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LUBS5289M
Module Reading List

Panel Data, 2018/19, Semester 2
Kevin Keasey
kk@lubs.leeds.ac.uk
Tutor information is taken from the Module Catalogue

Basic References

Arellano, M. (2003):Panel Data Econometrics (Advanced Texts in Econometrics), Oxford University Press.

Baum, C., M. Schaffer and S. Stillman (2011): “Using Stata for Applied Research: Reviewing its Capabilities”, Journal of economic surveys., 25 (2), 380-394.

Bond, S.R. (2002): “Dynamic Panel Data Models: A Guide to Micro Data Methods and Practice”. Cemmap Working Paper Series No. CWP09/02, Institute for Fiscal Studies, London.

Greene, W. (2012):Econometric Analysis (7th Edition), Prentice Hall.

Petersen, M.A. (2009): “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches”, Review of financial studies., 22 (1), 436-480.

Pindado, J. and I. Requejo (2012): “Panel Data: A Methodology for Model Specification and Testing”. In Wiley Encyclopedia of Management, 3rd Edition. John Wiley & Sons, Ltd (in press).

Roodman, D. (2009): “How to do xtabond2: An Introduction to Difference and System GMM in Stata”, The Stata Journal, 9 (1), 86-136.

Roodman, D. (2009): “A Note on the Theme of Too Many Instruments”, Oxford Bulletin of Economics and Statistics., 71 (1), 135-158.

Wooldridge, J.M. (2010): Econometric Analysis of Cross Section and Panel Data, (2nd Edition), MIT Press.

Wooldridge, J. M. (2009): Introductory econometrics : a modern approach (4th Edition), South-Western Cengage Learning.

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Additional References


Ahn, S.C. and P. Schmidt (1995): “Efficient Estimation of Models for Dynamic Panel Data”, Journal of econometrics., 68, 5-28.

Anderson, T.W. and C. Hsiao (1981): “Estimation of Dynamic Models with Error Components”, Journal of the American Statistical Association., 76, 598-606.

Anderson, T.W. and C. Hsiao (1982): “Formulation and Estimation of Dynamic Models using Panel Data”, Journal of econometrics., 18, 47-82.

Arellano, M. and O. Bover (1995): “Another Look at the Instrumental Variable Estimation of Error-Components Models”, Journal of econometrics., 68, 29-51.

Arellano, M. and S. Bond (1991): “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations”, The Review of Economic Studies., 58, 277-297.

Baltagi, B.H. (2005): “Econometric Analysis of Panel Data”, Wiley.

Bennedsen, M., Nielsen, K.M., Perez-Gonzalez, F. and Wolfenzen, D., (2007). Inside the family firm: the role of families in succession decisions and performance. The quarterly journal of economics. 122, 647–691.

Blundell, R.W. and S.R. Bond (1998): “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models”, Journal of econometrics., 87, 115-143.

Bover, O. and M. Arellano (1997): “Estimating Dynamic Limited Dependent Variable Models from Panel Data”, Investigaciones económicas, 21, 141-165.

Chamberlain, G. (1980): “Analysis of Covariance with Qualitative Data”, The Review of Economic Studies. 47, 225-238.

Chamberlain, G. (1984): “Panel Data”. In Griliches, Z. and M.D. Intriligator (comp.), Handbook of econometrics. Vol.2 , North-Holland, Amsterdam.

Doornik, J., M. Arellano and S. Bond (1999): “Panel Data Estimation using DPD for Ox”. Working paper Nuffield College, Oxford.

Flannery, M.J., Hankins, K. W., (2013). Estimating dynamic panel models in corporate finance. Journal of corporate finance. 19, 1–19.

Giroud, X.; H. M. Mueller, A. Stomper and A. Westerkamp (2012): “Snow and Leverage”. Review of financial studies., 25 (3), 680-710.

Hausman, J.A. (1978): “Specification Tests in Econometrics”, Econometrica., 46, 1251-1272.

Hillier, D.; Pindado J.; V. de Queiroz and C. de la Torre (2011): “The Impact of Country-level Corporate Governance on Research and Development”. Journal of international business studies. , 42, 76–98

Hsiao, C. (1990): Analysis of Panel Data. Cambridge University Press, Cambridge.

Larcker, D.F. and T.O. Rusticus (2010): “On the Use of Instrumental Variables in Accounting Research”, Journal of accounting & economics., 49, 186-205.

Maestro, M and J. Pindado (2005): “Capital Structure and Stock Prices: Additional Evidence”, Applied Financial Economics Letters, 1, 355-360. Available as an Online Course Reading in Minerva

Miguel, A. and J. Pindado (2001) “Determinants of Capital Structure: New Evidence from Spanish Panel Data”, Journal of corporate finance. 7, 77-99.

Miguel, A., J. Pindado, and C. de la Torre (2004): “Ownership structure and firm value: New evidence from the Spanish case.” Strategic management journal. , 25, 1199-1207.

Miguel, A., J. Pindado and C. de la Torre (2005): “How do Entrenchment and Expropriation Phenomena Affect Control Mechanisms? ”, Corporate Governance: An International Review, 13, 505-516.

Mundlak, Y. (1961): “Empirical Production Function Free of Management Bias”, Journal of Farm Economics, 43, 44-56.

Pindado, J., V. de Queiroz and C. de la Torre (2010): “How do Firm Characteristics Influence the Relationship between R&D and Firm Value? ”, Financial Management, 39 (2), 757-782.

Pindado J.; I. Requejo and C. de la Torre (2011). “Family control and investment-cash flow sensitivity: Empirical evidence from the Euro zone”. Journal of corporate finance. , 17, ( 2), 1389–1409.

Pindado, J., I. Requejo and C. de la Torre (2012): “Do Family Firms Use Dividend Policy as a Governance Mechanism? Evidence from the Euro Zone”, Corporate Governance: An International Review, forthcoming.

Pindado J.; L. Rodrigues and C. de la Torre (2008). “Estimating Financial Distress Likelihood”, Journal of business research. 61, (9), 995-1003

Pindado, J. and L. Rodrigues (2005): “Determinants of financial distress costs”, Financial Markets and Portfolio Management, 19 (4), 343-359. Available as an Online Course Reading in Minerva

Windmeijer, F. (2005): “A Finite Sample Correction for the Variance of Linear Efficient Two-Step GMM Estimators”, Journal of econometrics., 126, 25-51.

Wintoki, M.B., J.S. Linck and J.M. Netter (2012): “Endogeneity and the dynamics of internal corporate governance”, Journal of financial economics., 105, 581-606.

This list was last updated on 08/03/2013