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Chapter 22 PANEL DATA GARY CHAMBERLAIN* Specification and identification: Nonlinear models 3.1. A random effects probit model 3.2. 3.4. A fixed effects logit model: Conditional likelihood Duration models The estimation of linear predictors Imposing restrictions: The minimum distance estimator Simultaneous equations | Chapter 22 PANEL DATA GARY CHAMBERLAIN University of Wisconsin - Madison and NBER Contents 1. Introduction and summary 1248 2. Specification and identification Linear models 1254 2.1. A production function example 1254 2.2. Fixed effects and incidental parameters 1256 2.3. Random effects and specification analysis 1257 2.4. A consumer demand example 1259 2.5. Strict exogeneity conditional on a latent variable 1262 2.6. Lagged dependent variables 1264 2.7. Serial correlation or partial adjustment 1267 2.8. Residual covariances Heteroskedasticity and serial correlation 1268 2.9. Measurement error 1269 3. Specification and identification Nonlinear models 1270 3.1. A random effects probit model 1270 3.2. A fixed effects logit model Conditional likelihood 1274 3.3. Serial correlation and lagged dependent variables 1278 3.4. Duration models 1282 4. Inference 1285 4.1. The estimation of linear predictors 1286 4.2. Imposing restrictions The minimum distance estimator 1288 4.3. Simultaneous equations A generalization of three-stage least squares 1292 4.4. Asymptotic efficiency A comparison with the quasi-maximum likelihood estimator 1294 4.5. Multivariate probit models 1296 5. Empirical applications 1299 5.1. Linear models Union wage effects 1299 5.2. Nonlinear models Labor force participation 1304 6. Conclusion 1311 Appendix 1311 References 1313 1 tun grateful to a number of individuals for helpful discussions. Financial support was provided by the National Science Foundation Grants No. SOC-7925959 and No. SES-8016383 by the University of Wisconsin Graduate School and by funds granted to the Institute for Research on Poverty at the University of Wisconsin-Madison by the Department of Health Education and Welfare pursuant to the provisions of the Economic Opportunity Act of 1964. Handbook of Econometrics Volume II Edited by Z. Griliches and M.D. Intriligator Elsevier Science Publishers BV 1984 1248 G. Chamberlain 1. Introduction and summary The chapter has four parts the .
