tailieunhanh - Handbook of Econometrics Vols1-5 _ Chapter 22

Chapter 22 PANEL DATA GARY CHAMBERLAIN* Specification and identification: Nonlinear models . A random effects probit model . . A fixed effects logit model: Conditional likelihood Duration models The estimation of linear predictors Imposing restrictions: The minimum distance estimator Simultaneous equations | Chapter 22 PANEL DATA GARY CHAMBERLAIN University of Wisconsin - Madison and NBER Contents 1. Introduction and summary 1248 2. Specification and identification Linear models 1254 . A production function example 1254 . Fixed effects and incidental parameters 1256 . Random effects and specification analysis 1257 . A consumer demand example 1259 . Strict exogeneity conditional on a latent variable 1262 . Lagged dependent variables 1264 . Serial correlation or partial adjustment 1267 . Residual covariances Heteroskedasticity and serial correlation 1268 . Measurement error 1269 3. Specification and identification Nonlinear models 1270 . A random effects probit model 1270 . A fixed effects logit model Conditional likelihood 1274 . Serial correlation and lagged dependent variables 1278 . Duration models 1282 4. Inference 1285 . The estimation of linear predictors 1286 . Imposing restrictions The minimum distance estimator 1288 . Simultaneous equations A generalization of three-stage least squares 1292 . Asymptotic efficiency A comparison with the quasi-maximum likelihood estimator 1294 . Multivariate probit models 1296 5. Empirical applications 1299 . Linear models Union wage effects 1299 . Nonlinear models Labor force participation 1304 6. Conclusion 1311 Appendix 1311 References 1313 1 tun grateful to a number of individuals for helpful discussions. Financial support was provided by the National Science Foundation Grants No. SOC-7925959 and No. SES-8016383 by the University of Wisconsin Graduate School and by funds granted to the Institute for Research on Poverty at the University of Wisconsin-Madison by the Department of Health Education and Welfare pursuant to the provisions of the Economic Opportunity Act of 1964. Handbook of Econometrics Volume II Edited by Z. Griliches and . Intriligator Elsevier Science Publishers BV 1984 1248 G. Chamberlain 1. Introduction and summary The chapter has four parts the .