Analysis of Panel Data (Econometric Society Monographs) [Paperback]

Cheng Hsiao (Author)

Book Description

Publication Date: March 17, 2003 | ISBN-10: 0521522714 | ISBN-13: 978-0521522717 | Edition: 2

Panel data models have become increasingly popular among applied researchers due to their heightened capacity for capturing the complexity of human behavior, as compared to cross-sectional or time series data models. This second edition represents a substantial revision of the highly successful first edition (1986). Recent advances in panel data research are presented in an accessible manner and are carefully integrated with the older material. The thorough discussion of theory and the judicious use of empirical examples make this book useful to graduate students and advanced researchers in economics, business, sociology and political science.

Editorial Reviews

Review

"Cheng Hsiao has made many significant and important contributions to panel data econometrics, both methodological and applied, beginning with his 1972 dissertation, in numerous articles, and in his masterful and magisterial 1986 monograph, long a standard reference and popular graduate text. (cont.)

Not only has Hsiao significantly revised the material covered in his original monograph, he has added major new chapters on nonlinear panel models of discrete choice and sample selection, and included new material on the Bayesian treatment of models with fixed and random coefficients, pseudopanels, simulation methods of estimation, and more extensive treatment of dynamic models. Throughout, Hsiao provides applied examples, which greatly enhance the reader's understanding and intuition. The clarity of his exposition and organization is exemplary. All of us who work in the field of panel data econometrics have been, and will now more than ever continue to be in Hsiao's debt." Marc Nerlove, University of Maryland

"The literature on panel data modeling has seen unprecendented growth over the past decade and Cheng Hsiao, himself one of the leading contributors to this literature, is to be congratulated for providing us with a comprehensive and timely update of his classic text. This version not only presents a substantial revision of the 1986 edition, but also offers major additions covering non-linear panel data models dealing with useful overviews of unit root and cointegration in dynamic heterogeneous panels. It should prove invaluable to students and teachers of advanced undergraduate and graduate economic courses." Hashem Perasan, Trinity College, Cambridge

"The first edition of Analysis of Panel Data by Cheng Hsiao has been necessary reading and a landmark for 15 years. The revised and much expanded second edition splendidly integrates the important new developments in the field. One can be sure it will stay a landmark for 15 years to come." Jacques Mairesse, ENSAE, France

"Cheng Hsiao has done a great service to the profession by expanding his highly successful first edition to include the important results that have been obtained by him and other researchers since the publication of the first edition. Escpecially noteworthy in this edition is the application of panel data analysis to qualitative response and sample selection models. Cheng has admirably succeeded in presenting the mathematical results both rigorously and lucidly. Many theoretical results are illustrated by interesting empirical examples. This edition should prove to be an extremely useful reference for the experts in the field as well as graduate students." Takeshi Amemiya, Stanford University

Book Description

Panel data models have become increasingly popular among applied researchers due to their heightened capacity for capturing the complexity of human behavior as compared to cross-sectional or time series data models. This second edition is a substantial revision of the highly successful first edition of 1986. Recent advances in panel data research are presented in a rigorous and accessible manner and are carefully inte grated with the older material. The thorough discussion of theory and the judicious use of empirical examples make this book useful to graduate students and advanced researchers in economics, business, sociology, political science, etc.

Product Details

• Paperback: 384 pages
• Publisher: Cambridge University Press; 2 edition (March 17, 2003)
• Language: English
• ISBN-10: 0521522714
• ISBN-13: 978-0521522717
• Product Dimensions: 8.9 x 5.8 x 0.8 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 4.7 out of 5 stars  See all reviews (7 customer reviews)
• Amazon Best Sellers Rank: #274,106 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

16 of 18 people found the following review helpful:

5.0 out of 5 stars Well worth getting the update, February 14, 2004

By 

The Blue Man (Oxford, OXON England) - See all my reviews

This review is from: Analysis of Panel Data (Econometric Society Monographs) (Paperback)

Cheng Hsiao's 1986 monograph "Analysis of Panel Data" drew the attention of many to the inherent advantages of using longitudinal (ie. panel) data sets, where the same subjects are observed at different periods in time. Substantially as a result of Hsiao's excellent presentation of key issues, the volume of research using panel data increased dramatically during the next fifteen years.

It is especially timely that Hsiao has written an updated version of this classic. All the essential concepts from the first edition have been retained; in addition, the author does a very good job of providing coverage of the many advances which have been made in analysis of panel data since 1986.

Of special note, in relation to the second edition, are the chapters on dynamic models (Ch. 4) and discrete response models (Ch. 7). These two areas have been particularly in need of an updated treatment, since a great deal of recent research has taken place into the properties of estimators in these situations. Hsiao's treatments of these are correct up to and including 2001, which provides a major service for researchers interested in these topics.

An alternative book, by Badi Baltagi, exists. However, Hsiao's book is superior and should be purchased by all who wish to pursue modern empirical work.

6 of 7 people found the following review helpful:

4.0 out of 5 stars Solid coverage on theory, but..., August 14, 2006

By 

Yin Luo (New York, US) - See all my reviews
(REAL NAME)   

This review is from: Analysis of Panel Data (Econometric Society Monographs) (Paperback)

This book covers panel data econometrics theory very well. It's probably the best in this field. However, this book lacks data and more importantly computer codes on how to implement panel data models. The author didn't provide a website where you can get the data in the book, which makes it difficult for applied econometricians to learn and implement. It would a lot more useful if the author can provide some support on how to implement his models in either packages (e.g., Stata or SAS) or programming languages (e.g., Gauss or Matlab). I found biometricians and social scientists do a much better job in both research and implementation of panel data models than econometricians, although they have different names for the same thing (e.g., mixed effects, multilevel, or HLM, etc.)

5 of 8 people found the following review helpful:

5.0 out of 5 stars A classic., December 20, 2001

By 

"ykad" (Lincoln, NE United States) - See all my reviews

This review is from: Analysis of Panel Data (Econometric Society Monographs) (Paperback)

This book is a classic on panel data econometrics. Nevertheless, the materials in this book do not account for nonstationary panel data. I am anxiously waiting for Arellano's Panel Data Econometrics, which contains up-to-date treatment.