|Alma mater|| London School of Economics |
University of Barcelona
|Known for||Arellano–Bond estimator|
|Doctoral advisor||Denis Sargan|
Manuel Arellano (born 19 June 1957) is a Spanish economist specialising in econometrics and empirical microeconomics. Together with Stephen Bond, he developed the Arellano–Bond estimator, a widely used GMM estimator for panel data. This estimator is based on the earlier article by Arellano's PhD supervisor, John Denis Sargan, and Alok Bhargava (Bhargava and Sargan, 1983). RePEc lists the paper about the Arellano-Bond estimator as the most cited article in economics.
Manuel Arellano earned his undergraduate degree at Universidad de Barcelona in 1979. Later in 1982, he began graduate studies in Econometrics and Mathematical Economics at London School of Economics and completed a Ph.D. in economics in 1985.
After his graduation, he was employed as a research lecturer at University of Oxford from 1985 to 1989 and had a research fellow at Nuffield College, Oxford from 1986 to 1989. From 1989 to 1992, he was a lecturer in economics at London School of Economics. From 1991 until now, he is a professor of Econometrics at CEMFI, Madrid.
Jerry Allen Hausman is the John and Jennie S. MacDonald Professor of Economics at the Massachusetts Institute of Technology and a notable econometrician. He has published numerous influential papers in microeconometrics. Hausman is the recipient of several prestigious awards including the John Bates Clark Medal in 1985 and the Frisch Medal in 1980.
Robert Fry Engle III is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
Panel (data) analysis is a statistical method, widely used in social science, epidemiology, and econometrics to analyze two-dimensional panel data. The data are usually collected over time and over the same individuals and then a regression is run over these two dimensions. Multidimensional analysis is an econometric method in which data are collected over more than two dimensions.
In statistics and econometrics, panel data and longitudinal data are both multi-dimensional data involving measurements over time. Panel data is a subset of longitudinal data where observations are for the same subjects each time.
Lars Peter Hansen is an American economist. He is the David Rockefeller Distinguished Service Professor of economics at the University of Chicago and a 2013 recipient of the Nobel Memorial Prize in Economics.
Sir David Forbes Hendry, FBA CStat is a British econometrician, currently a professor of economics and from 2001 to 2007 was head of the Economics Department at the University of Oxford. He is also a professorial fellow at Nuffield College, Oxford.
Marc Leon Nerlove is an American economist specialized in agricultural economics and econometrics. He is currently Professor of Agricultural and Resource Economics at the University of Maryland. In 1964 he was elected as a Fellow of the American Statistical Association. In 1969 he was awarded the John Bates Clark Medal for his contributions to economics. In 2012, he was elected Distinguished Fellow of the American Economic Association.
Alok Bhargava is an Indian econometrician. He studied mathematics at Delhi University and economics and econometrics at the London School of Economics. He is currently a full professor at the University of Maryland School of Public Policy.
Pietro Balestra was a Swiss economist specializing in econometrics. He was born in Lugano and earned a B.A. in economics from the University of Fribourg. Balestra moved for graduate work to the University of Kansas and Stanford University. He was awarded the Ph.D. in Economics by Stanford University in 1965.
John Denis Sargan was a British econometrician who specialized in the analysis of economic time-series.
Whitney Kent Newey is the Jane Berkowitz Carlton and Dennis William Carlton Professor of Economics at the Massachusetts Institute of Technology and a well-known econometrician. He is best known for developing, with Kenneth D. West, the Newey–West estimator, which robustly estimates the covariance matrix of a regression model when errors are heteroskedastic and autocorrelated.
Kenneth David West is the John D. MacArthur and Ragnar Frisch Professor of Economics in the Department of Economics at the University of Wisconsin. He is currently co-editor of the Journal of Money, Credit and Banking, and has previously served as co-editor of the American Economic Review. He has published widely in the fields of macroeconomics, finance, international economics and econometrics. Among his honors are the John M. Stauffer National Fellowship in Public Policy at the Hoover Institution, Alfred P. Sloan Research Fellowship, Fellow of the Econometric Society, and Abe Fellowship. He has been a research associate at the NBER since 1985.
Michael Patrick Keane is an American/Australian economist who is currently professor of economics and Australian Research Council laureate fellow at the University of New South Wales. From 2012 to 2017 he was the Nuffield Professor of Economics at the University of Oxford and a professorial fellow of Nuffield College. He is considered one of the world's leading experts in the fields of Choice Modelling, structural modelling, simulation estimation, and panel data econometrics.
In econometrics, the Arellano–Bond estimator is a generalized method of moments estimator used to estimate dynamic models of panel data. It was proposed in 1991 by Manuel Arellano and Stephen Bond, based on the earlier work by Alok Bhargava and John Denis Sargan in 1983, for addressing certain endogeneity problems. The GMM-SYS estimator is a system that contains both the levels and the first difference equations. It provides an alternative to the standard first difference GMM estimator.
John Philip Rust is an American economist and econometrician. John Rust received his PhD from MIT in 1983 and taught at the University of Wisconsin, Yale University and University of Maryland before joining Georgetown University in 2012. John Rust was awarded Frisch Medal in 1992 and became the fellow of Econometric Society in 1993.
Control functions are statistical methods to correct for endogeneity problems by modelling the endogeneity in the error term. The approach thereby differs in important ways from other models that try to account for the same econometric problem. Instrumental variables, for example, attempt to model the endogenous variable X as an often invertible model with respect to a relevant and exogenous instrument Z. Panel analysis uses special data properties to difference out unobserved heterogeneity that is assumed to be fixed over time.
Stephen Bond is a British economist at Nuffield College, Oxford, Oxford, specialising in applied microeconometrics, particularly the investment and financial behaviour of firms. Together with Manuel Arellano, he developed the Arellano–Bond estimator, a widely used generalized method of moments estimator for panel data. Research Papers in Economics lists the paper as the most cited article ever in economics.
Robin C. Sickles is an American economist. After graduating from Georgia Institute of Technology in 1972, he earned a Ph.D. in 1976 from the University of North Carolina, Chapel Hill. He is currently the Reginald Henry Hargrove Chair of Economics at Rice University. His research focus is on topics in applied econometrics, panel data, productivity, stochastic frontier analysis, empirical industrial organization, and labor economics. He is a Fellow of the Journal of Econometrics, has served as the editor-in-chief for the Journal of Productivity Analysis, and has had positions as Associate Editor for the Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Applied Econometrics, Empirical Economics, Communications in Statistics: Theory and Methods, Southern Economic Journal, and the Journal of Chinese Economic and Business Studies. He has co-authored and edited eleven books and volumes and journal special issues related to applied econometric topics. His most recent major work is Measurement of Productivity and Efficiency: Theory and Practice
Olympia Bover is an economist who is currently Director of the Department of Structural Analysis and Microeconomic Studies at the Bank of Spain. She is a research fellow at the CEPR, and an International Research Associate at the Institute for Fiscal Studies in London.
Anthony Lancaster is a British-American Bayesian econometrician. He is the Herbert H. Goldberger Professor emeritus at Brown University and has been a fellow of the Econometric Society since 1991.