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12/6/2016 NewYorkUniversity/EconometricsofPanelData

EconometricAnalysisofPanelData
SternSchoolofBusiness
ProfessorWilliam.Greene
DepartmentofEconomics
Office:MEC790,Ph.9980876
email:wgreene@stern.nyu.edu
Homepage:http://people.stern.nyu.edu/wgreene

Returntocoursehomepage.

Abstract:Thisisanintermediatelevel,Ph.D.courseintheareaofAppliedEconometricsdealingwithPanelData.Therangeoftopicscoveredinthecoursewillspanalargepartof
econometricsgenerally,thoughweareparticularlyinterestedinthosetechniquesastheyareadaptedtotheanalysisof'panel'or'longitudinal'datasets.Topicstobestudiedinclude
specification,estimation,andinferenceinthecontextofmodelsthatincludeindividual(firm,person,etc.)effects.Wewillbeginwithadevelopmentofthestandardlinearregressionmodel,
thenextendittopaneldatasettingsinvolving'fixed'and'random'effects.Theasymptoticdistributiontheorynecessaryforanalysisofgeneralizedlinearandnonlinearmodelswillbe
reviewedordevelopedasweproceed..Wewillthenturntoinstrumentalvariables,maximumlikelihood,generalizedmethodofmoments(GMM),andtwostepestimationmethods.The
linearmodelwillbeextendedtodynamicmodelsandrecentlydevelopedGMMandinstrumentalvariablestechniques.TheclassicalmethodsofmaximumlikelihoodandGMMand
Bayesianmethods,especiallyMCMCtechniques,areappliedtomodelswithindividualeffects.Thelastthirdofthecoursewillfocusonnonlinearmodels.Theoreticaldevelopmentswill
focusonheterogeneityinmodelsincludingrandomparametervariation,latentclass(finitemixture)and'mixed'andhierarchicalmodels.Wewillalsovisitthetheoryfortechniquesfor
optimizationinthesettingofnonlinearmodels.Wewillconsidernumerousapplicationsfromtheliterature,includingstaticanddynamicregressionmodels,heterogeneousparameters
models,randomparametervariation,andspecificnonlinearmodelssuchasbinaryandmultinomialchoiceandmodelsforcountdata.

Prerequisites:Multivariatecalculus,matrixalgebra,probabilityanddistributiontheory,statisticalinference,andapreviouscourseinEconometricsatthelevelofGreene(7thed,2012)
areassumed..

CourseRequirements:Gradesforthecoursewillbebasedon:
Takehomefinalexam(40%)
5problemsetsandexercisesinvolvingtheoryandestimation(40%).
Replicationorextension.Usingthedatafromanypublishedstudythatisbasedonpaneldata,attempttoreplicatesomeoftheauthor'scomputations.(Note,itmightnotbepossible.)
Or,usetheirdatatodosomepaneldatamodelingofyourown.Reportyourresultsintheformofashortpaper.Note,somesuchdatasetsareprovidedonthehomepageforthiscourse.
ThedataarchivefortheJournalofAppliedEconometricsisagreatsourcefordatasetsforeconometricanalysis.Alternatively,presentastudyofyourown,again,usingmethodsand
modelsdevelopedinthiscourse.(20%)

CourseMaterials:
http://people.stern.nyu.edu/wgreene/Econometrics/PanelDataOutline.htm 1/11
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Texts:Therecommendedtextforthecourseis:Baltagi,EconometricAnalysisofPanelData,5thEdition,Wiley,2013.Alsorecommended,butnotessential,isWooldridge,J.,
EconometricAnalysisofCrossSectionandPanelData,MITPress,2nd Ed,2010.StronglyrecommendedforbackgroundisGreene,EconometricAnalysis,7th Edition,PrenticeHall,
2012.
OtherRecommendedTexts:Youshouldhaveareferencetextforbasicconceptsineconometricsusedinthecourse.Wewillnotbereworkingindetailmaterialdevelopedin
EconometricsI.Forabackupreference,Isuggest(ofcourse)Greene,W.,EconometricAnalysis,7thEd.,PrenticeHall,2012.CopiesofafewrelevantchaptersofGreene7/ewillbe
distributed,butyoumightwanttohaveacopyofthebookforgeneralreference.Wooldridgealsocontainsmuchofthismaterial,butatasomewhathigherlevel.Wooldridge'sbookis
alsosomewhatshorterthanGreene'sonapplicationsandexamples,whichmanyfindpreferable.Unfortunately,thenumberofgeneralgraduateleveleconometricstextsisfairlysmall.
OnethatisverygoodthatImightrecommendforageneralcourse,Hayashi's,Econometrics(Princeton,2000)is,unfortunately,notparticularlyusefulforacourseinpaneldata.An
excellentsinglevolumeforasurveyofmanytopicsisBaltagi,B.ed.,ACompaniontoTheoreticalEconometrics,Blackwell,2001.Therearealsomanyotherlowerlevel
econometricstextsavailable,andyoushouldbeabletouseanyofthem(suchasGujaratiorWooldridge'sundergraduatetext)forarudimentaryintroductiontoeconometricideas.
Note,though,thiscoursewillbeconsiderablymoreadvancedthanthoseundergraduatetexts.
Greene,W.,EconometricAnalysis.YoucanfindseveralchaptersfromthistextonthisMicroeconometricswebsiteSomeSurveypapersondiscretechoicemodels:
OrderedChoiceModels
ModelsforCountData
DiscreteChoices

RecommendedReferences:BothBaltagi(2013)andHsiao(2014)areexcellentbackgroundreferences.BaltagiissomewhatmoreterseandhisalgebraisheavierthanHsiao's,
buteitherbookwouldbeanexcellentresource.Youmightwanttoobtainoneorbothofthem(bothpaperback).NotethatIhavemadeBaltagirequiredforthecourse.
Bibliography:Thereferencelistbelowlistsasampleroftheliteratureinthisarea,includingsomeofthemostimportantarticles.Thisisasmallsliceoftheliterature.Baltaginotes
thatasof2002orsohecouldfindnearly3,000publishedarticleslistedthatmentionpaneldatainthetitleorabstract.Thatwouldnotincludeatleastasmanyunpublishedworking
papersandthelastseveralyearsofdevelopmentatleastasmuchresearchhasbeendonesince.Sufficetosay,thisliteratureisenormous.
SupplementaryBooks:Theliteratureonpaneldataisvastitisoneofthemostactiveareasofresearchineconometrics.Fortheinterestedstudentwhowishestopursuethe
subject,inadditiontothereceivedjournalarticles,thefollowingarethecurrentcropofbooksonthesubjectofpaneldata,listed(moreorless),intheorderinwhichtheyaremost
likelytoappealtotheappliedresearcher
Arellano,M.,PanelDataEconometrics,OxfordUniversityPress,2003.Currenttheoreticalresearchandthinkingonthesubject.
Baltagi,B.,EconometricAnalysisofPanelData,5thEdition,Wiley,2013.ThisisthecanonicalreferenceforresearchersAlgebraicallyterseanddense,butdefinitely
completeonanalysisofthelinearmodel.
Hsiao,C.,AnalysisofPanelData,CambridgeUniversityPress,3rded.,2014.
Baltagi,ed.,PanelData:TheoryandApplications,PhysicaVerlag,2004.AcollectionofarticlesfromthejournalEmpiricalEconomics,includinginfull,arecentspecial
issueofthejournalonpaneldata.
Baltagi,B.ed.,ACompaniontoTheoreticalEconometrics,Blackwell,2001.Notspecificallyaboutpaneldata,butaveryusefulbookforstudents.
Baltagi,B.,ed.,TheOxfordHandbookofPanelData,2014.Acollectionofarticlesonmodelsandmethods.
Baltagi,B.,Ed.,RecentDevelopmentsintheEconometricsofPanelData,2004.
Cameron,AandTrivedi,P.,Microeconometrics,CambridgeUniversityPress,2005.Superbreferenceworkonthefield.
Diggle,P.,K.LiangandS.Zeger,AnalysisofLongitudinalData,OxfordUniversityPress,1994.Analysisfromthe"statistical"pointofview(noteconometric)withafocus
on"generalizedlinearmodels,"andGEEestimation.
Frees,E.,LongitudinalandPanelData:AnalysisandApplicationsintheSocialSciences,CambridgeUniversityPress,2004.
Griliches,Z.andM.Intriligator,HandbookofEconometrics,Volume2,Chapter22,PanelData(ByGaryChamberlain),NorthHolland,1984.Animportantearlysummary
ofpaneldatatheory.

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Heckman,J..andE.Leamer,HandbookofEconometrics,Volume5,Chapter53,PanelDataModels:SomeRecentDevelopments(byManuelArellanoandBoHonore),
NorthHolland,2001.Summaryofnewresults,focusedonGMMandsemiparametricmethods.
Heckman,J.andB.Singer,LongitudinalAnalysisofLaborMarketData,CambridgeUniversityPress,1985.Acollectionofstudiesfromtheareaoflaboreconomics,the
sourceofalargeproportionoftheresearchinmicroeconometrics.
Hsiao,C.,K.Lahiri,L.LeeandM.Pesaran,AnalysisofPanelsandLimitedDependentVariableModelsInHonorofG.S.Maddala,CambridgeUniversityPress,1999.A
collectionofarticlesandapplications.
Lee,M.,PanelDataEconometrics:MethodofMomentsandLimitedDependentVariables,AcademicPress,2002.Somewhatesoteric,andnotfortheapplicationsoriented
type,butanindepthlookatfrontiermethodsinsemiparametricanalysisforLDVmodelswithpaneldata.
Matyas,L.,TheEconometricsofPanelData,3rd Ed.,Springer,2008.
Matyas,LandP.Sevestre.TheEconometricsofPanelData,3rded.,KluwerAcademic,2008.Large,extremelyinterestingcollectionofessaysonmanytopics.
Nerlove,M.,EssaysinPanelDataEconometrics,CambridgeUniversityPress,2002.Alookbackattheevolutionofthesubjectfromoneofthepoineers.Theoriginal
BalestraNerlovestudydescribedatlengthinthisbook,isoneofthecornerstonesoftheliterature.
Maddala,G.S.,TheEconometricsofPanelData:VolumesIandII,EdwardElgar,1993.Thesetwovolumesarecollectionsofpapers,mostofthemhighlytechnical(e.g.,from
Econometrica).
TheJournalofEconometricspublishedthreepaneldataconferencevolumes:
JournalofEconometrics,18,1,EconometricsofLongitudinalData,1982
Carraro,C.,Peracchi,F.andWeber,G.,eds.,TheEconometricsofPanelsandPseudoPanels,JE,59,1/2,1993.
Baltagi,B.,ed.,PanelData,JE,68,1,1995.

Software:Someoftheoutsideworkforthiscoursewillinvolveusingacomputer.Allofthemajorcommercialeconometricspackages(SAS,Stata,LIMDEP,NLOGIT,R,Gauss,
Matlab,RATS,EViews)containprogramsforanalysisofpaneldata.Somearemorecompletethanothers.Thetwoamongthesethatwillcontainthewidestrangeoftechniques,will
mostcloselymatchourcourse,andarelikelytobethemostaccessibletostudentsareLIMDEP(orNLOGIT)andStata.SternhasasitelicenseforStataforthosewhowishtouse
it.ManyresearchersareusingRtodeveloptheirownapplications.IwilluseVersion5.0ofNLOGITforthiscourse.IwilldistributeaversionofNLOGITforstudentsinthiscourse
whowishtouseitfortheirempiricalwork.Furtherdetailsonsoftwarewillbeprovidedonthefirstdayofclass.
DataSets:Therearemanydatasourcesavailableontheinternet.ThearchivesoftheJournalofAppliedEconometricsisaparticularlyrichsource.Iwillalsomakeavailablea
numberofpaneldatasetsforstudentstouseinthiscourse.Thesecanbeaccessedfromthecoursehomepagegotothelinkfor"PanelDataSets."
Readings:Articlesonthevarioussubtopicsinthepaneldataarenaarelistedbelow.Theseareofferedasbackgroundandasagatewayintotheliteraturefortheinterestedstudent.
Wewilldiscussafewofthesespecificallyinclass.Note,inafewcases,thelistbelowcontainslinkstothesearticlesontheweb.Someofthesearepubliclyavailablemanuscripts.
OtherswillrequireaccesstoJSTORorsomeotherarchive.TheNYUserverprovidesaccesstomostjournals.
Supplement:Websiteforashortcourseinmicroeconometricsthatcontainssomereferencesanddatasetsaswellassomelecturenotes.
(http://people.stern.nyu.edu/wgreene/Microeconometrics.htm)
Returntocoursehomepage.

CourseOutline:
ReadingsuggestionswiththesectiontopicarefromBaltagi(B),Greene(G)andWooldridge(W).Underlinedreferencesappearabovewiththesupplementarytexts.Remainingreferences
arelistedbelow.Thearticleslistedinthereferencesareforbackground.Wewill(obviously)notbeabletodiscussalloftheminclass.Assignedarticlesaremarkedwith'**'

I.EconometricModelsandPanelData:[B,Ch.1],[G,Ch.11],[W,Chs.1,2,10]

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Topics
EconometricModels,
BenefitsandLimitsofPanelData
References
GeneralReferencesonPanelData:Chamberlain(1984)
TheoryandApplication:ArellanoandHonore(2001)
II.FixedandRandomEffects:[B,Ch.24,9],[G,Ch.11,esp.11.4,11.5,],[W,Chs.7,10,11]
Topics
Fixedvs.RandomEffects
Balancedandunbalancedpanels,rotatingpanels
Exogeneity
Estimationmethods:OLS,GLS,FGLS,MLE:
Specificationtests,LM,Hausman:Hausman(1978)**,BreuschandPagan(1979**,1980)
Alternativespecifications:Nestedrandomeffects,oneandtwowayeffectsmodels,clustering:Wooldridge(2003),Antwiler(2001)
Fixedandrandomeffects:Mundlak'sapproach:Mundlak(1978)
Chamberlain'sandMundlak'sApproachtoRandomEffects
Differenceindifferencesestimation(www.oft.gov.uk/shared_oft/reports/EvaluatingOFTswork/oft1416.pdf)
References
GeneralDiscussionofFEMandREM:Baltagi(2013,Ch.2,3)
III.Extensions:Heteroscedasticity,Autocorrelation,RobustEstimation:[B,Ch.5,10.5],[G,Ch.11],[W,Ch.10]
Topics
ClusteringandRobustEstimation:Wooldridge(2003)
TimeandIndividualEffects:Bai(2009),Cornwell,SchmidtandSickles(1990),Chen(2014)
Heteroscedasticity:White(1980)
CovarianceStructureModelsandCrossCountryModels:BeckandKatz(1995)
Autocorrelation,NeweyandWest(1987)**
SpatialAutocorrelation:Anselin(2001)
MeasurementError:GrilichesandHausman(1986)
Reference
Generaldiscussionofnonsphericaldisturbances:Baltagi(2013,Chapter5,10.5)
IV.InstrumentalVariablesandGMMEstimation,DynamicModels,TimeSeriesApplication:[B,Ch.7,8,12],[G,Ch.8,10,13],[W,Chs.5,8,11.3,14]
Topics
Endogeneity,Exogeneity,andInstrumentalVariables:HausmanandTaylor(1981)**,CornwellandRupert(1988),
DynamicModels:AndersonandHsiao(1981),BalestraandNerlove(1966),DahlbergandJohansson(2000),BlundellandBond(1998),ArellanoandBond(1991),
ArellanoandBover(1995),KripfganzandSchwarz(2013)
TheGMMEstimator
TheArellano,Bond,andBoverModelDynamicPanelDataModels:ArellanoandBover(1995)**,ArellanoandBond(1991),ArellanoandBover(1995),Bond
(2002),Gongetal.(2003)
UnitRootsinPanelData:Baltagi(2013,Chapter12)

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OtherReferences
Hsiao(2014,Chapter4)
V.ParameterVariation(FirstGenerationModels),HierarchicalModels,TwoStepEstimation:[G,Chs.11.11,15.7,15.8]
Topics
ParameterHeterogeneity
CrossSectionVariationinParameters
GLSandFGLSEstimation
HierarchicalModelsRandomParameterswithHeterogeneousMeans:Craig,Douglas,Greene(2004)
TwoStepEstimation:Passmore(2004),Saxonhouse(1976)
TheFamaMacbethModel:FamaandMacbeth(1973)

VI.NonlinearModels:[G,Ch.14,App.E],[W,Chs.12,13]
Topics
Nonlineareconometricmodels
Optimization:maximumlikelihoodestimation.theEMalgorithm:Dempsteretal.(1977)
SemiparametricEstimation
Estimationofmodelswithindividualeffects:Quadratureandsimulation:ButlerandMoffitt(1982)**,Greene(2004)**
MarkovChainMonteCarloMethods:CasellaandGeorge(1992)
References
Generalreferencesonoptimization:Judd(1998).Thesearebooksonthesubjectofoptimizationasdonebysocialscientists.Thereisavastlibraryonthesubjectof
numericaloptimization,inmanyfields.Weareinterestedinabroadlookatthetechniquesatthispoint,sincecontemporarymicroeconometricsisaheavyuserof
nonlineartechniques:MurphyandTopel(2002),Newey(1984).
Simulationbasedestimation:Train(2009).
Econometricsoftware(Stata,SAS,NLOGIT,LIMDEP,etc.)comeswithembeddedoptimizationcode.Thedocumentationforallprogramscontaindetailson'howit's
done.'Youmightbeinterestedinlearningaboutnonlinearoptimizationmethods.
VII.ClassicalandBayesianEstimationofModelswithIndividualEffects:[B,Ch.1],[G,Chs.16],[W,Chs.15.8,16.3.4,18.7]
Topics
Fixedandrandomeffectsinnonlinearmodels,Greene(2005),Greene(2004),Honore(2002)**
Theincidentalparametersproblem,Abrevaya(1997),Lancaster(2000)**,Nickell(1981)
Biasreduction,FernandezVal(2009)
Bayesianestimationofthefixedeffectsmodel,Koopetal.(1997)
Bayesianestimationinrandomeffects,hierarchicalmodels,AllenbyandRossi(1999)**
References:CasellaandGeorge(1992),Chamberlain(1984)
VIII.RandomParametersandLatentClassModels:[G,Chs.14.10,15]
Topics
RandomParameterModels:HensherandGreene(2001),ReveltandTrain(1998)
FiniteMixture(LatentClass)Models:DebandTrivedi(1997)
References:Train(2009),McLachlanandPeel(2000)

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IX.DiscreteChoiceModels,LimitedDependentVariables,SampleSelectionModels:[B,Ch.11],[G,Ch.1719],[W,Chs.15.8,16,17,18.7,19.619.9].Also,GreeneandHensher,
OrderedChoiceSurvey,Chapters1,2,5.
Topics
DiscreteChoice:ProbitandLogit.Abrevaya(1997)**,ButlerandMoffitt(1982),Chamberlain(1980),HonoreandKyriazidou(2000),Manski(1987),Papkeand
Wooldridge(2008)
OrderedChoice:GreeneandHensher(2009)
MultinomialChoice:Berryetal.(1995)**
SemiparametricEstimation:HonoreandKyriazidou(2000),Honore(1992),Manski(1987),Kyriazidou(1997)
SampleSelection:NijmanandVerbeek(1992),Verbeek(1990),VerbeekandNijman(1992),Wooldridge(1995),Zabel(1992),Kyriazidou(2001),Jensenetal.(2001)
CensoringandTruncation:VellaandVerbeek(1999)
TheMixedLogitModel:McFaddenandTrain(2000)
StochasticFrontiers:Greene(2004a)
X.ModelsforDataonCounts:[G,Ch.18.4],[W,Chs.16,2,10]
Topics
ModelsforCounts:Greene(2012,Section18.4),CameronandTrivedi(1986),Wedeletal.(1993),Wangetal.(1998)
FixedandRandomEffectsModels:Hausmanetal.(1984)**,Montalvo(1997)**
GeneralReferencesonCountDataModels:
Winkelmann(2000),CameronandTrivedi(1998)
Usefulwebsite:http://www.econ.ucdavis.edu/faculty/cameron/racd/count.html
Returntocoursehomepage.

ReadingList:ArticlesandOtherSources

Abrevaya,J."TheEquivalenceofTwoEstimatorsoftheFixedEffectsLogitModel".EconomicsLetters1997,55(1),4144.(ProvesthefamoustwicebetaruleforfixedeffectslogitwithT
=2.)

Allenby,G.andP.Rossi,"MarketingModelsofConsumerHeterogeneity,"JournalofEconometrics,89,1999,pp.5778.

Anderson,T.andC.Hsiao,EstimationofDynamicModelswithErrorComponents,"JournaloftheAmericanStatisticalAssociation,76,1981,pp.598606.

Anselin,L.,"SpatialEconometrics,"inBaltagi,B.,ed.,ACompaniontoTheoreticalEconometrics,pp.310330Blackwell,2001

Antweiler,W.,"NestedRandomEffectsEstimationinUnbalancedPanelData,"JournalofEconometrics,101,2001,pp.295312CommentbyGreene,W.(minoralgebraicobservation).

Arellano,M.andS.Bond,"SomeTestsofSpecificationforPanelData:MonteCarloEvidenceandanApplicationtoEmploymentEquations,"ReviewofEconomicStudies,58,1991,pp.
277297.(download)

Arellano,M.andO.Bover"AnotherLookattheInstrumentalVariableEstimationofErrorComponentsModels,"JournalofEconometrics,68,1995,pp.2951.

Bai,J.,"Paneldatamodelswithinteractivefixedeffects,"Econometrica,77,12291279,2009.(download)

http://people.stern.nyu.edu/wgreene/Econometrics/PanelDataOutline.htm 6/11
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Balestra,P.andM.Nerlove,"PoolingCrossSectionandTimeSeriesDataintheEstimationofaDynamicModel:TheDemandforNaturalGas,"Econometrica,1966,pp.585612.

BaltagiB.,J.GriffinandW.Xiong,"ToPoolorNottoPool:HomogeneousversusHeterogeneousEstimatorsAppliedtoCigaretteDemand,"ReviewofEconomicsandStatistics,82(1),
2000,pp.11726.

Baltagi,B.,"EstimatinganEconomicModelofCrimeUsingPanelDatafromNorthCarolina,"JournalofAppliedEconometrics,21,2006,.543547.

Beck,N.andKatz,J.,"WhatToDo(andNottoDo)withTimeSeriesCrossSectionDatainComparativePolitics,"AmericanPoliticalScienceReview,89,1995,pp.634647.

Berry,S.,J.LevinsohnandA.Pakes,"AutomobilePricesinmarketEquilibrium,"Econometrica,63,4,1995,pp.841890.
Bloom,N.,M.SchankermanandJ.VanReenen,"IdentifyingTechnologySpilloversandProductMarketRivalry,"Econometrica,81,2013,pp.13471393.

BlundellR.,R.GriffithandF.Windmeijer,"Individualeffectsanddynamicsincountdatamodels,"JournalofEconometrics108,2002,pp.113131.

Blundell,R.andS.Bond,"InitialConditionsandMomentRestrictionsinDynamicPanelDataModels,"JournalofEconometrics,1998,pp.115143.

Bond,S.,"DynamicPanelDataModels:AGuidetoMicroDataMethodsandPractice,"CEMMAPWorkingPaperCWP09/02,2002.(downloadpdf)

Breusch,T.,andPagan,A.,"TheLMTestandItsApplicationstoModelSpecificationinEconometrics,"ReviewofEconomicStudies,47,1980,pp.239254.

Breusch,T.,andPagan,A.,"ASimpleTestforHeteroscedasticityandRandomCoefficientsVariation,"Econometrica,47,1979,pp.12871294.

Burda,M.andM.Harding,"PanelProbitwithFlexibleCorrelatedEffects:QuantifyingTechnologySpilloversinthePresenceofLatentHeterogeneity,"JournalofAppliedEconometrics,
28,2013,pp.956981.

Butler,J.andR.Moffitt,"AComputationallyEfficientQuadratureProcedurefortheOneFactorMultinomialProbitModel,"Econometrica,50,1982,pp.761764.

Cameron,C.andP.Trivedi,"EconometricModelsBasedonCountData:ComparisonsandApplicationsofSomeEstimatorsandTests,"JournalofAppliedEconometrics,1,1986,pp.29
54.

CameronandTrivedi,RegressionAnalysisofCountData,CambridgeUniversityPress,1998.

Casella,G.andE.George,"ExplainingtheGibbsSampler,"TheAmericanStatistician,46,3,1992,pp.167174.

Chamberlain,G.,"PanelData,"HandbookofEconometrics,Volume2,Chapter22,1984.(downloadpdf)

Chamberlain,G.,"AnalysisofCovariancewithQualitativeData,"ReviewofEconomicStudies,47,1980,pp.225238.

Chen,M.,"EstimationofNonlinearPanelModelswithMultipleUnobservedEffects,"UnpublishedManuscript,BostonUniversity,DepartmentofEconomics,2014.(download)

Cornwell,C.andP.Rupert,"EfficientEstimationwithPanelData:AnEmpiricalComparisonofInstrumentalVariableEstimators,"JournalofAppliedEconometrics,3,1988,pp.149155.

Cornwell,C.,P.SchmidtandR.Sickles,"ProductionFrontierswithCrossSectionandTimeSeriesVariationinEfficiencyLevels,"JournalofEconometrics,46,1990,pp.185200.
(download)

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Cornwell,C.andW.Trumbull,"EstimatingtheEconomicModelofCrimewithPanelData,"ReviewofEconomicsandStatistics,76,1994,pp.360366.

Craig,S.,S.DouglasandW.Greene:"CultureMatters:AHierarchicalLinearRandomParametersModelforPredictingSuccessofUSFilmsinForeignMarkets,"DepartmentofMarketing,Stern
SchoolofBusiness,NYU.(download)

Dahlberg,M.andE.Johansson,"AnExaminationoftheDynamicBehaviorofLocalGovernmentsUsingGMMBootstrappingMethods,"JournalofAppliedEconometrics,15,2000,pp.
401416.

Deb,P.andP.Trivedi,"DemandforMedicalCarebytheElderly:AFiniteMixtureApproach,"JournalofAppliedEconometrics,12,3,1997,pp.313336.

Dempster,A.,N.LairdandD.Rubin,"MaximumLikelihoodFromIncompleteDataviatheE.M.Algorithm,"JournaloftheRoyalStatisticalSociety,SeriesB,39,1,1977,pp.138.

Fama,E.,andJ.MacBeth,"Risk,ReturnandEquilibrium:EmpiricalTests,"JournalofPoliticalEconomy,81,3,1973,pp.607636.(downloadpdf)

FernandezVal,I.,"FixedEffectsEstimationofStructuralParametersandMarginalEffectsinPanelProbitModels,"JournalofEconomertrics,150,2009,pp.7185.

Gannon,B.,"ADynamicAnalysisofDisabilityandLabourForceParticipationinIreland19952000,"HealthEconomics,14,5005,pp.925938(download)

GoettA.,HudsonK.andTrainK.,"CustomerChoiceAmongRetailEnergySuppliers:TheWillingnesstoPayforServiceAttributes,"EnergyJournal,2002,.21,pp.128.(download)

Gong,X.,A.vanSoestandE.Villagomez,"MobilityintheUrbanLaborMarket:APanelDataAnalysisforMexico,"IZA,Discussionpaper213,2003.(downloadpdf)

Greene,W."FixedandRandomEffectsinNonlinearModels,"WorkingPaper0101,SternSchoolofBusiness,DepartmentofEconomics,NewYorkUniversity.Youcandownloadthis
fromthewebathttp://people.stern.nyu.edu/wgreene/panel.doc

Greene,W.,"FixedandRandomEffectsinNonlinearModels,"Stern,NYU,Economics,WorkingPaper0110,2001.(downloadpdf)

Greene,W.,FixedandRandomEffectsinStochasticFrontierModels,JournalofProductivityAnalysis,23,1,2005,pp.732(downloadpdf)

Greene,W.,"DistinguishingBetweenHeterogeneityandInefficiency:StochasticFrontierAnalysisoftheWorldHealthOrganizationsPanelDataonNationalHealthCareSystems"Stern
DepartmentofEconomics,2004,HealthEconomics.(downloadpdf)

Greene,W.,"TheBehavioroftheFixedEffectsEstimatorinNonlinearModels,"TheEconometricsJournal,7,1,2004,pp.98119.)

Greene,W.,"ConvenientEstimatorsforthePanelProbitModel,"EmpiricalEconomics,29,2004,pp.2148.(AlsoinBaltagi,2004)(downloadpdf)

Greene,W.,"InterpretingEstimatedParametersandMeasuringIndividualHeterogeneityinRandomCoefficientModels,"NYU/SternEconomics,WorkingPaper0408,May,2004.
(downloadpdf)

Greene,W.andD.Hensher,ModelingOrderedChoices,CambridgeUniversityPress,2009.(downloadpdf)

Greene,W.andD.Hensher,"ALatentClassModelforDiscreteChoiceAnalysis:ContrastswithMixedLogit,"UniversityofSydney,InstituteforTransportStudies,2002.(Appearedin
TransportResearchB,2003)

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Griliches,Z.,andJ.Hausman,"ErrorsinVariablesinPanelData,"JournalofEconometrics,31,1986,pp.93118.

Hausman,J.,"SpecificationTestsinEconometrics,"Econometrica,46,1978,pp.12511271.Developsthe"HausmanTest,"anowwidelyusedspecificationtestthatgetsaroundtheneedfor
nestedmodelsimposedbytheconventionallikelihood,NeymanPearsonbasedtests.

Hausman,J.,Hall,B.,andGriliches,Z.,"EconometricModelsforCountDatawithanApplicationtothePatentsR&DRelationship,"Econometrica,52,1984,pp.909938.Thefirstmajor
referenceoncountdatamodelsforeconomists.Includesextensionsforpaneldata.Interestingforproposinganentireclassofmodelsforanonlinearregressionsetting.

Hausman,J.,andTaylor,W.,"PanelDataandUnobservableIndividualEffects,"Econometrica,49,1981,pp.13771398.Extendsthefamiliarfixedandrandomeffectsmodelstosomemore
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12/6/2016 NewYorkUniversity/EconometricsofPanelData

Mundlak,Y.,"OnthePoolingofTimeSeriesandCrossSectionData,"Econometrica,1978,pp.12511271.

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Wooldridge,J.,"SelectionCorrectionsforPanelDataModelsUnderConditionalMeanIndependenceAssumptions,"JournalofEconometrics,68,1995,pp.115132.

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