The Econometrics of Multi-dimensional Panels: Theory and Applications
In: Advanced Studies in Theoretical and Applied Econometrics v.50
Foreword -- Preface -- Acknowledgments -- Contents -- List of Contributors -- Chapter 1 Fixed Effects Models -- 1.1 Introduction -- 1.2 Models with Different Types of Heterogeneity -- 1.3 Least Squares Estimation of the Models -- 1.4 Incomplete Panels -- 1.5 The Within Estimator -- 1.5.1 The Equivalence of the LSDV and the Within Estimator -- 1.5.2 Incomplete Panels and the Within Estimator -- 1.5.2.1 No Self-flow Data -- 1.5.2.2 General Incompleteness -- 1.6 Heteroscedasticity and Cross-correlation -- 1.6.1 The New Covariance Matrices and the GLS Estimator -- 1.6.2 Estimation of the Variance Components and the Cross Correlations -- 1.7 Extensions to Higher Dimensions -- 1.7.1 Different Forms of Heterogeneity -- 1.7.2 Least Squares and the Within Estimators -- 1.7.3 Incomplete Panels -- 1.8 Varying Coefficients Models -- References -- Chapter 2 Random Effects Models -- 2.1 Introduction -- 2.2 Different Model Specifications -- 2.2.1 Various Heterogeneity Formulations -- 2.2.2 Spectral Decomposition of the Covariance Matrices -- 2.3 FGLS Estimation -- 2.4 Unbalanced Data -- 2.4.1 Structure of the Covariance Matrices -- 2.4.2 The Inverse of the Covariance Matrices -- 2.4.3 Estimation of the Variance Components -- 2.5 Extensions -- 2.5.1 4D and Beyond -- 2.5.2 Mixed FE-RE Models -- 2.6 Testing -- 2.7 Conclusion -- References -- Appendix 1 -- Example for normalizing with 1: Model (2.14), T →∞ -- Example for normalizing with √N1N2/A: Model (2.2), N1,N2 →∞ -- Appendix 2: Proof of formula (2.19) -- Appendix 3: Inverse of (2.34), and the estimation of the variance components -- Chapter 3 Models with Endogenous Regressors -- 3.1 Introduction -- 3.2 The Hausman-Taylor-like Instrument Variable Estimator -- 3.2.1 A Simple Approach -- 3.2.2 Sources of Endogeneity -- 3.2.3 The Hausman-Taylor Estimator
