Modern Panel Data Econometrics

A Practical Approach Using STATA
1. Auflage 2026
ISBN: 978-1-032-98651-7
Verlag: Taylor & Francis Ltd

Buch, Englisch, 262 Seiten, Format (B × H): 156 mm x 234 mm

Reihe: Chapman and Hall/CRC Series on Statistics in Business and Economics

This is a book about modern treatment of panel data econometrics. It focuses on the most recent advances in panel econometrics with dynamic panel data, long panel data, panel VAR, stochastic frontier model, and the quasi-experiment method. These themes have emerged and are quickly gaining popularity as panel data is more accessible and there has been a sharp increase in both computing power and its efficiency.

The authors first lay out a solid foundation by presenting basic data handling and the classic linear regression model. Some of the key topics, such as dynamic panel data, cover the most essential elements starting from the endogeneity concept, AB theorem, AB estimator, and related key development and diagnostics. On Long Panel Data, issues such as nonstationary, cointegration, slope heterogeneity, and cross-section dependence are explored with the current literature for estimation. Panel VAR, another popular econometric method, is examined as it has been implemented in a panel data setting. Readers will learn about the rationale and reasoning of various econometric principles in a narrative manner with sufficient mathematical–statistical terminology. This allows for the contemporary themes in econometrics to be learnt in a user-friendly manner. The book strongly emphasizes the practical application of various methods with actual data, using a leading statistical software (STATA). The methods and corresponding syntaxes explored in this book help the reader to develop a good understanding of a software that is point-and-click and programmable.

This book would appeal to students taking higher education econometrics courses. Practitioners can also use this book as a companion to answer “how-to questions” in doing econometrics work with STATA.

Zielgruppe

Professional Reference and Undergraduate Advanced

Autoren/Hrsg.

Ariefianto, Moch. Doddy

Ekananda, Mahjus

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Stochastik

Inhaltsverzeichnis

1. Introduction 2. Linear Regression Model-Basic 3. Linear Regression Model-Extension 4. Endogenous Regressor 5. Long Panel Data 6. Panel VAR 7. Qualitative Dependent Variable Model (QDM) 8. Stochastic Frontier Analysis (SFA) 9. Matching Estimator 10. Difference in Difference 11. Regression Discontinuity Design 12. Other Panel Model 13. Auxiliaries 14. Application of Gen AI

Über Autor(innen)

Moch. Doddy Ariefianto is Assistant Professor in the Master Accounting Department, Bina Nusantara University, Indonesia. Before becoming an academician, he spent almost 20 years of his career at Bank Mandiri (as Senior Economist) and Indonesia Deposit Insurance Corporation-LPS (as Group Director of Surveillance and Research). Dr. Doddy has authored more than 40 publications in reputable international journals such as Finance Research Letter, Research in International Business and Finance, Economic Modelling, the International Journal of Finance and Economics, and the International Journal of Emerging Markets. He has also published three books in econometrics and corporate finance. He is a member of the Indonesian Economists Association (ISEI) and the Indonesia Finance Association (IFA).

Mahjus Ekananda is Professor of Economics at the Faculty of Economics and Business, University of Indonesia. His work has been published by Nova Science Publishers, Inc., and in the Asian Business Research Journal, the International Review on Public and Nonprofit Marketing, the International Journal of Economics and Management, Sustainability, Resources Policy and Economies.