Preface.1. Introduction.1.1 Panel Data: Some Examples.1.2 Why Should We Use Panel Data? Their Benefits and Limitations.Note.2. The One-way Error Component Regression Model.2.1 Introduction.2.2 The Fixed Effects Model.2.3 The Random Effects Model.2.4 Maximum Likelihood Estimation.2.5 Prediction.2.6 Examples.2.7 Selected Applications.2.8 Computational Note.Notes.Problems.3. The Two-way Error Component Regression Model.3.1 Introduction.3.2 The Fixed Effects Model.3.3 The Random Effects Model.3.4 Maximum Likelihood Estimation.3.5 Prediction.3.6 Examples.3.7 Selected Applications.Notes.Problems.4. Test of Hypotheses with Panel Data.4.1 Tests for Poolability of the Data.4.2 Tests for Individual and Time Effects.4.3 Hausman's Specification Test.4.4 Further Reading.Notes.Problems.5. Heteroskedasticity and Serial Correlation in the Error Component Model.5.1 Heteroskedasticity.5.2 Serial Correlation.Notes.Problems.6. Seemingly Unrelated Regressions with Error Components.6.1 The One-way Model.6.2 The Two-way Model.6.3 Applications and Extensions.Problems.7. Simultaneous Equations with Error Components.7.1 Single Equation Estimation.7.2 Empirical Example: Crime in North Carolina.7.3 System Estimation.7.4 The Hausman and Taylor Estimator.7.5 Empirical Example: Earnings Equation Using PSID Data.7.6 Extensions.Notes.Problems.8. Dynamic Panel Data Models.8.1 Introduction.8.2 The Arellano and Bond Estimator.8.3 The Arellano and Bover Estimator.8.4 The Ahn and Schmidt Moment Conditions.8.5 The Blundell and Bond System GMM Estimator.8.6 The Keane and Runkle Estimator.8.7 Further Developments.8.8 Empirical Example: Dynamic Demand for Cigarettes.8.9 Further Reading.Notes.Problems.9. Unbalanced Panel Data Models.9.1 Introduction.9.2 The Unbalanced One-way Error Component Model.9.3 Empirical Example: Hedonic Housing.9.4 The Unbalanced Two-way Error Component Model.9.5 Testing for Individual and Time Effects Using Unbalanced Panel Data.9.6 The Unbalanced Nested Error Component Model.Notes.Problems.10. Special Topics.10.1 Measurement Error and Panel Data.10.2 Rotating Panels.10.3 Pseudo-panels.10.4 Alternative Methods of Pooling Time Series of Cross-section Data.10.5 Spatial Panels.10.6 Short-run vs Long-run Estimates in Pooled Models.10.7 Heterogeneous Panels.Notes.Problems.11. Limited Dependent Variables and Panel Data.11.1 Fixed and Random Logit and Probit Models.11.2 Simulation Estimation of Limited Dependent Variable Models with Panel Data.11.3 Dynamic Panel Data Limited Dependent Variable Models.11.4 Selection Bias in Panel Data.11.5 Censored and Truncated Panel Data Models.11.6 Empirical Applications.11.7 Empirical Example: Nurses' Labor Supply.11.8 Further Reading.Notes.Problems.12. Nonstationary Panels.12.1 Introduction.12.2 Panel Unit Roots Tests Assuming Cross-sectional Independence.12.3 Panel Unit Roots Tests Allowing for Cross-sectional Dependence.12.4 Spurious Regression in Panel Data.12.5 Panel Cointegration Tests.12.6 Estimation and Inference in Panel Cointegration Models.12.7 Empirical Example: Purchasing Power Parity.12.8 Further Reading.Notes.Problems.References.Index.

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Econometric Analysis of Panel Data

Background—The objective of this study was to examine the association of Joint National Committee (JNC-V) blood pressure and National Cholesterol Education Program (NCEP) cholesterol categories with coronary heart disease (CHD) risk, to incorporate them into coronary prediction algorithms, and to compare the discrimination properties of this approach with other noncategorical prediction functions. Methods and Results—This work was designed as a prospective, single-center study in the setting of a community-based cohort. The patients were 2489 men and 2856 women 30 to 74 years old at baseline with 12 years of follow-up. During the 12 years of follow-up, a total of 383 men and 227 women developed CHD, which was significantly associated with categories of blood pressure, total cholesterol, LDL cholesterol, and HDL cholesterol (all P,.001). Sex-specific prediction equations were formulated to predict CHD risk according to age, diabetes, smoking, JNC-V blood pressure categories, and NCEP total cholesterol and LDL cholesterol categories. The accuracy of this categorical approach was found to be comparable to CHD prediction when the continuous variables themselves were used. After adjustment for other factors, ’28% of CHD events in men and 29% in women were attributable to blood pressure levels that exceeded high normal ($130/85). The corresponding multivariable-adjusted attributable risk percent associated with elevated total cholesterol ($200 mg/dL) was 27% in men and 34% in women. Conclusions—Recommended guidelines of blood pressure, total cholesterol, and LDL cholesterol effectively predict CHD risk in a middle-aged white population sample. A simple coronary disease prediction algorithm was developed using categorical variables, which allows physicians to predict multivariate CHD risk in patients without overt CHD. (Circulation. 1998;97:1837-1847.)

/pdf/prediction-of-coronary-heart-disease-using-risk-factor-2poljzi903.pdf

Prediction of Coronary Heart Disease Using Risk Factor Categories

https://ai.stanford.edu/~ronnyk/wrappersPrint.pdf

Wrappers for feature subset selection

A correlational study examined relationships between motivational orientation, self-regulated learning, and classroom academic performance for 173 seventh graders from eight science and seven English classes. A self-report measure of student self-efficacy, intrinsic value, test anxiety, self-regulation, and use of learning strategies was administered, and performance data were obtained from work on classroom assignments. Self-efficacy and intrinsic value were positively related to cognitive engagement and performance. Regression analyses revealed that, depending on the outcome measure, self-regulation, self-efficacy, and test anxiety emerged as the best predictors of performance. Intrinsic value did not have a direct influence on performance but was strongly related to self-regulation and cognitive strategy use, regardless of prior achievement level. The implications of individual differences in motivational orientation for cognitive engagement and self-regulation in the classroom are discussed. Self-regulation of cognition and behavior is an important aspect of student learning and academic performance in the classroom context (Corno & Mandinach, 1983; Corno & Rohrkemper, 1985). There are a variety of definitions of selfregulated learning, but three components seem especially important for classroom performance. First, self-regulated learning includes students' metacognitive strategies for planning, monitoring, and modifying their cognition (e.g., Brown, Bransford, Campione, & Ferrara, 1983; Corno, 1986; Zim

/pdf/motivational-and-self-regulated-learning-components-of-1r57xlrscy.pdf

Motivational and self-regulated learning components of classroom academic performance.

The Variance Inflation Factor (VIF) and tolerance are both widely used measures of the degree of multi-collinearity of the ith independent variable with the other independent variables in a regression model. Unfortunately, several rules of thumb – most commonly the rule of 10 – associated with VIF are regarded by many practitioners as a sign of severe or serious multi-collinearity (this rule appears in both scholarly articles and advanced statistical textbooks). When VIF reaches these threshold values researchers often attempt to reduce the collinearity by eliminating one or more variables from their analysis; using Ridge Regression to analyze their data; or combining two or more independent variables into a single index. These techniques for curing problems associated with multi-collinearity can create problems more serious than those they solve. Because of this, we examine these rules of thumb and find that threshold values of the VIF (and tolerance) need to be evaluated in the context of several other factors that influence the variance of regression coefficients. Values of the VIF of 10, 20, 40, or even higher do not, by themselves, discount the results of regression analyses, call for the elimination of one or more independent variables from the analysis, suggest the use of ridge regression, or require combining of independent variable into a single index.

A caution regarding rules of thumb for variance inflation factors.

Applied Linear Statistical Models

Part1 Simple Linear Regression 1Linear Regression with One Predictor Variable 2Inferences in Regression and Correlation Analysis 3Diagnostics and Remedial Measures 4 Simultaneous Inferences and Other Topics in Regression Analysis 5Matrix Approach to Simple Linear Regression Analysis Part 2Multiple Linear Regression 6Multiple Regression I 7 Multiple Regression II 8Building the Regression Model I: Models for Quantitative and Qualitative Predictors 9 Building the Regression Model II: Model Selection and Validation 10Building the Regression Model III: Diagnostics 11Remedial Measures and Alternative Regression Techniques 12Autocorrelation in Time Series Data Part 3Nonlinear Regression 13Introduction to Nonlinear Regression and Neural Networks 14Logistic Regression, Poisson Regression, and Generalized Linear Models

Michael Kutner

Papers

Applied Linear Statistical Models

Applied Linear Regression Models

Applied linear statistical models: regression, analysis of variance, and experimental designs; third edition

Applied linear statistical models : regression, analysis of variance, and experimental designs

Applied Linear Statistical Models (3rd ed.).