Abstract
The advantages and fundamental methodological issues of statistical inference using data sets that contain time series observations of a number of individuals are discussed.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Bibliography
Ahn, S.C., and P. Schmidt. 1995. Efficient estimation of models for dynamic panel data. Journal of Econometrics 68: 5–27.
Anderson, T.W., and C. Hsiao. 1981. Estimation of dynamic models with error components. Journal of the American Statistical Association 76: 598–606.
Anderson, T.W., and C. Hsiao. 1982. Formulation and estimation of dynamic models using panel data. Journal of Econometrics 18: 47–82.
Anselin, L. 1988. Spatial econometrics: Methods and models. Boston: Kluwer.
Anselin, L., and D.A. Griffith. 1988. Do spatial effects really matter in regression analysis? Papers of the Regional Science Association 65: 11–34.
Anselin, L., J. Le Gallo, and H. Jayet. 2006. Spatial panel econometrics. In The econometrics of panel data: Fundamentals and recent developments in theory and practice, 3rd ed., ed. L. Matyas and P. Sevestre. Dordrecht: Kluwer.
Arellano, M. 2001. Discrete choice with panel data. Working paper no. 0101. Madrid: CEMFI.
Arellano, M. 2003. Panel data econometrics. Oxford: Oxford University Press
Arellano, M., and S.R. Bond. 1991. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies 58: 277–297.
Arellano, M., and O. Bover. 1995. Another look at the instrumental variable estimation of error-components models. Journal of Econometrics 68: 29–51.
Bai, J., and S. Ng. 2002. Determining the number of factors in approximate factor models. Econometrica 70: 91–121.
Balestra, P., and M. Nerlove. 1966. Pooling cross-section and time series data in the estimation of a dynamic model: The demand for natural gas. Econometrica 34: 585–612.
Baltagi, B.H. 2001. Econometric analysis of panel data. 2nd ed. New York: Wiley.
Baltagi, B.H., and C. Kao. 2000. Nonstationary panels, cointegration in panels and dynamic panel: A survey. In Nonstationary panels panel cointegration, and dynamic panels, ed. B. Baltagi. Amsterdam: JAI Press.
Ben-Porath, Y. 1973. Labor force participation rates and the supply of labor. Journal of Political Economy 81: 697–704.
Bhargava, A., and J.D. Sargan. 1983. Estimating dynamic random effects models from panel data covering short time periods. Econometrica 51: 1635–1659.
Binder, M., C. Hsiao, and M.H. Pesaran. 2005. Estimation and inference in short panel vector autoregressions with unit roots and cointegration. Econometric Theory 21: 795–837.
Breitung, J., and M.H. Pesaran. 2006. Unit roots and cointegration in panels. In The econometrics of panel data: Fundamentals and recent developments in theory and practice, 3rd ed., ed. L. Matyas and P. Sevestre. Dordrecht: Kluwer.
Butler, J.S., and R. Moffitt. 1982. A computationally efficient quadrature procedure for the one factor multinomial probit model. Econometrica 50: 761–764.
Carro, J.M. 2006. Estimating dynamic panel data discrete choice models with fixed effects. Journal of Econometrics (forthcoming).
Chamberlain, G. 1980. Analysis of covariance with qualitative data. Review of Economic Studies 47: 225–238.
Chamberlain, G. 1984. Panel data. In Handbook of econometrics, ed. Z. Griliches and M. Intriligato, Vol. 2. Amsterdam: North-Holland.
Chamberlain, G. 1993. Feedback in panel data models. Mimeo: Department of Economics, Harvard University.
Chang, Y. 2002. Nonlinear IV unit root tests in panels with cross-sectional dependency. Journal of Econometrics 110: 261–292.
Choi, I. 2001. Unit root tests for panel data. Journal of International Money and Finance 20: 249–272.
Choi, I. 2006. Nonstationary panels. In Palgrave handbooks of econometrics, vol. 1. T.C. Mills and K.D. Patterson. Basingstoke: Palgrave Macmillan.
Cox, D.R., and N. Reid. 1987. Parameter orthogonality and approximate conditional inference. Journal of the Royal Statistical Society, B 49: 1–39.
Dickey, D.A., and W.A. Fuller. 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74: 427–431.
Granger, C.W.J. 1990. Aggregation of time-series variables: A survey. In Disaggregation in econometric modeling, ed. T. Barker and M.H. Pesaran. London: Routledge.
Griliches, Z. 1967. Distributed lags: A survey. Econometrica 35: 16–49.
Griliches, Z., and J.A. Hausman. 1986. Errors-in-variables in panel data. Journal of Econometrics 31: 93–118.
Hausman, J.A. 1978. Specification tests in econometrics. Econometrica 46: 1251–1271.
Heckman, J.J. 1981. Statistical models for discrete panel data. In Structural analysis of discrete data with econometric applications, ed. C.F. Manski and D. McFadden. Cambridge: MIT Press.
Honoré, B. 1992. Trimmed LAD and least squares estimation of truncated and censored regression models with fixed effects. Econometrica 60: 533–567.
Honoré, B., and E. Kyriazidou. 2000. Panel data discrete choice models with lagged dependent variables. Econometrica 68: 839–874.
Horowitz, J.L. 1992. A smoothed maximum score estimator for the binary response model. Econometrica 60: 505–531.
Hsiao, C. 1996. Random coefficient models. In The econometrics of panel data, 2nd ed., ed. L. Matyas and P. Sevestre. Dordrecht: Kluwer.
Hsiao, C. 2003. Analysis of panel data. 2nd ed. Cambridge: Cambridge University Press.
Hsiao, C., and M.H. Pesaran. 2006. Random coefficients models. In The econometrics of panel data: Fundamentals and recent developments in theory and practice, 3rd ed., ed. L. Matyas and P. Sevestre. Dordrecht: Kluwer.
Hsiao, C., M.H. Pesaran, and A.K. Tahmiscioglu. 2002. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods. Journal of Econometrics 109: 107–150.
Hsiao, C., Y. Shen, and H. Fujiki. 2005b. Aggregate vs disaggregate data analysis – A paradox in the estimation of money demand function of Japan under the low interest rate policy. Journal of Applied Econometrics 20: 579–601.
Hsiao, C., Y. Shen, B. Wang, and G. Weeks. 2005a. Evaluating the effectiveness of Washington State repeated job search services on the employment rate of prime-age female welfare recipients. Mimeo: University of Southern California.
Hsiao, C., and A.K. Tahmiscioglu. 2005. Estimation of dynamic panel data models with both individual and time specific effects. Mimeo.
Im, K., M.H. Pesaran, and Y. Shin. 2003. Testing for unit roots in heterogeneous panels. Journal of Econometrics 115: 53–74.
Kao, C. 1999. Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics 90: 1–44.
Kyriazidou, E. 1997. Estimation of a panel data sample selection model. Econometrica 65: 1335–1364.
Lee, M.J. 1999. A root-N-consistent semiparametric estimator for related effects binary response panel data. Econometrica 67: 427–433.
Levin, A., C. Lin, and J. Chu. 2002. Unit root tests in panel data: Asymptotic and finite sample properties. Journal of Econometrics 108: 21–24.
Lewbel, A. 1994. Aggregation and simple dynamics. American Economic Review 84: 905–918.
MaCurdy, T.E. 1981. An empirical model of labor supply in a life cycle setting. Journal of Political Economy 89: 1059–1085.
Manski, C.F. 1987. Semiparametric analysis of random effects linear models from binary panel data. Econometrica 55: 357–362.
Moon, H.R., and B. Perron. 2004. Testing for a unit root in panels with dynamic factors. Journal of Econometrics 122: 81–126.
Neyman, J., and E.L. Scott. 1948. Consistent estimates based on partially consistent observations. Econometrica 16: 1–32.
Nickell, S. 1981. Biases in dynamic models with fixed effects. Econometrica 49: 1399–1416.
Pakes, A., and Z. Griliches. 1984. Estimating distributed lags in short panels with an application to the specification of depreciation patterns and capital stock constructs. Review of Economic Studies 51: 243–262.
Pesaran, M.H. 2005. A simple panel unit root test in the presence of cross-section dependence. DAE working paper no. 0346, Cambridge University.
Pesaran, M.H. 2006. Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74: 967–1012.
Phillips, P.C. 1986. Understanding spurious regressions in econometrics. Journal of Econometrics 33: 311–340.
Phillips, P.C., and H.R. Moon. 1999. Linear regression limit theory for nonstationary panel data. Econometrica 67: 1057–1111.
Rao, C.R. 1973. Linear statistical inference and its applications. 2nd ed. NewYork: Wiley.
Wansbeek, T.J., and R.H. Koning. 1989. Measurement error and panel data. Statistica Neerlandica 45: 85–92.
Zilak, J.P. 1997. Efficient estimation with panel data when instruments are predetermined: An empirical comparison of moment-condition estimators. Journal of Business and Economic Statistics 15: 419–431.
Acknowledgment
I would like to thank Steven Durlauf for helpful comments.
Author information
Authors and Affiliations
Editor information
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
Hsiao, C. (2018). Longitudinal Data Analysis. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2491
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_2491
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences