PanelDataFinal2007

PanelDataFinal2007 - Department of Economics Econometric...

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Department of Economics Econometric Analysis of Panel Data Professor William Greene Phone: 212.998.0876 Office: KMC 7-78 Home page:www.stern.nyu.edu/~wgreene Office Hours: TR, 3:00 - 5:00 Email: wgreene@stern.nyu.edu URL for course web page: www.stern.nyu.edu/~wgreene/Econometrics/PanelDataEconometrics.htm Final Examination: Spring 2007 This is a ‘take home’ examination. Today is Tuesday, May 1, 2007. Your answers are due on Friday, May 11, 2007. You may use any resources you wish – textbooks, computer, the web, etc. – but please work alone and submit only your own answers to the questions. Part I. (Continuing a (now) tradition) The Hausman and Taylor Estimator Write out a full statement of the procedure that Hausman and Taylor devised for estimation of the parameters in a panel data model in which some independent variables are correlated with the time invariant part of the disturbance in a random effects model. Now, show how the Arellano/Bond/Bover estimator uses the Hausman and Taylor result. Part II. Panel Data Regressions Munnell (1990) analyzed the productivity of public capital at the state level using a Cobb-Douglas production function. We will use the data from that study to estimate a three level log linear regression model ln GSP it = α i + β 1 ln p_cap it + β 2 ln hwy it + β 3 ln water it + β 4 ln priv_cap it + β 5 ln util it + β 6 ln emp it + β 7 unemp it + ε it where the variables in the model are GSP = gross state product, p _ cap = public capital, hwy = highway capital, water = water utility capital, priv_cap = private capital, util = utility capital, emp = employment (labor), unemp = unemployment rate. The data set consists of a balanced panel of 48 states and 17 years (1970-1986). There are 816 observations in total, arranged by state, then year within the state. The data are posted on the home page for the course as a LIMDEP project file,
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http://www.stern.nyu.edu/~wgreene/Econometrics/Munnell-Productivity.lpj and in three other formats, .txt which is a simple text file, 816 lines of data plus a line of names at the top of the file, .xls which you can read directly into Excel or any other program directly, and .lim which is a LIMDEP command file that is the same as the .txt file except it contains a READ command. Do this exercise with LIMDEP (or NLOGIT ), or any other software you wish to use.
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This note was uploaded on 01/05/2012 for the course B 55.9912 taught by Professor Willamgreene during the Fall '11 term at NYU.

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PanelDataFinal2007 - Department of Economics Econometric...

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