Panel Data Econometrics

Common Factor Analysis for Empirical Researchers

Donggyu Sul

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English

Routledge
20 February 2019

Econometrics

In the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly.

Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel data.

Aimed at applied researchers who want to learn about panel data econometrics by running statistical software, this book provides clear guidance and is supported by a full range of online teaching and learning materials. It includes practice sections on MATLAB, STATA, and GAUSS throughout, along with short and simple econometric theories on basic panel regressions for those who are unfamiliar with econometric theory on traditional panel regressions.

By: Donggyu Sul
Imprint: Routledge
Country of Publication: United Kingdom
Dimensions: Height: 234mm, Width: 156mm,
Weight: 235g
ISBN: 9781138389670
ISBN 10: 1138389676
Pages: 150
Publication Date: 20 February 2019
Audience: College/higher education , Primary , A / AS level
Format: Paperback
Publisher's Status: Active

Donggyu Sul is currently the John Kain Professor of Economics at the University of Texas at Dallas, USA. He specializes in panel data econometrics, international finance, and empirical economic growth, and his articles have been published in numerous major research journals.

Reviews for Panel Data Econometrics: Common Factor Analysis for Empirical Researchers

This book succeeds well by separation and estimation of common factors, while idiosyncratic error components add a new dimension to the panel data literature with cross sectional dependence. The text is accompanied by estimation codes and interesting applications illustrating the power of the generalized models. , Almas Heshmati, Professor of Economics, Joenkoeping University, Sweden Donggyu Sul uses recent developments in practical factor analysis to illuminate the interaction of the time-series and cross-section dimensions of panels. The techniques are illustrated with many empirical examples, often based on his research. Matlab, Gauss and Stata codes are provided. The clear and distinctive approach of this book makes it essential reading for everyone working with panel data. , Ron Smith, Birkbeck, University of London, UK