Baltagi, Econometric Analysis of Panel Data, 4e

[TomDoan]

The zip file has the programs and data files for most of the examples in Baltagi(2008), Econometric Analysis of Panel Data, 4th ed, Wiley. His empirical examples were apparently done with a combination of SAS, Stata, TSP and EViews since no one program had all the features that he was using. These can now be done in a fairly straightforward way using RATS version 8.1.

The first six examples primarily demonstrate the many possible ways to estimate the component variances in one- and two-way models so they have the same basic model done quite a few ways.

This book is available for purchase from Estima. For more information, see http://www.estima.com/textbook_baltagi.shtml.

baltagi_panel_4.zip

Zip with programs/data

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Example	Description	RATS Level
bpanel02-6-1.rpf	Panel data, individual effects	Basic
bpanel02-6-2.rpf	Panel data, individual effects	Basic
bpanel02-6-3.rpf	Panel data, individual effects	Basic
bpanel03-6-1.rpf	Panel data, time and individual effects	Basic
bpanel03-6-2.rpf	Panel data, time and individual effects	Basic
bpanel03-6-3.rpf	Panel data, time and individual effects	Basic
bpanel04-1-3.rpf	Pooling tests	Intermediate
bpanel04-1-3b.rpf	Pooling tests	Intermediate
bpanel04-2-7.rpf	Breusch-Pagan tests	Basic
bpanel04-3-1.rpf	Hausman tests (one-way)	Basic
bpanel04-3-2.rpf	Hausman tests (one-way)	Basic
bpanel07-2.rpf	Panel instrumental variables	Intermediate
bpanel07-5.rpf	Panel instrumental variables, Hausman-Taylor, Amemiya-MaCurdy	Advanced
bpanel08-8-1.rpf	Dynamic panels, Arellano-Bond, Keane-Runkle	Advanced
bpanel09-3.rpf	Unbalanced panel	Advanced
bpanel09-6-1.rpf	Nested panels	Basic
bpanel10-8.rpf	Poisson and Negative binomial FE, RE	Advanced