EconometricanalysisLinearModelsforPanelData幻灯片.pptVIP

Applied Econometrics;Applied Econometrics;Panel Data Sets;Terms of Art;Panel Data;Nested Panel Data;Balanced and Unbalanced Panels;Benefits of Panel Data;Fixed and Random Effects;Convenient Notation;Application: Cornell and Rupert;Using First Differences;OLS with First Differences;Two Periods;Application of a Two Period Model;QOL Study;Regression-Treatment Effects Model;Effects and Covariates;First Differences Model;Dealing with Attrition;Estimation with Fixed Effects;Assumptions for the FE Model;Useful Analysis of Variance Notation;WHO Data;Baltagi and Griffin’s Gasoline Data;Analysis of Variance;Analysis of Variance;Estimating the Fixed Effects Model;Fixed Effects Estimator (cont.);The Within Transformation Removes the Effects;Least Squares Dummy Variable Estimator;Inference About OLS;Application Cornwell and Rupert;LSDV Results;The Effect of the Effects;The Random Effects Model;Error Components Model;Notation;Notation;Convergence of Moments;Random vs. Fixed Effects;Ordinary Least Squares;Estimating the Variance for OLS;Mechanics;Cornwell and Rupert Data;OLS Results;Alternative Variance Estimators;Generalized Least Squares;GLS (cont.);Estimators for the Variances;Feasible GLS;Practical Problems with FGLS;Computing Variance Estimators;Application;Testing for Effects: LM Test;Application: Cornwell-Rupert;Testing for Effects;Hausman Test for FE vs. RE;Hausman Test for Effects;Computing the Hausman Statistic;Hausman Test;Wu (Variable Addition) Test;Mundlak (Augmented) Regression;Wu TEst;Applied Econometrics;Applied Econometrics;Setting;Formulation;OLS and GLS;Estimation by FGLS;Inference About the Coefficient Vectors;Covariance Structures:;GLS Estimation of the SUR Model;Kronecker Products;GLS;The Identical X Case;Identical Regressors;GLS = OLS;Inference;Application;Translog;Restrictions;Data;Computation