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This substantially revised second edition of the leading graduate textbook on panel data
provides a reworked coverage of panel data techniques from a key author in this field.
Updated topics include dynamic panels, limited dependent variable panel data models,
spatial panels, GMM estimation, prediction in panels, serial correlation,
heteroskedasticity, nested error component models, pseudo panels, rotating panels,
unbalanced panels and heterogeneous dynamic panels.
New material has been added to include:
Packed with additional exercises, which can be assigned for classroom use, the author
proceeds from single equation methods to simultaneous equation methods, making this text
entirely accessible to graduate students.
- nonstationary panels with illustrations of their applications in economics including unit roots in panels and cointegration in panels
- spatial panel data models
- web site addresses for panel data sources
- recent empirical studies and worked examples using standard software
A review of the first edition of Econometric Analysis of Panel Data
“This is a definitive book written by one of the architects of modern panel data
econometrics. It provides both a practical introduction to the subject
matter, as well as a thorough discussion of the underlying statistical
principles without taxing the reader too greatly. Since its first
publication in 1995, it has quickly become a standard accompanying text in
advanced econometrics courses around the world, and a major reference for
researchers doing empirical work with longitudinal data.”
Professor Kajal Lahiri – State University of New York, Albany