This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

A collection in honour of G. S. Maddala, bringing together leading econometricians to discuss important advances in econometrics.

Contents 1. A note on left censoring 2. Autoregressive models with sample selectivity for panel data 3. Mixture of normals probit models 4. Estimation of dynamic limited-dependent rational expectations models 5. A Monte Carlo study of EC estimation in panel data models with limited dependent variables and heterogeneity 6. Properties of alternative estimators of dynamic panel models: an empirical analysis of cross-country data for the study of economic growth 7. Modified generalized instrumental variables estimation of panel data models with strictly exogenous instrumental variables 8. Expectations of expansions for estimators ina dynamic panel data model: some results for weakly exgenous regressors 9. Re-examining the rarional expectations hypothesis using panel data on multi-period forecasts 10. Prediction from the regression model with one-way error 11. Bayes estimation of short-run coefficients in dynamic panel data models 12. Bias reduction in estimating long-run relationships from dynamic heterogeneous panels