Kristine Watson Hankins

William E. Seale Associate Professor of Finance
University of Kentucky

FMA Session:Panel Data Econometrics

Presentation Slides

Session Paper:

Flannery, M. F. and Hankins, K. W., 2012, Estimating Dynamic Panels in Corporate Finance, Journal of Corporate Finance, forthcoming.


Great Econometric Textbooks:

Baltagi, B. H., 2008, Econometric Analysis of Panel Data, John Wiley and Sons, West Sussex.

Wooldridge, J.M., 2002, Econometric Analysis of Cross Section and Panel Data, The MIT Press.

Wooldridge, J.M., 2009, An Introduction to Econometrics, South-Western Cengage Learning.


Articles of Interest:

Gormley, T. A., and Matsa, D.A., 2012, Common Errors: How to (and Not to) Control for Unobserved Heterogeneity, University of Pennsylvania working paper.

Huang, R. and Ritter, J., 2009, Testing Theories of Capital Structure and Estimating Speed of Adjustment, Journal of Financial and Quantitative Analysis 44, 237-271.

Petersen, M.A., 2009, Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches, Rev Finan Stud 22, 435-480.

Wintoki, M.B., Linck, J.S., and Netter, J., 2012, Endogeneity and the Dynamics of Internal Corporate Governance, J Finan Econ, forthcoming.


Further Readings in Econometrics:

Arellano, M. and Bover, O., 1995, Another Look at the Instrumental Variable Estimation of Error-Components Models, J Econometrics 68, 29-51.

Bond, S., 2002, Dynamic Panel Data Models: A Guide to Micro Data Methods and Practice, Practice, Port Econ J 1, 141-162.

Bruno, G.S.F., 2005, Approximating the Bias of the LSDV Estimator for Dynamic Unbalanced Panel Data Model, Econ Letters 87, 361-366.

Hahn, J., Hausman, J., and Kuersteiner, G., 2007, Long Difference Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects, J Econometrics 140, 574-617.

Judson, R.A. and Owen, A.L., 1999, Estimating Dynamic Panel Data Models: A Guide for Macroeconomists, Econ Letters 65, 9-15.

Kiviet, J.F., 1995, On Bias, Inconsistency, and Efficiency of Various Estimators in Dynamic Panel Data Models, J Econometrics 68, 53-78.

Nickell, S., 1981, Biases in Dynamic Models with Fixed Effects, Econometrica 49, 1417-1426.

Roberts, M.R., and Whited, T.M., 2011, Endogeneity in Empirical Corporate Finance, Handbook of the Economics of Finance Volume 2, George Constantinides, Milton Harris, and Rene Stulz, eds., Elsevier.