The PANEL Procedure

Andrews, D. W. K. (1991), “Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation,” Econometrica, 59, 817–858.

Arellano, M. (1987), “Computing Robust Standard Errors for Within-Groups Estimators,” Oxford Bulletin of Economics and Statistics, 49, 431–434.

Arellano, M. and Bond, S. (1991), “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,” Review of Economic Studies, 58, 277–297.

Arellano, M. and Bover, O. (1995), “Another Look at the Instrumental Variable Estimation of Error-Components Models,” Journal of Econometrics, 68, 29–51.

Baltagi, B. H. (1995), Econometric Analysis of Panel Data, New York: John Wiley & Sons.

Baltagi, B. H. and Chang, Y. (1994), “Incomplete Panels: A Comparative Study of Alternative Estimators for the Unbalanced One-Way Error Component Regression Model,” Journal of Econometrics, 62, 67–89.

Baltagi, B. H., Chang, Y. J., and Li, Q. (1992), “Monte Carlo Results on Several New and Existing Tests for the Error Component Model,” Journal of Econometrics, 54, 95–120.

Baltagi, B. H. and Levin, D. (1992), “Cigarette Taxation: Raising Revenues and Reducing Consumption,” Structural Change and Economic Dynamics, 3, 321–335.

Baltagi, B. H. and Li, Q. (1991), “A Joint Test for Serial Correlation and Random Individual Effects,” Statistics and Probability Letters, 11, 277–280.

Baltagi, B. H. and Li, Q. (1995), “Testing AR(1) against MA(1) Disturbances in an Error Component Model,” Journal of Econometrics, 68, 133–151.

Baltagi, B. H., Song, S. H., and Jung, B. C. (2002), “A Comparative Study of Alternative Estimators for the Unbalanced Two-Way Error Component Regression Model,” Econometrics Journal, 5, 480–493.

Bera, A. K., Sosa Escudero, W., and Yoon, M. (2001), “Tests for the Error Component Model in the Presence of Local Misspecification,” Journal of Econometrics, 101, 1–23.

Bhargava, A., Franzini, L., and Narendranathan, W. (1982), “Serial Correlation and Fixed Effects Model,” Review of Economic Studies, 49, 533–549.

Blundell, R. and Bond, S. (1998), “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models,” Journal of Econometrics, 87, 115–143.

Breitung, J. (2000), “The Local Power of Some Unit Root Tests for Panel Data,” in B. H. Baltagi, ed., Nonstationary Panels, Panel Cointegration, and Dynamic Panels, volume 15 of Advances in Econometrics, 161–178, Amsterdam: JAI Press.

Breitung, J. and Das, S. (2005), “Panel Unit Root Tests under Cross-Sectional Dependence,” Statistica Neerlandica, 59, 414–433.

Breitung, J. and Meyer, W. (1994), “Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated?” Applied Economics, 26, 353–361.

Breusch, T. S. and Pagan, A. R. (1980), “The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics,” Review of Econometric Studies, 47, 239–253.

Buse, A. (1973), “Goodness of Fit in Generalized Least Squares Estimation,” American Statistician, 27, 106–108.

Campbell, J. Y. and Perron, P. (1991), “Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots,” in O. Blanchard and S. Fisher, eds., NBER Macroeconomics Annual, 141–201, Cambridge, MA: MIT Press.

Choi, I. (2001), “Unit Root Tests for Panel Data,” Journal of International Money and Finance, 20, 249–272.

Choi, I. (2006), “Nonstationary Panels,” in T. C. Mills and K. Patterson, eds., Econometric Theory, volume 1 of Palgrave Handbook of Econometrics, 511–539, Basingstoke, UK: Palgrave Macmillan.

Chow, G. (1960), “Tests of Equality between Sets of Coefficients in Two Linear Regressions,” Econometrica, 28, 531–534.

Da Silva, J. G. C. (1975), The Analysis of Cross-Sectional Time Series Data, Ph.D. diss., North Carolina State University, Department of Statistics.

Davidson, R. and MacKinnon, J. G. (1993), Estimation and Inference in Econometrics, New York: Oxford University Press.

Davis, P. (2002), “Estimating Multi-way Error Components Models with Unbalanced Data Structures,” Journal of Econometrics, 106, 67–95.

Elliott, G., Rothenberg, T. J., and Stock, J. H. (1996), “Efficient Tests for an Autoregressive Unit Root,” Econometrica, 64, 813–836.

Feige, E. L. (1964), The Demand for Liquid Assets: A Temporal Cross-Section Analysis, Englewood Cliffs, NJ: Prentice-Hall.

Feige, E. L. and Swamy, P. A. (1974), “A Random Coefficient Model of the Demand for Liquid Assets,” Journal of Money, Credit, and Banking, 6, 241–252.

Fisher, R. A. (1932), Statistical Methods for Research Workers, 4th Edition, London: Oliver & Boyd.

Fuller, W. A. and Battese, G. E. (1974), “Estimation of Linear Models with Crossed-Error Structure,” Journal of Econometrics, 2, 67–78.

Gourieroux, C., Holly, A., and Monfort, A. (1982), “Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters,” Econometrica, 50, 63–80.

Greene, W. H. (1990), Econometric Analysis, New York: Macmillan.

Greene, W. H. (2000), Econometric Analysis, 4th Edition, Upper Saddle River, NJ: Prentice-Hall.

Hadri, K. (2000), “Testing for Stationarity in Heterogeneous Panel Data,” Econometrics Journal, 3, 148–161.

Hall, A. R. (1994), “Testing for a Unit Root with Pretest Data Based Model Selection,” Journal of Business and Economic Statistics, 12, 461–470.

Hamilton, J. D. (1994), Time Series Analysis, Princeton, NJ: Princeton University Press.

Hannan, E. J. and Quinn, B. G. (1979), “The Determination of the Order of an Autoregression,” Journal of the Royal Statistical Society, Series B, 41, 190–195.

Harris, R. D. F. and Tzavalis, E. (1999), “Inference for Unit Roots in Dynamic Panels Where the Time Dimension Is Fixed,” Journal of Econometrics, 91, 201–226.

Hausman, J. A. (1978), “Specification Tests in Econometrics,” Econometrica, 46, 1251–1271.

Hausman, J. A. and Taylor, W. E. (1982), “A Generalized Specification Test,” Economics Letters, 8, 239–245.

Honda, Y. (1985), “Testing the Error Components Model with Non-normal Disturbances,” Review of Economics Studies, 52, 681–690.

Honda, Y. (1991), “A Standardized Test for the Error Components Model with the Two-Way Layout,” Economics Letters, 37, 125–128.

Hsiao, C. (1986), Analysis of Panel Data, Cambridge: Cambridge University Press.

Im, K. S., Pesaran, M. H., and Shin, Y. (2003), “Testing for Unit Root in Heterogeneous Panels,” Journal of Econometrics, 115, 53–74.

Judge, G. G., Griffiths, W. E., Hill, R. C., Lütkepohl, H., and Lee, T.-C. (1985), The Theory and Practice of Econometrics, 2nd Edition, New York: John Wiley & Sons.

King, M. L. and Wu, P. X. (1997), “Locally Optimal One-Sided Tests for Multiparameter Hypotheses,” Econometric Reviews, 16, 131–156.

Kmenta, J. (1971), Elements of Econometrics, New York: Macmillan.

LaMotte, L. R. (1994), “A Note on the Role of Independence in t Statistics Constructed from Linear Statistics in Regression Models,” American Statistician, 48, 238–240.

Levin, A., Lin, C.-F., and Chu, C. S. (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108, 1–24.

Maddala, G. S. (1977), Econometrics, New York: McGraw-Hill.

Maddala, G. S. and Wu, S. (1999), “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631–652.

Moulton, B. R. and Randolph, W. C. (1989), “Alternative Tests of the Error Components Model,” Econometrica, 57, 685–693.

Nabeya, S. (1999), “Asymptotic Moments of Some Unit Root Test Statistics in the Null Case,” Econometric Theory, 15, 139–149.

Nerlove, M. (1971), “Further Evidence on the Estimation of Dynamic Relations from a Time Series of Cross Sections,” Econometrica, 39, 359–382.

Newey, W. K. and West, D. W. (1994), “Automatic Lag Selection in Covariance Matrix Estimation,” Review of Economic Studies, 61, 631–653.

Ng, S. and Perron, P. (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica, 69, 1519–1554.

Parks, R. W. (1967), “Efficient Estimation of a System of Regression Equations When Disturbances Are Both Serially and Contemporaneously Correlated,” Journal of the American Statistical Association, 62, 500–509.

Pesaran, M. H. (2004), “General Diagnostic Tests for Cross Section Dependence in Panels,” Institute for the Study of Labor (IZA) Discussion Paper No. 1240, CESifo Working Paper No. 1229, University of Cambridge, Department of Applied Economics.

Phillips, P. C. B. and Perron, P. (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 335–346.

Roy, S. N. (1957), Some Aspects of Multivariate Analysis, New York: John Wiley & Sons.

Searle, S. R. (1971), “Topics in Variance Component Estimation,” Biometrics, 26, 1–76.

Seely, J. (1969), Estimation in Finite-Dimensional Vector Spaces with Application to the Mixed Linear Model, Ph.D. diss., Iowa State University.

Seely, J. (1970a), “Linear Spaces and Unbiased Estimation,” Annals of Mathematical Statistics, 41, 1725–1734.

Seely, J. (1970b), “Linear Spaces and Unbiased Estimation—Application to the Mixed Linear Model,” Annals of Mathematical Statistics, 41, 1735–1748.

Seely, J. and Soong, S. (1971), A Note on MINQUE’s and Quadratic Estimability, Corvallis: Oregon State University.

Seely, J. and Zyskind, G. (1971), “Linear Spaces and Minimum Variance Unbiased Estimation,” Annals of Mathematical Statistics, 42, 691–703.

Stock, J. H. and Watson, M. W. (2002), Introduction to Econometrics, 3rd Edition, Reading, MA: Addison-Wesley.

Theil, H. (1961), Economic Forecasts and Policy, 2nd Edition, Amsterdam: North-Holland.

Wallace, T. and Hussain, A. (1969), “The Use of Error Components Model in Combining Cross Section with Time Series Data,” Econometrica, 37, 55–72.

Wansbeek, T. and Kapteyn, A. (1989), “Estimation of the Error-Components Model with Incomplete Panels,” Journal of Econometrics, 41, 341–361.

White, H. (1980), “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,” Econometrica, 48, 817–838.

Windmeijer, F. (2005), “A Finite Sample Correction for the Variance of Linear Efficient Two-Step GMM Estimators,” Journal of Econometrics, 126, 25–51.

Wooldridge, J. M. (2002), Econometric Analysis of Cross Section and Panel Data, Cambridge, MA: MIT Press.

Wu, D. M. (1973), “Alternative Tests of Independence between Stochastic Regressors and Disturbances,” Econometrica, 41, 733–750.

Zellner, A. (1962), “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias,” Journal of the American Statistical Association, 57, 348–368.