Panel Data Econometrics

Panel Data Econometrics

Volumn , Issue , 2003, Pages 1-244

  Arellano, Manuel ^a  

^a CEMFI   (Spain)

Author keywords

Dynamic models; Error components; Linear static models; Panel data econometrics; Time series models

Indexed keywords

EID: 84920580593     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/0199245282.001.0001     Document Type: Book

References (162)

1. Abowd, J. M. and D. Card (1989): "On the Covariance Structure of Earnings and Hours Changes", Econometrica, 57, 411-445.
2. Ahn, S. and P. Schmidt (1995): "Efficient Estimation of Models for Dynamic Panel Data", Journal of Econometrics, 68, 5-27.
3. Aigner, D. J., C. Hsiao, A. Kapteyn, and T. Wansbeek (1984): "Latent Variable Models in Econometrics", in Griliches, Z. and M. D. Intriligator (eds.), Handbook of Econometrics, vol. 2, Elsevier Science, Amsterdam.
4. Alonso-Borrego, C. and M. Arellano (1999): "Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data", Journal of Business & Economic Statistics, 17, 36-49.
5. Altonji, J. G. and A. Siow (1987): "Testing the Response of Consumption to Income Changes with (Noisy) Panel Data", Quarterly Journal of Economics, 102, 293-328.
6. Alvarez, J. (1999): "Dynamics and Seasonality in Quarterly Panel Data: An Analysis of Earnings Mobility in Spain", Working Paper 9914, CEMFI, Madrid.
7. Alvarez, J. and M. Arellano (1998): "The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators", Working Paper 9808, CEMFI, Madrid (forthcoming in Econometrica, 2003).
8. Amemiya, T. (1971): "The Estimation of the Variances in a Variance-Components Model", International Economic Review, 12, 1-3.
9. Amemiya, T. (1977): "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model", Econometrica, 45, 955-968.
10. Amemiya, T. (1985): Advanced Econometrics, Blackwell, Oxford.
11. Amemiya, T. and T. E. MaCurdy (1986): "Instrumental-variable Estimation of an Error-components Model", Econometrica, 54, 869-881.
12. Andersen, E. B. (1970): "Asymptotic Properties of Conditional Maximum Likelihood Estimators", Journal of the Royal Statistical Society, Series B, 32, 283-301.
13. Anderson, T. W. and C. Hsiao (1981): "Estimation of Dynamic Models with Error Components", Journal of the American Statistical Association, 76, 598-606.
14. Anderson, T. W. and C. Hsiao (1982): "Formulation and Estimation of Dynamic Models Using Panel Data", Journal of Econometrics, 18, 47-82.
15. Angrist, J. D. and W. N. Evans (1998): "Children and Their Parents Labor Supply: Evidence from Exogenous Variation in Family Size", American Economic Review, 88, 450-477.
16. Arellano, M. (1985): "Estimation and Testing of Dynamic Econometric Models from Panel Data", Ph.D. Thesis, London School of Economics.
17. Arellano, M. (1987): "Computing Robust Standard Errors for Within-Group Estimators", Oxford Bulletin of Economics and Statistics, 49, 431-434.
18. Arellano, M. (1989a): "On the Efficient Estimation of Simultaneous Equations with Covariance Restrictions", Journal of Econometrics, 42, 247-265.
19. Arellano, M. (1989b): "An Efficient GLS Estimator of Triangular Models with Covariance Restrictions", Journal of Econometrics, 42, 267-273.
20. Arellano, M. (1990): "Testing for Autocorrelation in Dynamic Random Effects Models", Review of Economic Studies, 57, 127-134.
21. Arellano, M. (1993): "On the Testing of Correlated Effects with Panel Data", Journal of Econometrics, 59, 87-97.
22. Arellano, M. (2000): "Modelling Optimal Instrumental Variables for Panel Data Models", Working Paper, CEMFI, Madrid.
23. Arellano, M. (2002): "Sargan's Instrumental Variables Estimation and the Generalized Method of Moments", Journal of Business & Economic Statistics, 20, 450-459.
24. Arellano, M. and S. R. Bond (1988): "Dynamic Panel Data Estimation Using DPD-A Guide for Users", Institute for Fiscal Studies, Working Paper 88/15, London.
25. Arellano, M. and S. R. Bond (1991): "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations", Review of Economic Studies, 58, 277-297.
26. Arellano, M. and O. Bover (1995): "Another Look at the Instrumental- Variable Estimation of Error-Components Models", Journal of Econometrics, 68, 29-51.
27. Arellano, M. and B. Honoré (2001): "Panel Data Models: Some Recent Developments", in Heckman, J. J. and E. Leamer (eds.), Handbook of Econometrics, vol. 5, chapter 53, North-Holland.
28. Arellano, M., L. P. Hansen, and E. Sentana (1999): "Underidentification?", unpublished manuscript, CEMFI, Madrid.
29. Ashenfelter, O. and D. Card (1985): "Using the Longitudinal Structure of Earnings to Estimate the Effect of Training Programs", Review of Economics and Statistics, 67, 648-660.
30. Ashenfelter, O. and A. Krueger (1994): "Estimates of the Economic Return to Schooling from a New Sample of Twins", American Economic Review, 84, 1157-1173.
31. Balestra, P. and M. Nerlove (1966): "Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas", Econometrica, 34, 585-612.
32. Baltagi, B. H. (1995): Econometric Analysis of Panel Data, John Wiley, Chichester.
33. Barro, R. J. and X. Sala-i-Martin (1995): Economic Growth, McGraw-Hill, New York.
34. Becker, G., M. Grossman, and K. Murphy (1994): "An Empirical Analysis of Cigarette Addiction", American Economic Review, 84, 396-418.
35. Bekker, P.A. (1994): "Alternative Approximations to the Distributions of Instrumental Variable Estimators", Econometrica, 62, 657-681.
36. Benhabib, J. and M. M. Spiegel (2000): "The Role of Financial Development in Growth and Investment", Journal of Economic Growth, 5, 341-360.
37. Bhargava, A. and J. D. Sargan (1983): "Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods", Econometrica, 51, 1635-1659.
38. Blundell, R. and R. Smith (1991): "Initial Conditions and Efficient Estimation in Dynamic Panel Data Models", Annales d'Economie et de Statistique, 20/21, 109-123.
39. Blundell, R. and S. Bond (1998): "Initial Conditions and Moment Restrictions in Dynamic Panel Data Models", Journal of Econometrics, 87, 115-143.
40. Blundell, R. and S. Bond (2000): "GMM Estimation with Persistent Panel Data: An Application to Production Functions", Econometric Reviews, 19, 321-340.
41. Blundell, R., S. Bond, M.P. Devereux, and F. Schiantarelli (1992): "Investment and Tobin's Q: Evidence from Company Panel Data", Journal of Econometrics, 51, 233-257.
42. Bond, S. and C. Meghir (1994): "Dynamic Investment Models and the Firm's Financial Policy", Review of Economic Studies, 61, 197-222.
43. Bond, S. R., A. Hoeffler, and J. Temple (2001): "GMM Estimation of Empirical Growth Models", CEPR Discussion Paper 3048, London.
44. Bover, O. (1991): "Relaxing Intertemporal Separability: A Rational Habits Model of Labor Supply Estimated from Panel Data", Journal of Labor Economics, 9, 85-100.
45. Bover, O. and N. Watson (2000): "Are There Economies of Scale in the Demand for Money by Firms? Some Panel Data Estimates", Working Paper 0008, Research Department, Bank of Spain.
46. Breusch, T. S., G. E. Mizon, and P. Schmidt (1989): "Efficient Estimation Using Panel Data", Econometrica, 57, 695-700.
47. Browning, M., A. Deaton, and M. Irish (1985): "A Profitable Approach to Labor Supply and Commodity Demand over the Life-Cycle", Econometrica, 53, 503-543.
48. Carrasco, R. (2001): "Binary Choice with Binary Endogenous Regressors in Panel Data: Estimating the Effect of Fertility on Female Labor Participation", Journal of Business & Economic Statistics, 19, 385-394.
49. Caselli, F., G. Esquivel, and F. Lefort (1996): "Reopening the Convergence Debate: A New Look at Cross-Country Growth Empirics", Journal of Economic Growth, 1, 363-389.
50. Chamberlain, G. (1982): "Multivariate Regression Models for Panel Data", Journal of Econometrics, 18, 5-46.
51. Chamberlain, G. (1984): "Panel Data", in Griliches, Z. and M. D. Intriligator (eds.), Handbook of Econometrics, vol. 2, Elsevier Science, Amsterdam.
52. Chamberlain, G. (1985): "Heterogeneity, Omitted Variable Bias, and Duration Dependence", in Heckman, J. J. and B. Singer (eds.), Longitudinal Analysis of Labor Market Data, Cambridge University Press, Cambridge.
53. Chamberlain, G. (1987): "Asymptotic Efficiency in Estimation with Conditional Moment Restrictions", Journal of Econometrics, 34, 305-334.
54. Chamberlain, G. (1992a): "Efficiency Bounds for Semiparametric Regression", Econometrica, 60, 567-596.
55. Chamberlain (1992b): Comment: Sequential Moment Restrictions in Panel Data", Journal of Business & Economic Statistics, 10, 20-26.
56. Chamberlain, G. (1993): "Feedback in Panel Data Models", unpublished manuscript, Department of Economics, Harvard University.
57. Chamberlain, G. (2000): "Econometrics and Decision Theory", Journal of Econometrics, 95, 255-283.
58. Chamberlain, G. and K. Hirano (1999): "Predictive Distributions Based on Longitudinal Earnings Data", Annales d'Économie et de Statistique, 55-56, 211-242.
59. Chowdhury, G. and S. Nickell (1985): "Hourly Earnings in the United States:Another Look at Unionization, Schooling, Sickness, and Unemployment Using PSID Data", Journal of Labor Economics, 3, 38-69.
60. Cox, D. R. and N. Reid (1987): "Parameter Orthogonality and Approximate Conditional Inference" (with discussion), Journal of the Royal Statistical Society, Series B, 49, 1-39.
61. Crepon, B., F. Kramarz, and A. Trognon (1997): "Parameters of Interest, Nuisance Parameters and Orthogonality Conditions. An Application to Autoregressive Error Component Models", Journal of Econometrics, 82, 135-156.
62. Deaton, A. (1991): "Saving and Liquidity Constraints", Econometrica, 59, 1221-1248.
63. Forbes, K. J. (2000): "A Reassessment of the Relationship Between Inequality and Growth", American Economic Review, 90, 869-887.
64. Forni, M. and L. Reichlin (1998): "Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics", Review of Economic Studies, 65, 453-473.
65. Geweke, J. and M. Keane (2000): "An Empirical Analysis of Earnings Dynamics Among Men in the PSID: 1968-1989", Journal of Econometrics, 96, 293-356.
66. Goldberger, A. S. (1978): "The Genetic Determination of Income: Comment", American Economic Review, 68, 960-969.
67. Goldberger, A. S. (1991): A Course in Econometrics, Harvard University Press.
68. Granger, C. W. J. (1969): "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods", Econometrica, 37, 424-438.
69. Griliches, Z. (1977): "Estimating the Returns to Schooling: Some Econometric Problems", Econometrica, 45, 1-22.
70. Griliches, Z. (1979): "Sibling Models and Data in Economics: Beginnings of a Survey", Journal of Political Economy, 87, S37-S64.
71. Griliches, Z. and J. A. Hausman (1986): "Errors in Variables in Panel Data", Journal of Econometrics, 31, 93-118.
72. Griliches, Z. and J. Mairesse (1998): "Production Functions: The Search for Identification", in Strom, S. (ed.), Econometrics and Economic Theory in the 20th Century, The Ragnar Frisch Centennial Symposium, Cambridge University Press, Cambridge.
73. Hahn, J. (1997): "Efficient Estimation of Panel Data Models with Sequential Moment Restrictions", Journal of Econometrics, 79, 1-21.
74. Hahn, J. (1999): "How Informative Is the Initial Condition in the Dynamic Panel Model with Fixed Effects?", Journal of Econometrics, 93, 309-326.
75. Hahn, J. and G. Kuersteiner (2002): "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects When Both n and T are Large", Econometrica, 70, 1639-1657.
76. Hall, R. and F. Mishkin (1982): "The Sensitivity of Consumption to Transitory Income: Estimates from Panel Data on Households", Econometrica, 50, 461-481.
77. Hansen, L. P. (1982): "Large Sample Properties of Generalized Method of Moments Estimators", Econometrica, 50, 1029-1054.
78. Hansen, L. P. (1985): "A Method of Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators", Journal of Econometrics, 30, 203-238.
79. Hansen, L. P., J. Heaton, and A. Yaron (1996): "Finite Sample Properties of Some Alternative GMM Estimators", Journal of Business & Economic Statistics, 14, 262-280.
80. Harris, R. D. F. and E. Tzavalis (1999): "Inference for Unit Roots in Dynamic Panels where the Time Dimension is Fixed", Journal of Econometrics, 91, 201-226.
81. Hause, J. C. (1980): ""The Fine Structure of Earnings and the On-the-Job Training Hypothesis", Econometrica, 48, 1013-1029.
82. Hausman, J. A. (1978): "Specification Tests in Econometrics", Econometrica, 46, 1251-1272.
83. Hausman, J. A. and W. E. Taylor (1981): "Panel Data and Unobservable Individual Effects", Econometrica, 49, 1377-1398.
84. Hausman, J. A., W. K. Newey, and J. L. Powell (1995): "Nonlinear Errors in Variables Estimation of Some Engel Curves", Journal of Econometrics, 65, 205-233.
85. Hayashi, F. and C. Sims (1983): "Nearly Efficient Estimation of Time Series Models with Predetermined, But Not Exogenous, Instruments", Econometrica, 51, 783-798.
86. Hayashi, F. and T. Inoue (1991): "The Relation Between Firm Growth and Q with Multiple Capital Goods: Theory and Evidence from Panel Data on Japanese Firms", Econometrica, 59, 731-753.
87. Heckman, J. J. and T. E. MaCurdy (1980): "A Life Cycle Model of Female Labour Supply." Review of Economic Studies, 47, 47-74.
88. Hildreth, C. (1949): "Preliminary Considerations Regarding Time Series and/or Cross Section Studies", Cowles Commission Discussion Paper, Statistics No. 333.
89. Hildreth, C. (1950): "Combining Cross Section Data and Time Series Data", Cowles Commission Discussion Paper, No. 347.
90. Hirano, K. (2002): "Semiparametric Bayesian Inference in Autoregressive Panel Data Models", Econometrica, 70, 781-799.
91. Hoch, I. (1962): "Estimation of Production Function Parameters Combining Time-Series and Cross-Section Data", Econometrica, 30, 34-53.
92. Holtz-Eakin, D. (1988): "Testing for Individual Effects in Autoregressive Models", Journal of Econometrics, 39, 297-307.
93. Holtz-Eakin, D., W. Newey, and H. Rosen (1988): "Estimating Vector Autoregressions with Panel Data", Econometrica, 56, 1371-1395.
94. Horowitz, J. L. (1998): Semiparametric Methods in Econometrics, Springer-Verlag, New York.
95. Horowitz, J. L. and M. Markatou (1996): "Semiparametric Estimation of Regression Models for Panel Data", Review of Economic Studies, 63, 145-168.
96. Hsiao, C. (1986): Analysis of Panel Data, Cambridge University Press, Cambridge.
97. Hsiao, C., M. H. Pesaran, and A. K. Tahmiscioglu (2002): "Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods", Journal of Econometrics, 109, 107-150.
98. Hurwicz, L. (1950): "Least Squares Bias in Time Series", in Koopmans, T. C. (ed.), Statistical Inference in Dynamic Economic Models, Cowles Commission Monograph No. 10, John Wiley, New York.
99. Imbens, G. (1997): "One-step Estimators for Over-identified Generalized Method of Moments Models", Review of Economic Studies, 64, 359-383.
100. Imbens, G., R. Spady, and P. Johnson (1998): "Information Theoretic Approaches to Inference in Moment Condition Models", Econometrica, 66, 333-357.
101. Islam, N. (1995): "Growth Empirics: A Panel Data Approach", Quarterly Journal of Economics, 110, 1127-1170.
102. Jennrich, R. I. (1969): "Asymptotic Properties of Non-Linear Least Squares Estimators", Annals of Mathematical Statistics, 40, 633-643.
103. Jöreskog, K. G. and D. Sörbom (1977): "Statistical Models and Methods for Analysis of Longitudinal Data", in Aigner, D. J. and A. S. Goldberger (eds.), Latent Variables in Socio-Economic Models, North-Holland, Amsterdam.
104. Keane, M. and D. Runkle (1992): "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous", Journal of Business & Economic Statistics, 10, 1-9.
105. Kiefer, N. M. (1980): "Estimation of Fixed Effect Models for Time Series of Cross-Sections with Arbitrary Intertemporal Covariance", Journal of Econometrics, 14, 195-202.
106. King, M., E. Sentana, and S. Wadhwani (1994): "Volatility and Links Between National Stock Markets", Econometrica, 62, 901-933.
107. Kiviet, J. F. (1995): "On Bias, Inconsistency, and Efficiency of Various Estimators in Dynamic Panel Data Models", Journal of Econometrics, 68, 53-78.
108. Kruiniger, H. (1998): "Conditional Maximum Likelihood Estimation of Dynamic Panel Data Models", University College London Economics Paper 98-04.
109. Lahiri, K. and P. Schmidt (1978): "On the Estimation of Triangular Structural Systems", Econometrica, 46, 1217-1221.
110. Lancaster, T. (2000): "The Incidental Parameter Problem Since 1948", Journal of Econometrics, 95, 391-413.
111. Lancaster, T. (2002): "Orthogonal Parameters and Panel Data", Review of Economic Studies, 69, 647-666.
112. Levine, R., N. Loayza, and T. Beck (2000): "Financial Intermediation and Growth: Causality and Causes", Journal of Monetary Economics, 46, 31-77.
113. Lillard, L. and R. J. Willis (1978): "Dynamic Aspects of Earnings Mobility", Econometrica, 46, 985-1012.
114. Lillard, L. and Y. Weiss (1979): "Components of Variation in Panel Earnings Data: American Scientists 1960-1970", Econometrica, 47, 437-454.
115. MaCurdy, T. E. (1981): "An Empirical Model of Labor Supply in a Life-Cycle Setting", Journal of Political Economy, 89, 1059-1085.
116. MaCurdy, T. E. (1982a): "Using Information on the Moments of Disturbances to Increase the Efficiency of Estimation", NBER Technical Paper 22, Cambridge, MA.
117. MaCurdy, T. E. (1982b): "The Use of Time Series Processes to Model the Error Structure of Earnings in a Longitudinal Data Analysis", Journal of Econometrics, 18, 83-114.
118. MaCurdy, T. E. (1985): "Interpreting Empirical Models of Labor Supply in an Intertemporal Framework with Uncertainty", in Heckman, J. J. and B. Singer (eds.), Longitudinal Analysis of Labor Market Data, Cambridge University Press, Cambridge.
119. Maddala, G. S. (1971): "The Use of Variance Components Models in Pooling Cross Section and Time Series Data", Econometrica, 39, 351-358.
120. Magnus, J. R. and H. Neudecker (1988): Matrix Differential Calculus with Applications in Statistics and Econometrics, John Wiley, Chichester.
121. Malinvaud, E. (1970): "The Consistency of Nonlinear Regressions", Annals of Mathematical Statistics, 41, 956-969.
122. Mankiw, N. G., D. Romer, and D. N. Weil (1992): "A Contribution to the Empirics of Economic Growth", Quarterly Journal of Economics, 107, 407-437.
123. Manski, C. (1988): Analog Estimation Methods in Econometrics, Chapman and Hall, London.
124. Mariger, R.-P. and K. Shaw (1993): "Unanticipated Aggregate Disturbances and Tests of the Life-Cycle Consumption Model Using Panel Data", Review of Economics and Statistics, 75, 48-56.
125. Mulligan, C. B. (1997): "Scale Economies, the Value of Time, and the Demand for Money: Longitudinal Evidence from Firms", Journal of Political Economy, 105, 1061-1079.
126. Mundlak, Y. (1961): "Empirical Production Function Free of Management Bias", Journal of Farm Economics, 43, 44-56.
127. Mundlak, Y. (1978): "On the Pooling of Time Series and Cross Section Data", Econometrica, 46, 69-85.
128. Nerlove, M. (1967), "Experimental Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross-Sections", Economic Studies Quarterly, 18, 42-74.
129. Nerlove, M. (1971), "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections", Econometrica, 39, 359-387.
130. Newey, W. K. (1990): "Efficient Instrumental Variables Estimation of Nonlinear Models", Econometrica, 58, 809-837.
131. Newey, W. K. (1993): "Efficient Estimation of Models with Conditional Moment Restrictions", in Maddala, G. S., C. R. Rao, and H. D. Vinod (eds.), Handbook of Statistics, Vol. 11, Elsevier Science.
132. Newey, W. K. and K. D. West (1987): "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55, 703-708.
133. Newey, W. and D. McFadden (1994): "Large Sample Estimation and Hypothesis Testing", in Engle, R. F. and D. L. McFadden (eds.) Handbook of Econometrics, IV, Ch. 36, North-Holland.
134. Newey, W. K. and R. J. Smith (2002): "Asymptotic Bias and Equivalence of GMM and GEL Estimators", unpublished manuscript, University of Bristol.
135. Neyman, J. and E. L. Scott (1948): "Consistent Estimation from Partialy Consistent Observations", Econometrica, 16, 1-32.
136. Nickell, S. (1981): "Biases in Dynamic Models with Fixed Effects", Econometrica, 49, 1417-1426.
137. Pakes, A. and Z. Griliches (1984): "Estimating Distributed Lags in Short Panels with an Application to the Specification of Depreciation Patterns and Capital Stock Constructs", Review of Economic Studies, 51, 243-262.
138. Pesaran, M. H. and R. Smith (1995): "Estimating Long-Run Relationships from Dynamic Heterogeneous Panels", Journal of Econometrics, 68, 79-113.
139. Phillips, P. C. B. (1983): "Exact Small Sample Theory in the Simultaneous Equations Model", in Griliches, Z. and M. D. Intriligator (eds.), Handbook of Econometrics, vol. 1, North-Holland, Amsterdam, Ch. 8.
140. Phillips, P. C. B. and H. R. Moon (2000): "Nonstationary Panel Data Analysis:An Overview of Some Recent Developments", Econometric Reviews, 19(3).
141. Qin, J. and J. Lawless (1994): "Empirical Likelihood and General Estimating Equations", Annals of Statistics, 22, 300-325.
142. Richard, J.-F. (1975): "A Note on the Information Matrix of the Multivariate Normal Distribution", Journal of Econometrics, 3, 57-60.
143. Robinson, P. (1987): "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form", Econometrica, 55, 875-891.
144. Rothenberg, T. J. (1973): Efficient Estimation with A Priori Information, Cowles Foundation Monograph no. 23, Yale University Press, New Haven, CT.
145. Runkle, D. E. (1991): "Liquidity Constraints and the Permanent Income Hypothesis: Evidence from Panel Data", Journal of Monetary Economics, 97, 73-98.
146. Sargan, J. D. (1958): "The Estimation of Economic Relationships Using Instrumental Variables", Econometrica, 26, 393-415.
147. Sargan, J. D. (1959): "The Estimation of Relationships with Autocorrelated Residuals by the Use of Instrumental Variables", Journal of the Royal Statistical Society. Series B, 21, 91-105.
148. Sargan, J. D. (1964): "Three-Stage Least-Squares and Full Maximum Likelihood Estimates", Econometrica, 32, 77-81.
149. Sargent, T. J. (1978): "Estimation of Dynamic Labor Demand Schedules Under Rational Expectations", Journal of Political Economy, 86, 1009-1044.
150. Schiantarelli, F. and A. Sembenelli (1993): "Asymmetric Adjustment Costs and the Estimation of Euler Equations for Employment: An Application to U.K. Panel Data", in van-Ours, J., G. Pfann, and G. Ridder (eds.), Labor Demand and Equilibrium Wage Formation, Contributions to Economic Analysis, vol. 213, North-Holland.
151. Sims, C. A. (1972): "Money, Income, and Causality", American Economic Review, 62, 540-552.
152. Taubman, P. (1976a): "The Determinants of Earnings: Genetics, Family, and Other Environments: A Study of White Male Twins", American Economic Review, 66, 858-870.
153. Taubman, P. (1976b): "Earnings, Education, Genetics, and Environment", Journal of Human Resources, 11, 447-461.
154. Tiao, G. C. and M. M. Ali (1971): "Analysis of Correlated Random Effects:Linear Model with Two Random Components", Biometrika, 58, 37-51.
155. Vuong, Q. H. (1989): "Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses", Econometrica, 57, 307-333.
156. Wallace, T. D. and A. Hussain (1969): "The Use of Error Components Models in Combining Cross-Section and Time-Series Data", Econometrica, 37, 55-72.
157. Wansbeek, T. (2001): "GMM Estimation in Panel Data Models with Measurement Error", Journal of Econometrics, 104, 259-268.
158. Wansbeek, T. and E. Meijer (2000): Measurement Error and Latent Variables in Econometrics, North-Holland, Amsterdam.
159. White, H. (1982): "Instrumental Variables Regression with Independent Observations", Econometrica, 50, 483-499.
160. White, H. (1984): Asymptotic Theory for Econometricians, Academic Press, New York.
161. Zeldes, S. P. (1989): "Consumption and Liquidity Constraints: An Empirical Investigation", Journal of Political Economy, 97, 305-346.
162. Ziliak, J. P. (1997): "Efficient Estimation with Panel Data when Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators", Journal of Business & Economic Statistics, 15, 419-431.