Table Of Content

the oxford handbook of PA N E L DATA CONSULTING EDITORS MichaelSzenberg LubinSchoolofBusiness,PaceUniversity LallRamrattan UniversityofCalifornia,BerkeleyExtension the oxford handbook of ...................................................................................................... PANEL DATA ...................................................................................................... Editedby BADI H. BALTAGI 1 3 OxfordUniversityPressisadepartmentoftheUniversityof Oxford.ItfurtherstheUniversity’sobjectiveofexcellenceinresearch, scholarship,andeducationbypublishingworldwide. Oxford NewYork Auckland CapeTown DaresSalaam HongKong Karachi KualaLumpur Madrid Melbourne MexicoCity Nairobi NewDelhi Shanghai Taipei Toronto Withofficesin Argentina Austria Brazil Chile CzechRepublic France Greece Guatemala Hungary Italy Japan Poland Portugal Singapore SouthKorea Switzerland Thailand Turkey Ukraine Vietnam OxfordisaregisteredtrademarkofOxfordUniversityPress intheUKandincertainothercountries PublishedintheUnitedStatesofAmericaby OxfordUniversityPress 198MadisonAvenue,NewYork,NY10016, (cid:2)c OxfordUniversityPress2015 Allrightsreserved.Nopartofthispublicationmaybereproduced,storedin aretrievalsystem,ortransmitted,inanyformorbyanymeans,withouttheprior permissioninwritingofOxfordUniversityPress,orasexpresslypermittedbylaw, bylicense,orundertermsagreedwiththeappropriatereproductionrightsorganization. Inquiriesconcerningreproductionoutsidethescopeoftheaboveshouldbesenttothe RightsDepartment,OxfordUniversityPress,attheaddressabove. Youmustnotcirculatethisworkinanyotherform andyoumustimposethissameconditiononanyacquirer. LibraryofCongressCataloging-in-PublicationData TheOxfordhandbookofpaneldata/editedbyBadiH.Baltagi. pagescm Includesbibliographicalreferencesandindex. ISBN978–0–19–994004–2(alk.paper) 1. Panelanalysis. 2. Econometrics. I. Baltagi,BadiH.(BadiHani) H61.26.O942015 (cid:3) 330.015195—dc23 2014024763 1 3 5 7 9 8 6 4 2 PrintedintheUnitedStatesofAmerica onacid-freepaper Contents ........................... ListofContributors vii Introduction xi BadiH.Baltagi I PART PANELDATAMODELSANDMETHODS 1. LargePanelDataModelswithCross-SectionalDependence:A Survey 3 AlexanderChudikandM.HashemPesaran 2. PanelCointegration 46 InChoi 3. DynamicPanelDataModels 76 MauriceJ.G.BunandVasilisSarafidis 4. IncidentalParametersandDynamicPanelModeling 111 HyungsikRogerMoon,BenoitPerron,and PeterC.B.Phillips 5. UnbalancedPanelDataModelswithInteractiveEffects 149 JushanBai,YuanLiao,andJishengYang 6. PanelDataModelsforDiscreteChoice 171 WilliamGreene 7. PanelConditionalandMultinomialLogitEstimators 202 Myoung-JaeLee 8. CountPanelData 233 A.ColinCameronandPravinK.Trivedi 9. TreatmentEffectsandPanelData 257 MichaelLechner vi contents 10. NonparametricPanelDataRegressionModels 285 YiguoSun,YuYvetteZhang,andQiLi 11. MeasurementErrorinPanelData 325 ErikMeijer,LauraSpierdijk,andTomWansbeek 12. SpatialPanelDataModels 363 Lung-FeiLeeandJihaiYu 13. RandomCoefficientsModelsInPanels 402 ChengHsiao 14. RobustPanelDataMethodsandInfluentialObservations 418 BadiH.BaltagiandGeorgesBresson II PART PANELDATAAPPLICATIONS 15 TheAnalysisOfMacroeconomicPanelData 453 JörgBreitung 16. CohortDatainHealthEconomics 493 StephanieVonHinkeKesslerScholderandAndrewM.Jones 17. PanelDataAndProductivityMeasurement 517 RobinC.Sickles,JiaqiHaoandChenjunShang 18. PanelDataDiscreteChoiceModelsofConsumerDemand 548 MichaelP.Keane 19. PanelEconometricsofLaborMarketOutcomes 583 ThomasJ.KniesnerandJamesP.Ziliak 20. PanelDataGravityModelsofInternationalTrade 608 BadiH.Baltagi,PeterEgger,andMichaelPfaffermayr AuthorIndex 643 SubjectIndex 661 List of Contributors ............................................................. JushanBaiisaProfessorintheDepartmentofEconomicsatColumbiaUniversity. BadiH.BaltagiisDistinguishedProfessorintheDepartmentofEconomicsandSenior ResearchFellowintheCenterforPolicyResearchatSyracuseUniversity. JörgBreitungisProfessorintheDepartmentofEconomicsattheUniversityofBonn, Germany. GeorgesBressonisaProfessorintheDepartmentofEconomicsatUniversitéParisII, SorbonneUniversités,France. MauriceJ.G.Bunis AssociateProfessorintheFacultyofEconomicsandBusinessat AmsterdamSchool ofEconomicsofUniversityofAmsterdamandResearchFellowat theTinbergenInstitute,Netherlands. A. Colin Cameron is Professor in the Department of Economics at University of California,Davis. In Choi is Professor in the Department of Economics at Sogang University, South Korea. AlexanderChudikisSeniorResearchEconomistattheFederalReserveBankofDallas. PeterEggerisProfessorintheDepartmentofAppliedEconomicsattheSwissFederal InstituteofTechnology(ETH)Zurich,Switzerland. WilliamGreeneisRobertStanskyProfessorintheDepartmentofEconomicsatStern SchoolofBusiness,NewYorkUniversity. JiaqiHao,USCardDecisionSciencePartnership,CapitalOne StephanievonHinkeKesslerScholderisLecturerintheDepartmentofEconomicsand RelatedStudiesatUniversityofYork,UK. Cheng Hsiao is Professor in the Department of Economics at the University of SouthernCalifornia. AndrewM.JonesisProfessorintheDepartmentofEconomicsandRelatedStudiesat theUniversityofYork. Michael P.Keane is the NuffieldProfessorof Economics at the Universityof Oxford, UK. viii listofcontributors ThomasJ.KniesnerisKrisherProfessorofEconomicsintheMaxwellSchool ofCiti- zenshipandPublicAffairsandSeniorResearchAssociateatCenterforPolicyResearch atSyracuseUniversity.Also, UniversityProfessorofEconomics, ClaremontGraduate University. Michael Lechner is Professor of Econometrics in the Swiss Institute for Empirical EconomicResearch(SEW)atUniversityofSt.Gallen,Switzerland. Lung-feiLeeisProfessorintheDepartmentofEconomicsatOhioStateUniversity. Myoung-jaeLeeisProfessorintheDepartmentofEconomicsatKoreaUniversity. QiLiisHughRoyCullenProfessorinLiberalArtsintheDepartmentofEconomicsat TexasA&MUniversity. Yuan Liao is Assistant Professor in the Department of Mathematics at University of Maryland. Erik Meijer is Senior Economist at Center for Economic and Social Research at the University of Southern California and an Economist at the RAND Corporation. HyungsikRogerMoonis ProfessorintheDepartmentofEconomicsatUniversityof SouthernCaliforniaandatYonseiUniversity,SouthKorea. BenoitPerronisProfessorintheDepartmentofEconomicsatUniversityofMontreal, Canada. M.HashemPesaranisJohnElliottChairinEconomicsandProfessorofEconomicsat UniversityofSouthernCalifornia. Michael Pfaffermayr is Professorinthe Departmentof EconomicTheory, Economic PolicyandEconomicHistoryatUniversityofInnsbruck. Peter C. B. Phillips is Sterling Professor of Economics and Professor of Statistics at CowlesFoundationforResearchinEconomicsatYaleUniversity. VasilisSarafidisisProfessorintheDepartmentofEconometrics&BusinessStatistics atMonashUniversity,Australia. ChenjunShangisaPhDstudentintheDepartmentofEconomicsatRiceUniversity. Robin C. Sickles is Reginald Henry Hargrove Chair of Economics, Department of EconomicsatRiceUniversity. LauraSpierdijkisProfessorintheFacultyofEconomicsandBusinessatUniversityof Groningen,Netherlands. Yiguo Sun is Professor in the Department of Economics at University of Guelph, Canada. listofcontributors ix Pravin K. Trivedi is Professor in the School of Economics at QueenslandUniversity, Australia. TomWansbeekisProfessorintheFacultyofEconomicsandBusinessattheUniversity ofGroningen,Netherlands. Jisheng Yang is a faculty member of the School of Economics at the Huazhong UniversityofScienceandTechnology,China. Jihai Yu is Associate Professor in the Guanghua School of Management at Peking University,China. Yu Yvette Zhang is Visiting Assistant Professor in the Department of Agricultural EconomicsatTexasA&MUniversity. JamesP.ZiliakisCarolMartinGattonChairinMicroeconomicsatUniversityofKen- tuckyandFoundingDirectorofUniversityofKentuckyCenterforPovertyResearch.