© 1996

The Econometrics of Panel Data

A Handbook of the Theory with Applications

  • László Mátyás
  • Patrick Sevestre

Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 33)

Table of contents

  1. Front Matter
    Pages i-2
  2. Formulation and Estimation of Econometric Models for Panel Data

    1. Marc Nerlove, Pietro Balestra
      Pages 3-22
  3. Linear Models

    1. Front Matter
      Pages 23-23
    2. Pietro Balestra
      Pages 25-33
    3. László Mátyás
      Pages 50-76
    4. Hsiao Cheng
      Pages 77-99
    5. Patrick Sevestre, Alain Trognon
      Pages 100-119
    6. Patrick Sevestre, Alain Trognon
      Pages 120-144
    7. Hashem Pesaran, Ron Smith, Kyung So Im
      Pages 145-195
    8. Jayalakshmi Krishnakumar
      Pages 196-235
    9. Erik Biørn
      Pages 236-279
    10. Marno Verbeek
      Pages 280-292
    11. Badi H. Baltagi
      Pages 293-306
    12. G. S. Maddala, Wanhong Hu
      Pages 307-322
    13. Bruno Crépon, Jacques Mairesse
      Pages 323-395
  4. Nonlinear Models

    1. Front Matter
      Pages 397-397
    2. Christian Gourieroux
      Pages 399-409
    3. Cheng Hsiao
      Pages 410-428
    4. Cheng Hsiao
      Pages 429-448

About this book


The aim of this volume is to provide a general overview of the econometrics of panel data, both from a theoretical and from an applied viewpoint. Since the pioneering papers by Edwin Kuh (1959), Yair Mundlak (1961), Irving Hoch (1962), and Pietro Balestra and Marc Nerlove (1966), the pooling of cross sections and time series data has become an increasingly popular way of quantifying economic relationships. Each series provides information lacking in the other, so a combination of both leads to more accurate and reliable results than would be achievable by one type of series alone. Over the last 30 years much work has been done: investigation of the properties of the applied estimators and test statistics, analysis of dynamic models and the effects of eventual measurement errors, etc. These are just some of the problems addressed by this work. In addition, some specific diffi­ culties associated with the use of panel data, such as attrition, heterogeneity, selectivity bias, pseudo panels etc., have also been explored. The first objective of this book, which takes up Parts I and II, is to give as complete and up-to-date a presentation of these theoretical developments as possible. Part I is concerned with classical linear models and their extensions; Part II deals with nonlinear models and related issues: logit and pro bit models, latent variable models, duration and count data models, incomplete panels and selectivity bias, point processes, and simulation techniques.


count data econometrics panel data Simulation statistics time series

Editors and affiliations

  • László Mátyás
    • 1
  • Patrick Sevestre
    • 2
  1. 1.Monash University, Melbourne and Budapest University of EconomicsAustralia
  2. 2.ERUDITE, Université de Paris-Val-de-MarneFrance

Bibliographic information

  • Book Title The Econometrics of Panel Data
  • Book Subtitle A Handbook of the Theory with Applications
  • Editors László Mátyás
    Patrick Sevestre
  • Series Title Advanced Studies in Theoretical and Applied Econometrics
  • DOI
  • Copyright Information Springer Science+Business Media B.V. 1996
  • Publisher Name Springer, Dordrecht
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-0-7923-3787-4
  • Softcover ISBN 978-94-010-6548-1
  • eBook ISBN 978-94-009-0137-7
  • Series ISSN 1570-5811
  • Edition Number 2
  • Number of Pages , 948
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Econometrics
  • Buy this book on publisher's site
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