Econometric analysis of panel data (Q2204689)

Badi Baltagi defines panel data as: ``pooling of observations on a cross-section of households, countries, firms etc. over several time periods''. In Wikipedia, the related definition reads: ``Panel data is a subset of longitudinal data where observations are for the same subjects each time.'' Practically, however, the notion ``panel data'' is mainly used in economy-related papers. The present book, now in its 6th edition since 1995, is probably the most important book about this topic. It carefully goes through the themes, explains clearly, and gives many elucidating examples. The chapters of the book are: 1. Introduction, 2. One-way error component regression model, 3. Two-way error component regression model, 4. Test of hypotheses with panel data, 5. Heteroskedasticity and serial correlation in the error component model, 6. Seemingly unrelated regression with error components, 7. Simultaneous equations with error components, 8. Dynamic panel data models, 9. Unbalanced panel data models, 10. Special topics, 11. Limited dependent variables and panel data, 12. Nonstationary panels, 13. Spatial panel data models. Each chapter ends with a short list of references. See the review of the first edition from 1995 in [Zbl 0836.62105]. From the publisher's description: ``This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews.''