of literature. Following the positive reception of The Rise of Econometrics (2013) (978-0-415-61678-2), Routledge now announces a new collection in its Critical Concepts in Economics series. Edited by the author of the field’s leading textbook, Panel Data Econometrics brings together in one ‘mini library’ the best and most influential scholarship. This four-volume set provides an authoritative, one-stop resource to enable users to understand the econometrics of panel data, from both theoretical and applied viewpoints. With a full index and comprehensive introductions to each volume, newly written by the editor, the collection also provides a synoptic view of many current key debates and issues.

Table of Contents:
Volume I Part 1: Dynamic Panels 1. J. Alvarez and M. Arellano, ‘The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators’, Econometrica, 2003, 71, 1121–59. 2. A. F. Galvao, Jr., ‘Quantile Regression for Dynamic Panel Data with Fixed Effects’, Journal of Econometrics, 2011, 164, 142–57. 3. J. Hahn, J. Hausman, and G. Kuersteiner, ‘Long Difference Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects’, Journal of Econometrics, 2007, 140, 574–617. 4. J. Hahn and G. Kuersteiner, ‘Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T are Large’, Econometrica, 2002, 70, 1639–57. Part 2: Non-Stationary Panels: Unit Roots, Co-Integration, and Factor Models 5. J. Bai, ‘Panel Data Models with Interactive Fixed Effects’, Econometrica, 2009, 77, 1229–79. 6. J. Bai, ‘Common Breaks in Means and Variances for Panel Data’, Journal of Econometrics, 2010, 157, 78–92. 7. J. Bai and J. L. Carrion-i-Silverstre, ‘Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data’, Review of Economic Studies, 2009, 76, 471–501. 8. J. Bai and S. Ng, ‘A PANIC Attack on Unit Roots and Cointegration’, Econometrica, 2004, 72, 1127–77. 9. B. H. Baltagi, G. Bresson, and A. Pirotte, ‘Panel Unit Root Tests and Spatial Dependence’, Journal of Applied Econometrics, 2007, 22, 339–60. 10. M. Binder, C. Hsiao, and M. H. Pesaran, ‘Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration’, Econometric Theory, 2005, 21, 795–837. 11. J. Breitung, ‘A Parametric Approach to the Estimation of Cointegration Vectors in Panel Data’, Econometric Reviews, 2005, 24, 151–73. 12. J. J. J. Groen and F. Kleibergen, ‘Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models’, Journal of Business and Economic Statistics, 2003, 21, 295–318. 13. K. S. Im, M. H. Pesaran, and Y. Shin, ‘Testing for Unit Roots in Heterogeneous Panels’, Journal of Econometrics, 2003, 115, 53–74. Volume II 14. G. Kapetanios, M. H. Pesaran, and T. Yamagata, ‘Panels with Non-Stationary Multifactor Error Structures’, Journal of Econometrics, 2011, 160, 326–48. 15. R. Larsson and J. Lyhagen, ‘Inference in Panel Cointegration Models with Long Panels’, Journal of Business and Economic Statistics, 2007, 25, 473–83. 16. A. Levin, C. F. Lin, and C. Chu, ‘Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties’, Journal of Econometrics, 2002, 108, 1–24. 17. N. C. Mark, M. Ogaki, and D. Sul, ‘Dynamic Seemingly Unrelated Cointegrating Regression’, Review of Economic Studies, 2005, 72, 797–820. 18. H. R. Moon and B. Perron, ‘Testing for Unit Root in Panels with Dynamic Factors’, Journal of Econometrics, 2004, 122, 81–126. 19. H. R. Moon and P. C. B. Phillips, ‘GMM Estimation of Autoregressive Roots Near Unity with Panel Data’, Econometrica, 2004, 72, 467–522. 20. M. H. Pesaran, ‘Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure’, Econometrica, 2006, 74, 967–1012. 21. M. H. Pesaran, ‘A Simple Panel Unit Root Test in the Presence of Cross Section Dependence’, Journal of Applied Econometrics, 2007, 27, 265–312. 22. P. C. B. Phillips and D. Sul, ‘Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence’, Econometrics Journal, 2003, 6, 217–59. Part 3: Pseudo-panels and Repeated Cross-sections 23. A. Inoue, ‘Efficient Estimation and Inference in Linear Pseudo-Panel Data Models’, Journal of Econometrics, 2008, 142, 449–66. 24. D. J. McKenzie, ‘Asymptotic Theory for Heterogeneous Dynamic Pseudo-Panels’, Journal of Econometrics, 2004, 120, 235–62. 25. M. Verbeek and F. Vella, ‘Estimating Dynamic Models from Repeated Cross-Sections’, Journal of Econometrics, 2005, 127, 83–102. Volume III Part 4: Spatial Panels and Cross-sectional Dependence in Panels 26. B. H. Baltagi, P. Egger, and M. Pfaffermayr, ‘A Generalized Spatial Panel Data Model with Random Effects’, Econometric Reviews, 2013, 32, 650–85. 27. B. H. Baltagi, Q. Feng, and C. Kao, ‘A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model’, Journal of Econometrics, 2012, 170, 164–77. 28. B. H. Baltagi, S. H. Song, and W. Koh, ‘Testing Panel Data Regression Models with Spatial Error Correlation’, Journal of Econometrics, 2003, 117, 123–50. 29. M. Kapoor, H. H. Kelejian, and I. R. Prucha, ‘Panel Data Models with Spatially Correlated Error Components’, Journal of Econometrics, 2007, 140, 97–130. 30. L. F. Lee and J. Yu., ‘Estimation of Spatial Autoregressive Panel Data Models with Fixed Effects’, Journal of Econometrics, 2010, 154, 165–85. 31. J. Mutl and M. Pfaffermayr, ‘The Hausman Test in a Cliff and Ord Panel Model’, Econometrics Journal, 2011, 14, 48–76. 32. M. H. Pesaran and E. Tosetti, ‘Large Panels with Common Factors and Spatial Correlation’, Journal of Econometrics, 2011, 161, 182–202. 33. V. Sarafidis, T. Yamagata, and D. Robertson, ‘A Test of Cross Section Dependence for a Linear Dynamic Panel Model with Regressors’, Journal of Econometrics, 2009, 148, 149–61. Part 5: Nonlinear Panel Data Models 34. J. G. Altonji and R. L. Matzkin, ‘Section and Panel Data Estimators for Nonseparable Models With Endogenous Regressors’, Econometrica, 2005, 73, 1053–102. 35. M. Arellano and S. Bonhomme, ‘Identifying Distributional Characteristics in Random Coefficients Panel Data Models’, Review of Economic Studies, 2012, 79, 3, 987–1020. 36. M. Arellano and R. Carrasco, ‘Binary Choice Panel Data Models with Predetermined Variables’, Journal of Econometrics, 2003, 115, 125–57. 37. C. A. Bester and C. Hansen, ‘A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects’, Journal of Business and Economic Statistics, 2009, 27, 131–48. 38. J. M. Carro, ‘Estimating Dynamic Panel Data Discrete Choice Models with Fixed Effects’, Journal of Econometrics, 2007, 140, 503–28. Volume IV 39. V. Chernozhukov, I. Fernández-Val, J. Hahn, and W. Newey, ‘Average and Quantile Effects in Nonseparable Panel Models’, Econometrica, 2013, 81, 535–80. 40. I. Fernandez-Val, ‘Fixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models’, Journal of Econometrics, 2009, 150, 71–85. 41. I. Fernandez-Val and F. Vella, ‘Bias Corrections for Two-Step Fixed Effects Panel Data Estimators’, Journal of Econometrics, 163, 144–62. 42. A. Frederiksen, B. E. Honoré, and L. Hu, ‘Discrete Time Duration Models with Group-Level Heterogeneity’, Journal of Econometrics, 2007, 141, 1014–43. 43. B. W. Graham and J. L. Powell, ‘Identification and Estimation of Average Partial Effects in ‘Irregular’ Correlated Random Coefficient Panel Data Models’, Econometrica, 2012, 80, 2105–52. 44. J. Hahn and W. Newey, ‘Jackknife and Analytical Bias Reduction for Nonlinear Panel Models’, Econometrica, 2004, 72, 1295–319. 45. S. Hoderlein and H. White, ‘Nonparametric Identification in Nonseparable Panel Data Models with Generalized Fixed Effects’, Journal of Econometrics, 2012, 168, 300–14. 46. B. E. Honoré and A. Lewbel, ‘Semiparametric Binary Choice Panel Data Models Without Strictly Exogenous Regressors’, Econometrica, 2002, 70, 2053–63. 47. B. E. Honoré and E. Tamer, ‘Bounds on Parameters in Panel Dynamic Discrete Choice Models’, Econometrica, 2006, 74, 611–29. 48. L. Hu, ‘Estimation of a Censored Dynamic Panel Data Model with an Application to Earnings Dynamics’, Econometrica, 2002, 70, 2499–517. 49. I. Murtazashvili and J. M. Wooldridge, ‘Fixed Effects Instrumental Variables Estimation in Correlated Random Coefficient Panel Data Models’, Journal of Econometrics, 2008, 142, 539–52. 50. C. Nicoletti, ‘Nonresponse in Dynamic Panel Data Models’, Journal of Econometrics, 2006, 132, 461–89. 51. A. Semykina and J. M. Wooldridge, ‘Estimating Panel Data Models in the Presence of Endogeneity and Selection’, Journal of Econometrics, 2010, 157, 375–80. 52. J. M. Wooldridge, ‘Simple Solutions to the Initial Conditions Problem in Dynamic, Nonlinear Panel Data Models with Unobserved Heterogeneity’, Journal of Applied Econometrics 20, 39–54. 53. J. M. Wooldridge, ‘Fixed-Effects and Related Estimators for Correlated Random-Coefficient and Treatment-Effect Panel Data Models’, Review of Economics and Statistics, 2005, 87, 385–90. Part 6: Further Reading 54. B. H. Baltagi, ‘Forecasting with Panel Data’, Journal of Forecasting, 2008, 27, 153–73. 55. M. C. Bramati and C. Croux, ‘Robust Estimators for the Fixed Effects Panel Data Model’, Econometrics Journal, 2007, 10, 521–40. 56. C. Lamarche, ‘Robust Penalized Quantile Regression Estimation for Panel Data’, Journal of Econometrics, 2010, 157, 396–408.