PanelDataFinal2009

PanelDataFinal2009 - Department of Economics Econometric...

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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: [email protected] URL for course web page: www.stern.nyu.edu/~wgreene/Econometrics/PanelDataEconometrics.htm Final Examination: Spring 2009 This is a ‘take home’ examination. Today is Friday, May 1, 2009. Your answers are due on Friday, May 15, 2009. 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. The six parts of the exam are weighted as follows: Part I. The Hausman and Taylor Estimator 10 Part II. Panel Data Regressions 20 Part III. Instrumental Variable and GMM Estimation 10 Part IV. Binary Choice Models 20 Part V. Sample Selection 20 Part VI. A Loglinear Model 20 Note, in parts of the exam in which you are asked to report the results of computation, please filter your response so that you present the numerical results as part of an organized discussion of the question. Do not submit long, unannotated pages of computer output. Part I. (Continuing the 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 The course website contains Munnell’s data set on statewide production, in ASCII text form, http://pages.stern.nyu.edu/~wgreene/Econometrics/productivity.txt as well in the form of an Excel spreadsheet file, .xls format and a limdep/nlogit project file, .lpj format. The data in the file are a panel on the following variables for the lower 48 states, 17 years, STATE = state name YR = year, 1970,. ..,1986 P_CAP = public capital Department of Economics
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HWY = highway capital WATER = water utility capital UTIL = utility capital PC = private capital GSP = gross state product EMP = employment UNEMP = unemployment rate Do this exercise with Stata, R, LIMDEP (or NLOGIT ), or any other software you wish to use. The basic model of interest is Y it = β 1 X1 it + β 2 X2 it + β 3 X3 it + β 4 X4 it + β 5 X5 it + c i + ε it Where Y is logGSP, X1 is logPC, X2 is logHWY, X3 is logWATER, X4 is logUTIL and X5 is logEMP. This is a Cobb-Douglas production function. a. Fit the “pooled” model and report your results b. Fit a random effects model and a fixed effects model. Use your model results to decide which is the preferable model. If you find that neither panel data model is preferred to the pooled model, show how you reached that conclusion. As part of the analysis, test the hypothesis that there are no “state effects.” c. Assuming that there are “latent individual (state) effects,” the asymptotic covariance matrix that is
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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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PanelDataFinal2009 - Department of Economics Econometric...

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