Modern Panel Data Econometrics: A Practical Approach Using STATA (Chapman and Hall/CRC Series on Statistics in Business and Economics)

This is a book about a 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 Quasi Experiment Method.These themes have emerged and are quickly getting popularity as panel data is more accessible and a sharp increase in both computing power and its efficiency. The author first lays out a solid foundation by presenting basic data handling and classic linear regression model.Some of the key topics such as Dynamic Panel Data, covers the most essential elements starting from endogeneity concept, AB Theorem, AB estimator and related key development and diagnostic.On Long Panel Data, issues like nonstationary, cointegration, slope heterogeneity and cross section dependence explored with the current literature for estimation.Panel VAR, another popular econometric method is studied with the implementation in panel data setting.Readers will learn about the rationa