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Analysis of Panel Data, Second Edition

$37.50 each

Cheng Hsiao
Publisher: Cambridge University Press
Copyright: 2003
ISBN-13: 978-0-521-52271-7
Pages: 366; paperback
Price: $37.50

Comment from the Stata technical group

The second edition of Hsiao’s Analysis of Panel Data is a complete revision of the 1986 version that has served as an essential reference on panel-data models. With the increased availability of panel datasets, this book will be welcomed not only by economists but also by researchers in other social sciences, business, and the natural sciences. The judicious combination of theory and applications makes Hsiao’s monograph useful both as a textbook for students and as a reference manual for practitioners.

The first three chapters of the book provide a detailed introduction to static random- and fixed-effects models, including model estimation, specification testing, and treatment of heteroskedasticity and correlation. Chapter 4 is a concise overview of dynamic panel-data models, including the GMM estimators that have become quite popular in recent years, and Hsiao does a superb job of bringing the literature together into one cohesive discussion. Simultaneous-equation estimation is covered in chapter 5.

Chapter 6 is devoted to variable-coefficient models, including Swamy’s random coefficients model and its relatives: fixed-coefficients models and their dynamic counterparts. Chapters 7 and 8 discuss parametric and semiparametric approaches to limited dependent-variable models and provide many references to the growing literature in this field; chapter 7 also includes a clear presentation of the incidental parameters problem. Chapters 9 and 10 present a smorgasbord of further topics, including incomplete panels, pseudopanels, large-N and large-T asymptotics, and multilevel models. The sections in these two chapters are rather brief, but they do provide many references to the relevant literature. Chapter 11 summarizes the use of panel-data models.

In short, the second edition of Analysis of Panel Data will prove to be an invaluable reference to users of panel data, just as the first edition has for 14 years.

Table of contents

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