Econometrics of Qualitative Dependent Variables

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Cambridge University Press, Oct 9, 2000 - Business & Economics - 372 pages
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This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their discrete nature - requires an entirely different set of tools from those applied to purely quantitative data. Written in accessible language and offering cogent examples, students are given valuable means to gauge real-world economic phenomena. After the introduction, early chapters present models with endogenous qualitative variables, examining dichotomous models, model specification, estimation methods, descriptive usage, and qualitative panel data. Professor Gourieroux also looks at Tobit models, in which the exogenous variable is sometimes qualitative and sometimes quantitative, and changing-regime models, in which the dependent variable is qualitative but expressed in quantitative terms. The final two chapters describe models which explain variables assumed by discrete or continuous positive variables.
 

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Contents

Introduction
1
Modelling
38
1 Existence of a Utility Function
65
Estimation Methods and Tests
72
The LogLinear Model and its Applications
107
Qualitative Panel Data
145
The Tobit Model
170
1 Moments of the Truncated Norman Distribution
203
Truncated Latent Variables Defined by a System
224
1 A Model with Price Floors The Recursive Case
249
Duration Models
284
1 Asymptotic Properties of ML under Neglected
360
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