Econometric Analysis of Cross Section and Panel Data, second edition

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MIT Press, Oct 1, 2010 - Business & Economics - 1096 pages
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated.

The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis.

Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

 

Contents

1
7
ིབ
13
Problems
27
A 3 Properties of Linear Projections
34
1
53
3
65
4
76
1
89
96
386
Problems
387
III
395
4
409
8
436
103
450
Maximum Likelihood Methods
469
Generalized Method of Moments and Minimum Distance Estimation
525

Additional SingleEquation Topics
123
6
124
Estimating Systems of Equations by Ordinary Least Squares
161
6
183
8
191
2
208
4
220
888
228
9
236
3
252
5
262
Problems
273
More Topics in Linear Unobserved Effects Models
345
3
538
NONLINEAR MODELS AND RELATED TOPICS
559
Multinomial and Ordered Response Models
643
Corner Solution Responses
667
Count Fractional and Other Nonnegative Responses
723
Censored Data Sample Selection and Attrition
777
Stratified Sampling and Cluster Sampling
853
Estimating Average Treatment Effects
903
Duration Analysis
983
References
1025
289
1029
Index
1045
Copyright

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About the author (2010)

Jeffrey M. Wooldridge is University Distinguished Professor of Economics at Michigan State University and a Fellow of the Econometric Society.

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