Читать книгу Large-Dimensional Panel Data Econometrics - Chihwa Kao - Страница 7

Preface

About the Authors

1.Introduction

2.Tests for Cross-Sectional Dependence in Fixed Effects Panel Data Models

2.1LM Tests for Cross-Sectional Dependence

2.2LM_P Test in the Raw Data Case

2.3A Bias-Corrected LM Test in a Fixed Effects Panel Data Model

2.4Dynamic Panel Data Models

2.5Monte Carlo Simulations

2.5.1Experiment design

2.5.2Results

2.6Recent Development

2.7Technical Details

2.8Exercises

3.Factor-Augmented Panel Data Regression Models

3.1Motivation

3.2CCE Approach

3.3IPC Approach

3.4Likelihood Approach

3.5Other Studies

3.6An Empirical Example

3.7Exercises

4.Structural Changes in Panel Data Models

4.1Heterogeneous Panels with a Common Structural Break

4.2Model 1: No Common Correlated Effects

4.3Model 2: Common Correlated Effects

4.4Multiple Common Break Points

4.5Endogenous Regressors and Break in Factors

4.6Monte Carlo Simulations

4.6.1Model 1: No common correlated Effects

4.6.2Model 2: Common correlated Effects

4.6.3Case of endogenous regressors

4.7An Empirical Example

4.8Recent Development

4.9Technical Details

4.10Exercises

5.Latent-Grouped Structure in Panel Data Models

5.1Panel Latent Group Structure Models

5.2K-means Clustering

5.3Conclusion

5.4Exercises

Bibliography

Index