Analysis of panel data

539 Pages·2022·5.741 MB·English

by  Cheng Hsiao

AnalysisofPanelData,FourthEdition
Nowinitsfourthedition,thiscomprehensiveintroductiontofundamentalpaneldatamethod-
ologies provides insights on what is most essential in panel literature. A capstone to the
40-yearcareerofapioneerofpaneldataanalysis,thisnewedition’sprimarycontributionwill
be the coverage of advancements in panel data analysis, a statistical method widely used to
analyzetwo-orhigher-dimensionalpaneldata.Thetopicsdiscussedinearlyeditionshavebeen
reorganized and streamlined to comprehensively introduce panel econometric methodologies
useful for identifying causal relationships among variables, supported by interdisciplinary
examples and case studies. This book, to be featured in Cambridge’s Econometric Society
Monographsseries,hasbeentheleaderinthefieldsincethefirstedition.Itisessentialreading
forresearchers,practitioners,andgraduatestudentsinterestedintheanalysisofmicroeconomic
behavior.
ChengHsiaoisProfessorofEconomicsattheUniversityofSouthernCalifornia.
Published online by Cambridge University Press
Published online by Cambridge University Press
EconometricSocietyMonographsSeries
Editors:
AndreaPrat,ColumbiaUniversity
Ste´phaneBonhomme,UniversityofChicago
The Econometric Society is an international society for the advancement of economic theory in relation to
statisticsandmathematics.TheEconometricSocietyMonographseriesisdesignedtopromotethepublication
of original research contributions of high quality in mathematical economics and theoretical and applied
econometrics.
BooksintheSeries
C.Hsiao,AnalysisofPanelData:4thedn,2022
D.M.Kreps,TheBlack–Scholes–MertonModelasanIdealizationofDiscrete-TimeEconomies,2019
W.Thomson,HowtoDivideWhenThereIsn’tEnough:FromAristotle,theTalmud,andMaimonidestothe
AxiomaticsofResourceAllocation,2019
O.Compte&A.Postlewaite,IgnoranceandUncertainty,2018
I.Molchanov&F.Molinari,RandomSetsinEconometrics,2018
B.Honore´,A.Pakes,M.Piazzesi,&L.Samuelson(eds.),AdvancesinEconomicsandEconometrics:Eleventh
WorldCongress,Vols.I&II,2017
S.Maurer,OntheShouldersofGiants:ColleaguesRememberSuzanneScotchmer’sContributionsto
Economics,2017
C.P.Chambers&F.Echenique,RevealedPreferenceTheory,2016
J.-F.Mertens,S.Sorins,&S.Samir,RepeatedGames,2015
C.Hsiao,AnalysisofPanelData:3rdedn,2014
C.Cameron&P.Trivedi,RegressionAnalysisofCountData,2ndedn,2013
A.Harvey,DynamicModelsforVolatilityandHeavyTails,withApplicationstoFinancialandEconomicTime
Series,2013
D.Acemoglu,M.Areilano,&E.Dekel(eds.),AdvancesinEconomicsandEconometrics:Theoryand
Applications,TenthWorldCongress,Vols.I,II,&III,2013
M.Fleurbaey&F.Maniquet,ATheoryofFairnessandSocialJustice,2011
R.Vohra,MechanismDesign:ALinearProgrammingApproach,2011
K.Samphantharak&R.Townsend,HouseholdsasCorporateFirms:AnAnalysisofHouseholdFinanceUsing
IntegratedHouseholdSurveysandCorporateFinancialAccounting,2009
I.Gilboa,TheoryofDecisionunderUncertainty,2009
F.Vega-Redondo,ComplexNetworks,2007
R.Blundell,W.Newey,&T.Persson,(eds.),AdvancesinEconomicsandEconometrics:Theoryand
Applications,NinthWorldCongress,Vols.I,II,&III,2006
J.Roemer,Democracy,Education,andEquality,2006
C.Blackorby,W.Bossert,&D.Donaldson,PopulationIssuesinSocialChoiceTheory,WelfareEconomicsand
Ethics,2005
R.Koenker,QuantileRegression,2005
C.Hsiao,AnalysisofPanelData,2nded.,2003
M.Dewatripont,L.P.Hausen,&S.J.Turnovsky(eds.),AdvancesinEconomicsandEconometrics:Theoryand
Applications,EighthWorldCongress,Vols.I,II,&III,2003
E.Ghysels,N.Swanson,&M.Watson(eds.),EssaysinEconometrics:CollectedPapersofCliveW.J.Granger,
Vols.I&II,2001
S.Strøm(ed.),EconometricsandEconomicTheoryinthe20thCentury:TheRagnarFrischCentennial
Symposium,1999
A.C.Cameron&P.K.Trivedi,RegressionAnalysisofCount-Data,1998
D.Jacobs,E.Kalai,&M.Kamien(eds.),FrontiersofResearchinEconomicTheory:TheNancyL.Schwartz
MemorialLectures,1998
D.M.Kreps&K.F.Wallis(eds.),AdvancesinEconomicsandEconometrics:TheoryandApplications,Seventh
WorldCongress,Vols.I,II,&III,1997
Continuedonpagefollowingtheindex
Published online by Cambridge University Press
Published online by Cambridge University Press
Analysis of Panel Data
Fourth Edition
Cheng Hsiao
UniversityofSouthernCalifornia
Published online by Cambridge University Press
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ItfurtherstheUniversity’smissionbydisseminatingknowledgeinthepursuitof
education,learning,andresearchatthehighestinternationallevelsofexcellence.
www.cambridge.org
Informationonthistitle:www.cambridge.org/9781316512104
DOI:10.1017/9781009057745
©ChengHsiao1986,2003,2014,2022
Thispublicationisincopyright.Subjecttostatutoryexception
andtotheprovisionsofrelevantcollectivelicensingagreements,
noreproductionofanypartmaytakeplacewithoutthewritten
permissionofCambridgeUniversityPress.
Firsteditionpublished1986
Secondedition2003
Thirdedition2014
Fourthedition2022
AcataloguerecordforthispublicationisavailablefromtheBritishLibrary.
ISBN978-1-316-51210-4Hardback
ISBN978-1-009-06075-2Paperback
CambridgeUniversityPresshasnoresponsibilityforthepersistenceoraccuracyof
URLsforexternalorthird-partyinternetwebsitesreferredtointhispublication
anddoesnotguaranteethatanycontentonsuchwebsitesis,orwillremain,
accurateorappropriate.
Published online by Cambridge University Press
To my parents,
Tseng Hsiao and Y. N. Shu Hsiao
and my family,
Amy Meiyun, Irene C., Allen C., Michael C. and Wendy C. Hsiao
Published online by Cambridge University Press
Published online by Cambridge University Press
Contents
ListofFigures pagexiii
ListofTables xv
PrefacetotheFourthEdition xviii
1 Introduction 1
1.1 Introduction 1
1.2 AdvantagesofPanelData 4
1.3 ChallengestoPanelDataAnalysis 8
1.4 OutlineoftheMonograph 12
2 LinearStaticModelswithAdditiveEffects 15
2.1 Introduction 15
2.2 Fixed-EffectsModels:Dummy-VariableApproach 18
2.3 Random-EffectsModels:Variance-ComponentsModels 22
2.4 FixedEffectsorRandomEffects 29
2.5 TestsforMisspecification 37
2.6 ModelswithTime-and/orIndividual-InvariantExplanatoryVariablesand
bothIndividual-andTime-SpecificEffects 38
2.7 AnalysisofCovarianceTestsforthePresenceofIndividual-or
Time-SpecificEffects 43
2.8 HeteroscedasticityandAutocorrelation 50
2.9 ModelswithArbitraryErrorStructure:Chamberlainπ-Approach 54
Appendix2A: ConsistencyandAsymptoticNormalityofthe
Minimum-DistanceEstimator 59
Appendix2B: CharacteristicVectorsandtheInverseofthe
Variance-CovarianceMatrixofaThree-ComponentModel 61
3 DynamicModelswithAdditiveSpecificEffects 63
3.1 Introduction 63
3.2 TheLeastSquaresandtheLeastSquaresDummyVariable(Covariance)
Estimator 64
3.3 MethodofMomentsEstimator 67
3.4 TheQuasi-LikelihoodApproachforRandom-EffectsModels 75
3.5 TheLikelihoodApproach-Fixed-EffectsModels 85
ix
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