Baltagi B.H. Econometric Analysis of Panel Data

Wiley, 2005. — 316 p. — ISBN: 0470014563, 9780470014561.This new edition of this established textbook reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. The book is packed with the most recent empirical examples from panel data literature, for example, a simultaneous equation on Crime will be added to chapter 7, which will be illustrated with STATA. Data sets will be provided as well as the programs to implement the estimation and testing procedures described in the book on the web site. Additional exercises will be added to each chapter and their solutions will be provided on the web site.The text has also been fully updated with new material on dynamic panel data models and recent results on non-linear panel models and in particular work on limited dependent variables panel data models.Other notable features of this third edition:
The chapter on nonstationary panels has been completely rewritten and updated to include the recent unit root panel tests with cross-section dependence, and an empirical application is given on purchasing power parity, which is illustrated using Eviews.
An empirical example on nursing labor supply has been added, illustrating limited dependent variables methods with panel data.
Additional exercises have been added to each chapter and their solutions will be provided on the website. TSP, EViews and Stata output examples are given throughout the book.
A simultaneous equation on crime has been added and is illustrated with Stata.
Material on heteroske4dasticity in panels is completely revised and updated with recent estimation and testing results.