The Econometrics of Panel Data

Overview of the econometrics of panel data from theoretical and applied viewpoints. Topics covered include analysis of dynamic models, the effects of eventual measurement errors, as well as specific panel data difficulties such as attrition, heterogeneity, and selectivity bias.

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This volume provides a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Kuh (1959), Mundlak (1961), Hoch (1962) and Balestra and Nerlove (1966), the pooling of cross-section and time-series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years, much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific difficulties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc, have also been explored. The first objective of this book, which takes up parts 1 and 2, is to give as complete and up-to-date a presentation of the theoretical developments as possible.
Part 1 is concerned with classical linear models and their extensions; part 2 deals with nonlinear models and related issues: logit and probit models, latent variable models, incomplete panels and selectivity bias, and point processes. The second objective is to provide insights into the use of panel data in empirical studies. Since the beginning, interest in panel data has been empirically based, and over time has become increasingly important in applied economic studies. This is demonstrated by growing numbers of conferences and special issues of economic journals devoted to the subject. Part 2 deals with studies in several major fields of applied economics, such as labour and investment demand, labour supply, consumption, transitions on the labour market, and finance. The double emphasis of this book (theoretical and applied), together with the fact that all the chapters have been written by well-known specialists in the field, ensure that it should become a standard textbook for all those who are concerned with the use of panel data in econometrics whether they are advanced students, professional economists or researchers.