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Author: Badi H. Baltagi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985-1998.
Author: Badi H. Baltagi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985-1998.
Author: Michael Beenstock
Publisher: Springer
ISBN: 3030036146
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial nonstationarity in spatial cross-section data, and a full exposition of non-stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.
Author: Lezheng Liu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this paper we test the convergence hypothesis by using a revised 4-step procedure of panel unit root test suggested by Evans and Karras (1996). We use data on output for 24 OECD countries over 40 years long. Whether the convergence, if any, is conditional or absolute is also examined. According to a proposition by Baltagi, Bresson, and Pirotte (2005), we incorporate spatial autoregressive error into a fixed-effect panel model to account for not only the heterogeneous panel structure, but also spatial dependence, which might induce lower statistical power of conventional panel unit root test. Our empirical results indicate that output is converging among OECD countries. However, convergence is characterized as conditional. The results also report a relatively lower convergence speed compared to conventional panel studies.
Author: Badi H. Baltagi
Publisher: Springer Nature
ISBN: 3030539539
Category : Business & Economics
Languages : en
Pages : 436
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Book Description
This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly." Professor Kajal Lahiri, State University of New York, Albany, USA. "This book is the most comprehensive work available on panel data. It is written by one of the leading contributors to the field, and is notable for its encyclopaedic coverage and its clarity of exposition. It is useful to theorists and to people doing applied work using panel data. It is valuable as a text for a course in panel data, as a supplementary text for more general courses in econometrics, and as a reference." Professor Peter Schmidt, Michigan State University, USA. “Panel data econometrics is in its ascendancy, combining the power of cross section averaging with all the subtleties of temporal and spatial dependence. Badi Baltagi provides a remarkable roadmap of this fascinating interface of econometric method, enticing the novitiate with technical gentleness, the expert with comprehensive coverage and the practitioner with many empirical applications.” Professor Peter C. B. Phillips, Cowles Foundation, Yale University, USA.
Author: Badi Baltagi
Publisher: John Wiley & Sons
ISBN: 0470518863
Category : Business & Economics
Languages : en
Pages : 239
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Book Description
Written by one of the world's leading researchers and writers in the field, Econometric Analysis of Panel Data has become established as the leading textbook for postgraduate courses in panel data. This new edition reflects the rapid developments in the field covering the vast research that has been conducted on panel data since its initial publication. Featuring the most recent empirical examples from panel data literature, data sets are also provided as well as the programs to implement the estimation and testing procedures described in the book. These programs will be made available via an accompanying website which will also contain solutions to end of chapter exercises that will appear in the book. The text has 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.
Author: Michael Beenstock
Publisher:
ISBN: 9783030036157
Category : Electronic books
Languages : en
Pages : 275
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Book Description
This monograph deals with spatially dependent non-stationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial non-stationarity in spatial cross-section data, and a full exposition of non stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time critical values for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel. .
Author: Lászlo Mátyás
Publisher: Springer Science & Business Media
ISBN: 3540758925
Category : Business & Economics
Languages : en
Pages : 966
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Book Description
This restructured, updated Third Edition provides a general overview of the econometrics of panel data, from both theoretical and applied viewpoints. Readers discover how econometric tools are used to study organizational and household behaviors as well as other macroeconomic phenomena such as economic growth. The book contains sixteen entirely new chapters; all other chapters have been revised to account for recent developments. With contributions from well known specialists in the field, this handbook is a standard reference for all those involved in the use of panel data in econometrics.
Author: J. Paul Elhorst
Publisher: Springer Science & Business Media
ISBN: 3642403409
Category : Business & Economics
Languages : en
Pages : 125
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Book Description
This book provides an overview of three generations of spatial econometric models: models based on cross-sectional data, static models based on spatial panels and dynamic spatial panel data models. The book not only presents different model specifications and their corresponding estimators, but also critically discusses the purposes for which these models can be used and how their results should be interpreted.
Author: Norbert Schanne
Publisher: wbv Media GmbH & Company KG
ISBN: 3763940960
Category : Law
Languages : en
Pages : 209
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Book Description
Warum sollen Regionen innerhalb eines Landes unabhängige Inseln sein? Und warum sollen, über das gesamte Land hinweg, einheitlich starke ökonomische oder soziale Wirkungszusammenhänge bestehen? Diese zwei Annahmen werden in der angewandten empirischen Wirtschafts- und Sozialforschung üblicherweise implizit unterstellt. Wie in statistischen Verfahren von dieser unrealistischen Modellstruktur unter Ausnutzung der räumlichen Strukturen in beobachteten Variablen und unterstellten Zusammenhängen abgewichen werden kann, diskutiert Norbert Schanne im vorliegenden Band. Möglichkeiten, unser Verständnis der Ökonomie zu vertiefen, werden ebenso verdeutlicht, wie Chancen und Tücken beim Einsatz der Methoden in Studien zu verschiedenen Aspekten der Arbeitsmarktdynamik.
Author: Timo Mitze
Publisher: Springer Science & Business Media
ISBN: 3642229018
Category : Business & Economics
Languages : en
Pages : 345
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Book Description
Economic agents interact in structural relationships through time and space. This work starts from the empirical observation that all three dimensions, namely time, space, and structural functional forms, are important for an integrative framework of modern empirical analysis in regional science. The work thus aims at combining up-to-date econometric tools from the fields of spatial econometrics, panel time-series analysis and structural simultaneous equation modelling to analysis the different research questions at hand. Most of the topics dealt within this work start from a concrete empirical problem, while problem solving also aims at generating some new knowledge in a methodological way, e.g. by the complementary use of Monte Carlo simulation studies to compare the empirical performance of different estimators for specific data samples. Following a first introductory chapter, the work is structured in three parts addressing major issues in building up a stylized regional economic model such as interregional migration, factor and final demand estimation. All empirical applications use German regional data.
