T.W. Anderson and his collaborators have made seminal contributions to inference with instrumental variables and to dynamic panel data models. We review these contributions and the extensive economic and statistical literature that these contributions spawned. We describe our recent work in these two areas, presenting new approaches to (a) making valid inferences in the presence of weak instrum...

splm is an R package for estimating and testing various spatial panel data specifications. We consider the implementation of both maximum likelihood and generalized moments estimators in the context of fixed as well as random effects spatial panel data models. This paper is a general description of splm and all functionalities are illustrated by application to Munnel (1990) data on 48 US States...

The paper shows that poor identifiability of parameters can arise in the context of linear panel data model with random effects and autocorrelated disturbances. This causes problems when estimating the model by (Gaussian) maximum likelihood. Corner solutions occur quite frequently for the variance of the random effects, with a consequent bimodal distribution of the other variance and of the aut...

Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the current state as a covariate. We propose estimators that allow for group specific effect in para...

Unemployment Persistence: How Important Are Non-Cognitive Skills? Using a random effects dynamic panel data model and the 2000-2008 waves of the German SOEP this paper shows that non-cognitive skills have a predictive power on unemployment transitions. JEL Classification: C33, J64

introduction: the area under cultivation and yield of crops are affected by various factors, some of which are controllable and some others are uncontrollable. controllable factors are divided into two types of price and non-price factors. among the price factors, prices of agricultural products and inputs play an important role in expanding the cultivation area. uncontrollable factors also hav...

This paper uses an endogenous segmentation approach to model mode choice. This approach jointly determines the number of market segments in the travel population, assigns individuals probabilistically to each segment, and develops a distinct mode choice model for each segment group. The author proposes a stable and effective hybrid estimation approach for the endogenous segmentation model that ...

A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of strictly exogenous covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. An economic interpretation of its assumptions, based on expectation about future outcomes, is provided. The main advantage of ...

This paper presents a general approach to the analysis of categorical panel data which is based on using causal log-linear models with latent variables. Like the well-known LISREL model, these models consist of a structural and a measurement part. In the structural part, a system of logit equations is used to explain changes which occur in the dependent variable of interest. An unrestricted or ...

This paper uses data on automobile purchases to compare two alternatives to the multinomial logit model. The results indicate that the nested logit model is likely to be superior to the more general Berry–Levinsohn–Pakes model for applications using aggregate-level data.  2000 Elsevier Science S.A. All rights reserved.