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Complex Systems in Finance and Econometrics pp 215–237Cite as

Econometrics: Panel Data Methods

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Article Outline

Glossary

Definition of the Subject

Introduction

Overview of Linear Panel Data Models

Sequentially Exogenous Regressors and Dynamic Models

Unbalanced Panel Data Sets

Nonlinear Models

Future Directions

Bibliography

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Abbreviations

Panel data:

Data on a set of cross-sectional units followed over time.

Unobserved effects:

Unobserved variables that affect the outcome which are constant over time.

Fixed effects estimation:

An estimation method that removes the unobserved effects, implying that the unobserved effects can be arbitrarily related to the observed covariates.

Correlated random effects:

An approach to modeling where the dependence between the unobserved effects and the history of the covariates is parametrically modeled. The traditional random effects approach is a special case under the assumption that he unobserved effects are independent of the covariates.

Average partial effect:

The partial effect of a covariate averaged across the distribution of the unobserved effects.

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Author information

Authors and Affiliations

  1. Department of Economics, Michigan State University, East Lansing, USA

    Jeffrey M. Wooldridge

Authors
  1. Jeffrey M. Wooldridge
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Editor information

Editors and Affiliations

  1. RAMTECH LIMITED, 122 Escalle Lane, Larkspur, CA, 94939, USA

    Robert A. Meyers Ph. D. (Editor-in-Chief) (Editor-in-Chief)

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© 2009 Springer-Verlag

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Wooldridge, J.M. (2009). Econometrics: Panel Data Methods. In: Meyers, R. (eds) Complex Systems in Finance and Econometrics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7701-4_12

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  • DOI: https://doi.org/10.1007/978-1-4419-7701-4_12

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-1-4419-7700-7

  • Online ISBN: 978-1-4419-7701-4

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