Panel Data Econometrics common factor analysis for empirical researchers

• Main Author: Sul, Donggyu 1965- (Author)
• Format: Book
• Language: English
• Published: Abingdon, Oxon New York, NY Routledge, Taylor & Francis Group 2019
• Subjects: Panel analysis; Econometric models
• Online Access: Click Here to View Status and Holdings.

 n the last 20 years, econometric theory on panel data has developed rapidly, particularly for analyzing common behaviors among individuals over time. Meanwhile, the statistical methods employed by applied researchers have not kept up-to-date. This book attempts to fill in this gap by teaching researchers how to use the latest panel estimation methods correctly. Almost all applied economics articles use panel data or panel regressions. However, many empirical results from typical panel data analyses are not correctly executed. This book aims to help applied researchers to run panel regressions correctly and avoid common mistakes. The book explains how to model cross-sectional dependence, how to estimate a few key common variables, and how to identify them. It also provides guidance on how to separate out the long-run relationship and common dynamic and idiosyncratic dynamic relationships from a set of panel dat