Essays in Panel Data Econometrics

• 1. The history of panel data econometrics, 1861–1997; 2. Pooling cross-section and time-series data in the estimation of a dynamic model: the demand for natural gas (with Pietro Balestra); 3. Experimental evidence on the estimation of dynamic economic relations from a time-series of cross-sections; 4. Further evidence on the estimation of dynamic economic relations from a time-series of cross-sections; 5. A note on error-components models; 6. Growth rate convergence, fact or artifact? An essay on panel data econometrics; 7. Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth; 8. Likelihood inference for dynamic panel models.

"Marc Nerlove, more than any other economist, pioneered the econometric analysis of panel data. This book presents many of his classic papers and provides a valuable synthesis of panel data econometrics starting with early work and including the latest developments in the field. It can be read at many levels as a history of an important line of econometric research, as a guide to a vast literature and as a resource for solving specific empirical problems that arise in analyzing panel data. The blend of theory, data and econometrics is superb. This is a masterful work." James Heckman, Nobel Laureate, University of Chicago