Badi H. Baltagi

Badi H. Baltagi
Syracuse University | SU · Center for Policy Research

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376
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Publications

Publications (376)
Article
Full-text available
This paper estimates spatial wage curves for formal and informal workers in Turkey using individual level data from the Turkish Household Labor Force Survey provided by TURKSTAT for the period 2008–2014. Unlike previous studies on wage curves for formal and informal workers, we extend the analysis to allow for spatial effects. We also consider hous...
Article
This paper proposes a Bayesian estimation framework for panel‐data sets with binary dependent variables where a large number of cross‐sectional units is observed over a short period of time, and cross‐sectional units are interdependent in more than a single network domain. The latter provides for a substantial degree of flexibility towards modellin...
Data
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems...
Chapter
Consider the following regression equation y=Xβ+u where y=Y1Y2:Yn;X=X11X12…X1kX21X22…X2k::::Xn1Xn2…Xnk;β=β1β2:βk;u=u1u2:un with n denoting the number of observations and k the number of variables in the regression, with n > k. In this case, y is a column vector of dimension (n × 1) and X is a matrix of dimension (n × k). Each column of X denotes a...
Chapter
Many economic models have lagged values of the regressors in the regression equation. For example, it takes time to build roads and highways. Therefore, the effect of this public investment on growth in GNP will show up with a lag, and this effect will probably linger on for several years.
Chapter
Consider two regression equations corresponding to two different firms yi=Xiβi+uii=1,2 where yi and ui are T × 1 and Xi is (T × Ki) with ui∽(0,σiiIT). OLS is BLUE on each equation separately. Zellner’s (1962) idea is to combine these seemingly unrelated regressions in one stacked model, i.e., y1y2=X100X2β1β2+u1u2 which can be written as y=Xβ+u wher...
Chapter
So far we have considered only one regressor X besides the constant in the regression equation. Economic relationships usually include more than one regressor. For example, a demand equation for a product will usually include real price of that product in addition to real income as well as real price of a competitive product and the advertising exp...
Chapter
This chapter considers a more general variance covariance matrix for the disturbances. In other words, u∽(0,σ2In) is relaxed so that u∽(0,σ2Ω), where Ω is a positive definite matrix of dimension (n × n). First Ω is assumed known and the BLUE for β is derived.
Chapter
In this chapter, we will consider pooling time-series of cross-sections. This may be a panel of households or firms or simply countries or states followed over time. Two well-known examples of micro panel data in the U.S. are the Panel Study of Income Dynamics (PSID) and the National Longitudinal Survey (NLS). These are characterized by a large num...
Chapter
Sources of influential observations include: (i) improperly recorded data, (ii) observational errors in the data, (iii) misspecification, and (iv) outlying data points that are legitimate and contain valuable information which improve the efficiency of the estimation. It is constructive to isolate extreme points and to determine the extent to which...
Chapter
In this chapter, we relax the assumptions made in Chap. 3 and study the effect of that on the OLS estimator. In case the OLS estimator is no longer a viable estimator, we derive an alternative estimator and propose some tests that will allow us to check whether this assumption is violated.
Chapter
In this chapter, we study extensively the estimation of a linear relationship between two variables, Yi and Xi, of the form: Yi=α+βXi+uii=1,2,…,n where Yi denotes the i-th observation on the dependent variable Y which could be consumption, investment, or output, and Xi denotes the i -th observation on the independent variable X which could be dispo...
Chapter
One chapter cannot possibly review what one learned in one or two pre-requisite courses in statistics. This is an econometrics book, and it is imperative that the student has taken at least one solid course in statistics. The concepts of a random variable, whether discrete or continuous, and the associated probability function or probability densit...
Chapter
What is econometrics? A few definitions are given below: The method of econometric research aims, essentially, at a conjunction of economic theory and actual measurements, using the theory and technique of statistical inference as a bridge pier. The method of econometric research aims, essentially, at a conjunction of economic theory and actual mea...
Chapter
In labor economics, one is faced with explaining the decision to participate in the labor force, the decision to join a union, or the decision to migrate from one region to the other. In finance, a consumer defaults on a loan or a credit card debt or purchases a stock or an asset like a house or a car. In these examples, the dependent variable has...
Chapter
Economists formulate models for consumption, production, investment, money demand and money supply, and labor demand and labor supply to attempt to explain the workings of the economy. These behavioral equations are estimated equation by equation or jointly as a system of equations. These are known as simultaneous equations models. Much of today’s...
Chapter
There has been an enormous amount of research in time-series econometrics with several books dedicated to this subject. Obviously, one chapter on this topic will not do it justice. Therefore, this chapter will focus on some of the basic concepts needed for such a course. Section 14.2 defines what is meant by a stationary time-series, while Sects. 1...
Data
The Supplementary Material contains Appendices to the main paper.
Article
Full-text available
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedas-ticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problem...
Article
Full-text available
This paper considers multiple changes in the factor loadings of a high dimensional factor model occurring at dates that are unknown but common to all subjects. Since the factors are unobservable, the problem is converted to estimating and testing structural changes in the second moments of the pseudo factors. We consider both joint and sequential e...
Article
Full-text available
This paper studies testing of shifts in a time trend panel data model with serially correlated error component disturbances, without any prior knowledge of whether the error term is stationary or nonstationary. This is done in case the shift is known as well as unknown. Following the time series literature, we propose a Wald type test statistic tha...
Article
Full-text available
This paper extends Pesaran (2006) common correlated eďects (CCE) by allowing for endogenous regressors in large heterogeneous panels with unknown common structural changes in slopes and error factor structure. Since endogenous regressors and structural breaks are often encountered in empirical studies with large panels, this extension makes the Pes...
Article
Rothe (Econometrica 80, 2269–2301 2012) introduces a new class of parameters called ‘Partial Distributional Policy Effects’ (PPE) to estimate the impact on the marginal distribution of an outcome variable due to a change in the unconditional distribution of a single covariate. Since the strict exogeneity assumption of all covariates makes this appr...
Article
Full-text available
This paper studies the fact that 37% of the internal migrants in China do not sign a labor contract with their employers, as revealed in a nationwide survey. These contract-free jobs pay lower hourly wages, require longer weekly work hours, and provide less insurance or on-the-job training than regular jobs with contracts. We find that the co-villa...
Article
Full-text available
This paper proposes a generalized spatial panel-data probit model with spatial autocorrelation of the dependent variable, the time-invariant individual shocks, and the remainder disturbances. It proposes its estimation with a Bayesian Markov chain Monte Carlo procedure. Simulation results show that the proposed estimation method performs well in sm...
Chapter
The objective of this chapter is to introduce the reader to Spatial Health Econometrics (SHE). In both micro and macro health economics there are phenomena that are characterised by a strong spatial dimension, from hospitals engaging in local competitions in the delivery of health care services, to the regional concentration of health risk factors...
Article
Full-text available
This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel data model with Spatial Moving Average Random Effects (SMA-RE) structure of the disturbances. A dynamic spatial Generalized Moments (GM) estimator is proposed which combines the approaches proposed by Baltagi et al. (2014) and Fing...
Article
Whether a firm is able to attract foreign capital and whether it may participate at the export market depends on whether the fixed costs associated with doing so are at least covered by the incremental operating profits. This paper provides evidence that success for some firms in attracting foreign investors and in exporting appears to reduce the a...
Article
Full-text available
This paper reconsiders the Brazilian wage curve using individual data from the National Household Survey at 27 Federative Units over the period 2002 - 2009. We find evidence in favor of the Brazilian wage curve with an unemployment elasticity of -0.08 when the lagged unemployment rate is used as an instrument for current unemployment rate. We also...
Chapter
Over the last few decades, multi-indexed data on trade, multinational activity, and even migration have become available. By far the most prominent application of multi-dimensional data in the context of international economics is the estimation of the famous gravity equation of international trade, where bilateral export or import volume (or forei...
Chapter
This chapter deals with the most relevant multi-dimensional random effects panel data models, where, unlike in the case of fixed effects, the number of parameters to be estimated does not increase with the sample size. First, optimal (F)GLS estimators are presented for the textbook-style complete data case, paying special attention to asymptotics....
Chapter
This chapter surveys housing models using multi-dimensional panels. While there is a vast literature on housing models using two-dimensional panel data, there are few papers using multi-dimensional panels. This chapter focuses on housing models, residential mobility and location choice models derived from discrete choice theory, utilizing multi-dim...
Article
This paper studies the determinants of firm-level revenues, as a measure of the performance of firms in China’s domestic and export markets. The analysis of the determinants of the aforementioned outcomes calls for a mixed linear-nonlinear econometric approach. The paper proposes specifying a system of equations which is inspired by Basmann’s work...
Article
We present a theoretical model of an imperfectly competitive loans market that is suitable for emerging economies in Africa. The model allows for variation in both the level of contract enforcement (the quality of governance) and the degree of market segmentation (the level of ethnic fractionalization). The model predicts a specific form of nonline...
Chapter
This paper formulates and analyzes Bayesian model variants for the analysis of systems of spatial panel data with binary-dependent variables. The paper focuses on cases where latent variables of cross-sectional units in an equation of the system contemporaneously depend on the values of the same and, eventually, other latent variables of other cros...
Article
Full-text available
This paper considers the problem of testing cross-sectional correlation in large panel data models with serially correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper proposes a modification of Pesaran’s CD test to account for...
Article
Full-text available
This paper tackles the identification and estimation of a high dimensional factor model with unknown number of latent factors and a single break in the number of factors and/or factor loadings occurring at unknown common date. First, we propose a least squares estimator of the change point based on the second moments of estimated pseudo factors and...
Article
This paper investigates the long-run economic relationship between healthcare expenditure and income in the world using data on 167 countries over the period 1995–2012, collected from the World Bank data set. The analysis is carried using panel data methods that allow one to account for unobserved heterogeneity, temporal persistence, and cross-sect...
Research
Full-text available
The paper develops a general Bayesian framework for robust linear static panel data models using "-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coe�cients and individual e�ects. The ML-II posterior densities are weighted averages of the Bayes estimator unde...
Article
Full-text available
This paper studies the asymptotic power for the sphericity test in a fixed effect panel data model proposed by Baltagi et al. (2011 Baltagi, B. H., Feng, Q., Kao, C. (2011). Testing for sphericity in a fixed effects panel data model. Econometrics Journal 14:25–47.[CrossRef], [Web of Science ®] [Google Scholar]), (JBFK). This is done under the alter...
Article
This paper considers the generalized spatial panel data model with serial correlation proposed by Lee and Yu (Spatial panels: random components versus fixed effects. International Economic Review 2012; 53: 1369–1412.), which encompasses many of the spatial panel data models considered in the literature, and derives the best linear unbiased predicto...
Article
Full-text available
This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng et al. (2009) to the case of stationary or nonstationary regressors and error term, and whether the change point is present or not. We prove consistency and derive the asymptotic distributions of the Ordinary Least Squares (OLS) and First Difference (FD...
Article
Full-text available
This paper extends Pesaran’s (2006) work on common correlated effects (CCE) estimators for large heterogeneous panels with a general multifactor error structure by allowing for unknown common structural breaks. Structural breaks due to new policy implementation or major technological shocks, are more likely to occur over a longer time span. Consequ...
Article
WewerefortunatetohavebeenabletosolicitpapersforthisspecialissueofEmpirical Economics from the CESifo Workshop entitled “On the estimation of gravity models of bilateral trade” that took place on May 30–31, 2014, in Munich, Germany. The workshop was organized by the guest editors, and the local organization and sponsorship were generously provided b...
Article
What is econometrics? A few definitions are given below: The method of econometric research aims, essentially, at a conjunction of economic theory and actual measurements, using the theory and technique of statistical inference as a bridge pier. Trygve Haavelmo (1944) Econometrics may be defined as the quantitative analysis of actual economic pheno...
Article
This paper is a narrow replication of Firpo, Fortin and Lemieux (Unconditional quantile regressions. Econometrica 2009; 77(3): 953–973), who propose a new estimation method, called ‘unconditional quantile regressions’. Using their empirical example, we confirm their results for the effects of unionization on US wage inequality during the period 198...
Article
This paper suggests random and fixed effects spatial two-stage least squares estimators for the the generalized mixed regressive spatial autoregressive panel data model. This extends the generalized spatial panel model of Baltagi et al. (20133. Baltagi, B. H. (2013). Econometric Analysis of Panel Data. New York: Wiley.View all references) by the in...
Article
This study investigates the effect of the Temporary Aid to Needy Families (TANF) program on children's health outcomes using data from the Survey of Income and Program Participation over the period 1994 to 2005. The TANF policies have been credited with increased employment for single mothers and a dramatic drop in welfare caseload. Our results sho...
Article
Full-text available
The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior densities are weighted averages of the Bayes estimator u...
Article
This paper reconsiders the Polish wage curve using individual data from the Polish Labor Force Survey (LFS) at the 16 NUTS2 level allowing for spatial spillovers between regions. In addition it estimates the total and gender-specific regional unemployment rate elasticities on individual wages. The paper finds significant spatial unemployment spillo...
Article
Full-text available
The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior densities are weighted averages of the Bayes estimator u...
Chapter
This article has no abstract.
Article
This paper derives the Best Linear Unbiased Predictor (BLUP) for a spatial nested error components panel data model. This predictor is useful for panel data applications that exhibit spatial dependence and a nested (hierarchical) structure. The predictor allows for unbalancedness in the number of observations in the nested groups. One application i...
Article
Full-text available
We put forward a plausible explanation of African financial under-development in the form of a bad credit market equilibrium. Utilising an appropriately modified IO model of banking, we show that the root of the problem could be unchecked moral hazard (strategic loan defaults) or adverse selection (a lack of good projects). Applying a dynamic panel...
Article
This paper obtains the joint and conditional Lagrange multiplier (LM) tests for a spatial lag regression model with spatial auto-regressive error derived in Anselin (Reg Sci Urban Ecom 26:77–104, 1996) using artificial double length regressions (DLR). These DLR tests and their corresponding LM tests are compared using an illustrative example and a...
Article
SUMMARY Holly, Pesaran, and Yamagata (Journal of Econometrics 2010; 158: 160–173) use a panel of 49 states over the period 1975–2003 to show that state-level real housing prices are driven by economic fundamentals, such as real per capita disposable income, as well as by common shocks, such as changes in interest rates, oil prices and technological...
Article
This paper sets up a nested random effects spatial autoregressive panel data model to explain annual house price variation for 2000–2007 across 353 local authority districts in England. The estimation problem posed is how to allow for the endogeneity of the spatial lag variable producing the simultaneous spatial spillover of prices across districts...
Article
This paper focuses on the estimation and predictive performance of several estimators for the dynamic and autoregressive spatial lag panel data model with spatially correlated disturbances. In the spirit of Arellano and Bond (1991) and Mutl (2006), a dynamic spatial GMM estimator is proposed based on Kapoor, Kelejian and Prucha (2007) for the Spati...
Article
This paper studies the effect of hospital ownership on treatment rates allowing for spatial correlation among hospitals. Competition among hospitals and knowledge spillovers generate significant externalities which we try to capture using the spatial Durbin model. Using a panel of 2342 hospitals in the 48 continental states observed over the period...
Article
This paper derives the best linear unbiased predictor for an unbalanced nested error components panel data model. This predictor is useful in many econometric applications that are usually based on unbalanced panel data and have a nested (hierarchical) structure. Examples include predicting student performance in a class in a school, or house price...
Technical Report
This paper estimates a hedonic housing model based on flats sold in the city of Paris over the period 1990-2003. This is done using maximum likelihood estimation taking into account the nested structure of the data. Paris is historically divided into 20 arrondissements, each divided into four quartiers (quarters), which in turn contain between 15 a...
Article
Full-text available
The robustness of the LM tests for spatial error dependence of Burridge (1980) for the linear regression model and Anselin (1988) for the panel regression model are examined. While both tests are asymptotically robust against distributional misspecifi-cation, their finite sample behavior can be sensitive to the spatial layout. To overcome this shor...
Article
This paper considers testing for cross-sectional dependence in a panel factor model. Based on the model considered by Bai (Econometrica 71: 135–171, 2003), we investigate the use of a simple $F$ test for testing for cross-sectional dependence when the factor may be known or unknown. The limiting distributions of these $F$ test statistics are de...
Article
Full-text available
The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung (2011), we introduce general methods to modify the st...
Article
Full-text available
This paper considers the estimation of a linear regression involving the spatial autoregressive (SAR) error term which is nearly nonstationary. The asymptotics properties of the ordinary least squares (OLS), true generalized least squares (GLS) and feasible generalized least squares (FGLS) estimators as well as the corresponding Wald test statistic...
Article
This paper considers the problem of forecasting in a panel data model with random individual effects and MA (q) remainder disturbances. It utilizes a recursive transformation for the MA (q) process derived by Baltagi and Li (Econometric Theory 1994; 10: 396–408) which yields a simple generalized least-squares estimator for this model. This recursiv...
Article
Full-text available
This paper estimates wage curves for formal and informal workers using a rich individual level data for Turkey over the period 2005–2009. The wage curve is an empirical regularity describing a negative relationship between regional unemployment rates and individuals' real wages. While this relationship has been well documented for a number of count...