Dynamic Panel Data Models

1. Linear Dynamic Models
Hsiao, (2003), Analysis of Panel Data, 2nd edition, Cambridge University Press, Ch. 4,1-4.6.
(2001), “Eﬃcient Estimation of Dynamic Panel Data Models — With
An Application to the Analysis of Foreign Direct Investment to Developing Countries,”
invited lecture of the Ecomometric Society Far Eastern Meeting in Kobe, Japan.
Ahn, S.C., and P. Schmidt (1995), “Eﬃcient Estimation of Models for Dynamic PanelData,” Journal of Econometrics, 68, 5-27.
Anderson, T.W. and C. Hsiao (1981), “Estimation of Dynamic Models with Error Components,” Journal of the American Statistical Association, 76, 598-606.
(1982), “Formulation and Estimation of Dynamic Models Using PanelData,” Journal of Econometrics, 18, 47-82.
Arellano, M. and O. Bover (1995), “Another Look at the Instrumental Variable Estimationof Error-Components Models,” Journal of Econometrics, 68, 29-51.
Balestra, P. and M. Nerlove (1966), “Pooling Cross-Section and Time Series Data in theEstimation of a Dynamic Model: The Demand for Natural Gas,” Econometrica, 34,585-612.
Hsiao, C., M.H. Pesaran and A.K. Tahmiscioglu (2002), “Maximum Likelihood Estimationof Fixed Eﬀexcts Dynamic Panel Data Models Covering Short Time Periods,” Journalof Econoemtrics, 109, 107-150.
2. Vector Autoregressive Models
Hsiao (2003), Analysis of Panel Data, 2nd edition, New York: Cambridge University Press.
(Econometric Society Monograph no. 34). ch. 4.7.
Binder, M., C. Hsiao and M.H. Pesaran (2003), “Estimation and Inference in Short Panel
Vector Autoregressions with Unit Roots and Cointegration,” mimeo.
3. Dynamic Discrete Choice Models
Hsiao, (2003), Analysis of Panel Data, 2nd edition, Cambridge University Press, Ch. 7.3
and 7.5.
Chamberlain, G. (1980), “Analysis of Covariance with Qualitative Data,” Review of Economic Studies, 47, 225-238.
Honoré, B.E. (1993), “Orthogonality Conditions for Tobit Models with Fixed Eﬀects andLagged Dependent Variables,” Journal of Econometrics, 59, 35-61.
4. Dynamic Tobit Models

Hsiao, (2003), Analysis of Panel Data, 2nd edition, Cambridge University Press, Ch. 8.4
and 8.6.
Honoré, B.E., (1992), “Trimmed LAD and Least Squares Estimation of Truncated andCensored Regression Models with Fixed Eﬀects,” Econometrica 60, 533-567.
Honoré, B.E. (1993), “Orthogonality Conditions for Tobit Models with Fixed Eﬀects andLagged Dependent Variables,” Journal of Econometrics, 59, 35-61.
Hu, L. (2002), “Estimating a Censored Dynamic Panel Data Model with an Application
to Earnings Dynamics,” Econoemtrica, 70, 2499-2517.
Kyriazidou, E. (1997), “Estimation of a Panel Data Sample Selection Model, Econometrica,
65, 1335-1364.
Kyriazidou, E. (2001), “Estimation of Dynamic Panel Data Sample Selection Models,”
Review of Economic Studies.
5. Dynamic Variable Coeﬃcients Models
Hsiao, (2003), Analysis of Panel Data, 2nd edition, Cambridge University Press, Ch. 6.2,
6.7 and 6.8
Hsiao, C. and A.K. Tahmiscioglu (1997), “A Panel Analysis of Liquidity Constraints andFirm Investment,” Journal of the American Statistical Association, 92, 455-465.
Hsiao, C., M.H. Pesaran and A.K. Tahmiscioglu (1999), “Bayes Estimation of Short-Run
Coeﬃcients in Dymamic Panel Data Models,” in Analysis of Panels and Limited
Dependent Varibles Models, ed. by C. Hsiao, L.F. Lee, K. Lahiri and M.H. Pesaran,
Cambridge: Cambridge University Press, 268-296.
Hsiao, C. Y. Shen and H. Fujiki (2003), “Aggregate vs Disaggregate Data Analysis —A Paradox in the Estimation of Money Demand Function of Japan Under the Low
Interest Rate Policy,” Journal of Applied Econometrics (forthcoming).
Pesaran, M.H. and R. Smith (1995), “Estimation of Long-Run Relationships from Dynamic
Heterogeneous Panels,” Journal of Econometrics, 68, 79-114.