A survey of recent theoretical developments in the econometrics of panel data

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28 Scopus citations

Abstract

This paper surveys some recent developments in panel data analysis. In particular, it focuses on the error component model which is popular in panel data applications, and discusses recent advances in its estimation under heteroscedasticity, serial correlation, and a general variance-covariance matrix. It also surveys the extensions of this model to the seemingly unrelated regressions case, and the simultaneous equations case. The dynamic case and the incomplete panel data case are also considered, as well as a host of other miscellaneous extensions. Prediction with this model is briefly surveyed and alternative tests for this model are reviewed. While the bibliography is not exhaustive, this survey should complement previous surveys and should prove useful for researchers working in this area.

Original languageEnglish (US)
Pages (from-to)85-109
Number of pages25
JournalEmpirical Economics
Volume17
Issue number1
DOIs
StatePublished - Mar 1 1992
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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