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Analysis of Panel Data, Third Edition

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Author:
Cheng Hsiao
Publisher: Cambridge University Press
Copyright: 2014
ISBN-13: 978-1-107-65763-2
Pages: 562; paperback
Price: $39.75

Comment from the Stata technical group

Cheng Hsiao's Analysis of Panel Data, Third Edition is an essential reference on panel-data models. The third edition is a dramatic revision of the 2003 edition, which was a complete revision of the seminal 1986 edition. The third edition, like the previous two, is a must-have reference book for researchers and graduate students.

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. Estimation of static simultaneous-equation models 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 are new to this edition and make the new edition indispensable. Chapter 9 covers cross-sectionally dependent data, and chapter 10 covers dynamic panel-data systems. Hsiao does an excellent job of covering these new, essential topics.

Chapters 11, 12, and 13 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.

In short, the third edition of Analysis of Panel Data, just like first two editions, will prove to be an invaluable reference to users of panel data.

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