In the first half of the paper we study spurious regressions in panel data when the cross-section and time-series dimensions are comparable. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. We show that the LSDV...

This paper present a simple procedure for comparing two regression models that are intrinsically nonnested. The procedure requires only conditional moment conditions and the test statistic is computable from 2SLS output via auxiliary 2SLS regressions. Furthermore, unlike previous procedures, the...

This book presents econometric methods for the analysis of event counts. It reviews the recent literature and introduces several new results. While the emphasis is on methods for cross-section data, the modelling of time series and panel count data is discussed as well. Topics include: dependent...

This paper introduces two-parameter exponential family distributions into the stochastic components of generalized linear models (GLMs), in order to model patterns of dispersion unexpected under ordinary GLMs, including overdispersion and underdispersion. Exponential regression models can be...