Econometric Analysis of Panel Data PD10参考.pptVIP

Example: U. S. Productivity The Model (Munnell [1988]) One-way panel data model 48 U.S. lower states 17 years from 1970 to 1986 Variables: gsp (gross state output); cap (private capital); 3 components of public capital (hwy, water, util); emp (labor employment); unemp (unemployment rate) Example: U. S. Productivity Spatial Panel Data Model Cross Section Correlation Cross section dependence is defined by state contiguity: if state i is adjacent with state j, then wij=1; otherwise wij=0. The spatial weights matrix W is then row-standardized with diagonal 0. Pooled, fixed effects, random effects models are all biased and inconsistent. IV or 2SLS methods should be used with proper instruments. Example: U. S. Productivity Spatial Panel Data Model Space-Time Dynamics * Econometric Analysis of Panel Data Panel Data Analysis: Extension Generalized Random Effects Model Seemingly Unrelated Regression Cross Section Correlation Parametric representation Spatial dependence defined by cross section contiguity or distance Panel Data Analysis: Extension Generalized Random Effects Model Panel Data Analysis : Extension Seemingly Unrelated Regression Panel Data Analysis : Extension Cross Section Correlation Unobserved heterogeneity: fixed effects or random effects OLS with robust inference GLS allowing time serial correlation Panel Data Analysis : Extension Cross Section Correlation Parametric Representation Panel Data Analysis : Extension Spatial Lag Variables Spatial Weights Panel Data Analysis : Extension Spatial Lag Model OLS is biased and inconsistent Unobserved heterogeneity: fixed effects or random effects Observed heterogeneity Panel Data Analysis : Extension Spatial Error Model Unobserved heterogeneity Fixed effects Random effects Observed heterogeneity Panel Data Analysis : Extension Spatial Panel Data Analysis Model specification could be a mixed structure of spatial lag and spatial error model. Unobserved heterogeneity could be fixed effects