Modern Panel Data Econometrics

This is a book about a 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 Quasi Experiment Method. These themes have emerged and are quickly getting popularity as panel data is more accessible and a sharp increase in both computing power and its efficiency.

The author first lays out a solid foundation by presenting basic data handling and classic linear regression model. Some of the key topics such as Dynamic Panel Data, covers the most essential elements starting from endogeneity concept, AB Theorem, AB estimator and related key development and diagnostic. On Long Panel Data, issues like nonstationary, cointegration, slope heterogeneity and cross section dependence explored with the current literature for estimation. Panel VAR, another popular econometric method is studied with the implementation in panel data setting. Readers will learn about the rationale and reasoning of the 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 in 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 help the reader to develop a good understanding with a software which is point-and-click and programmable.

This book would appeal to the student 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.

Moch. Doddy Ariefianto is an Assistant Professor in Master Accounting Department, Bina Nusantara University, Indonesia. Before becoming academician, he has spent almost 20 years of his career in in 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 journal like Finance Research Letter, Research in International Business and Finance, Economic Modelling , International Journal of Finance and Economics and International Journal of Emerging Market. He has also published three books in econometrics and corporate finance. He is a member of Indonesian Economist Association (ISEI) and Indonesia Finance Association (IFA).

Mahjus Ekananda is Professor of Economics at the Faculty of Economics and Business, University of Indonesia. His work has appeared in NOVA SCIENCE PUBLISHERS, INC, Asian Business Research Journal, International Review on Public and Nonprofit Marketing, International Journal of Economics and Management, Sustainability, Resources Policy, and Economies.