Micro-Econometrics: Methods of Moments and Limited Dependent Variables

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Springer Science & Business Media, Sep 28, 2009 - Business & Economics - 770 pages
WhenIwrotethebookMethodsofMomentsandSemiparametricEco- metrics for Limited Dependent Variable Models published from Springer in 1996, my motivation was clear: there was no book available to convey the latest messages in micro-econometrics. The messages were that most eco- metric estimators can be viewed as method-of-moment estimators and that inferences for models with limited dependent variables (LDV) can be done without going fully parametric. Time has passed and there are now several books available for the same purpose. These days, methods of moments are the mainstay in econometrics, not just in micro-, but also in macro-econometrics. Many papers have been published for semiparametric methods and LDV models. I, myself, learned much over the years since 1996, so much so that my own view on what should be taught, and how, has changed much. Particularly, my exposure to the “sample selection” and “treatment e?ect” literature has changed the way I look at econometrics now. When I set out to write the second edition of the 1996 book, these changes prompted me to re-title, reorganize, and re-focus the book.
 

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Contents

Chapter 1 Methods of Moments for Single Linear Equation Models
1
Chapter 2 Methods of Moments for Multiple Linear Equation Systems
53
Chapter 3 MEstimator and Maximum Likelihood Estimator MLE
91
Chapter 4 Nonlinear Models and Estimators
133
Chapter 5 Parametric Methods for Single Equation LDV Models
177
Chapter 6 Parametric Methods for Multiple Equation LDV Models
228
Chapter 7 Kernel Nonparametric Estimation
303
Chapter 8 BandwidthFree Semiparametric Methods
363
Chapter 9 BandwidthDependent Semiparametric Methods
440
Mathematical Backgrounds and Chapter Appendices
531
Supplementary Topics
615
Select GAUSS Programs
705
References
727
Index
759
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