This is a book about modern treatment of panel data econometrics. It focuses on the most recent advances in panel econometrics with dynamic panel data, long panel data, panel VAR, stochastic frontier model, and the quasi-experiment method. These themes have emerged and are quickly gaining popularity as panel data is more accessible and there has been a sharp increase in both computing power and its efficiency.
The authors first lay out a solid foundation by presenting basic data handling and the classic linear regression model. Some of the key topics, such as dynamic panel data, cover the most essential elements starting from the endogeneity concept, AB theorem, AB estimator, and related key development and diagnostics. On Long Panel Data, issues such as nonstationary, cointegration, slope heterogeneity, and cross-section dependence are explored with the current literature for estimation. Panel VAR, another popular econometric method, is examined as it has been implemented in a panel data setting. Readers will learn about the rationale and reasoning of various econometric principles in a narrative manner with sufficient mathematical–statistical terminology. This allows for the contemporary themes in econometrics to be learnt in a user-friendly manner. The book strongly emphasizes the practical application of various methods with actual data, using a leading statistical software (STATA). The methods and corresponding syntaxes explored in this book help the reader to develop a good understanding of a software that is point-and-click and programmable.
This book would appeal to students taking higher education econometrics courses. Practitioners can also use this book as a companion to answer “how-to questions” in doing econometrics work with STATA.