References

This guide draws on a handful of textbooks, the original papers behind the estimators discussed, and package documentation. The list below collects the works cited across the chapters.

Textbooks and lecture notes

  • Baltagi, B. H. Econometric Analysis of Panel Data. Wiley.
  • Baum, C. F. An Introduction to Modern Econometrics Using Stata. Stata Press.
  • Davidson, R., and J. G. MacKinnon. Econometric Theory and Methods. Oxford University Press.
  • Greene, W. H. Econometric Analysis. Prentice Hall.
  • Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.
  • Wooldridge, J. M. Econometric Analysis of Cross Section and Panel Data. MIT Press.

Core papers

  • Anderson, T. W., and C. Hsiao (1981). “Estimation of Dynamic Models with Error Components.” Journal of the American Statistical Association 76: 598–606.
  • Andrews, D. W. K., M. J. Moreira, and J. H. Stock (2006). “Optimal Two-Sided Invariant Tests for Instrumental Variables Regression.” Econometrica 74(3): 715–752.
  • Arellano, M., and S. Bond (1991). “Some Tests of Specification for Panel Data.” Review of Economic Studies 58: 277–297.
  • Baltagi, B. H., and D. Levin (1992). “Cigarette Taxation: Raising Revenues and Reducing Consumption.” Structural Change and Economic Dynamics 3(2): 321–335.
  • Blundell, R., and S. Bond (1998). “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models.” Journal of Econometrics 87: 115–143.
  • Cameron, A. C., and P. K. Trivedi (2005). Microeconometrics: Methods and Applications. Cambridge University Press.
  • Cox, D. R. (1972). “Regression Models and Life-Tables.” Journal of the Royal Statistical Society B 34: 187–220.
  • Grogger, J. T., and R. T. Carson (1991). “Models for Truncated Counts.” Journal of Applied Econometrics 6(3): 225–238.
  • Heckman, J. J. (1979). “Sample Selection Bias as a Specification Error.” Econometrica 47: 153–161.
  • Judson, R. A., and A. L. Owen (1999). “Estimating Dynamic Panel Data Models: A Guide for Macroeconomists.” Economics Letters 65: 9–15.
  • Moreira, M. J. (2003). “A Conditional Likelihood Ratio Test for Structural Models.” Econometrica 71: 1027–1048.
  • Newey, W. K., and K. D. West (1987). “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55: 703–708.
  • Newey, W. K., and K. D. West (1994). “Automatic Lag Selection in Covariance Matrix Estimation.” Review of Economic Studies 61: 631–653.
  • Nickell, S. (1981). “Biases in Dynamic Models with Fixed Effects.” Econometrica 49: 1417–1426.
  • Sargan, J. D. (1958). “The Estimation of Economic Relationships Using Instrumental Variables.” Econometrica 26: 393–415.
  • Singer, J. D., and J. B. Willett (1993). “It’s About Time: Using Discrete-Time Survival Analysis to Study Duration and the Timing of Events.” Journal of Educational Statistics 18: 155–195.
  • Stock, J. H., and M. Yogo (2005). “Testing for Weak Instruments in Linear IV Regression.” In Identification and Inference for Econometric Models, ed. Andrews and Stock. Cambridge University Press.
  • Wooldridge, J. M. (1999). “Distribution-Free Estimation of Some Nonlinear Panel Data Models.” Journal of Econometrics 90: 77–97.

Missing data

  • Rubin, D. B. (1987). Multiple Imputation for Nonresponse in Surveys. Wiley.
  • van Buuren, S. (2018). Flexible Imputation of Missing Data. 2nd ed. CRC Press. (MICE.)

Software

  • R Core Team. R: A Language and Environment for Statistical Computing. R packages used in the code examples include AER, ivreg, gmm, survival, MASS, mvtnorm, strucchange, and car.
  • StataCorp. Stata Statistical Software.