Econometric Analysis of Cross Section and Panel Data

Format: Hardcover
Pub. Date: 2001-10-01
Publisher(s): Mit Pr
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This graduate text provides an intuitive but rigorous treatment of contemporary methods used in microeconometric research. The book makes clear that applied microeconometrics is about the estimation of marginal and treatment effects, and that parametric estimation is simply a means to this end. It also clarifies the distinction between causality and statistical association. The book focuses specifically on cross section and panel data methods. Population assumptions are stated separately from sampling assumptions, leading to simple statements as well as to important insights. The unified approach to linear and nonlinear models and to cross section and panel data enables straightforward coverage of more advanced methods. The numerous end-of-chapter problems are an important component of the book. Some problems contain important points not fully described in the text, and others cover new ideas that can be analyzed using tools presented in the current and previous chapters. Several problems require the use of the data sets located at the author's website.

Table of Contents

Prefacep. xvii
Acknowledgmentsp. xxiii
Introduction and Background
Introductionp. 3
Conditional Expectations and Related Concepts in Econometricsp. 13
Basic Asymptotic Theoryp. 35
Linear Models
The Single-Equation Linear Model and OLS Estimationp. 49
Instrumental Variables Estimation of Single-Equation Linear Modelsp. 83
Additional Single-Equation Topicsp. 115
Estimating Systems of Equations by OLS and GLSp. 143
System Estimation by Instrumental Variablesp. 183
Simultaneous Equations Modelsp. 209
Basic Linear Unobserved Effects Panel Data Modelsp. 247
More Topics in Linear Unobserved Effects Modelsp. 299
General Approaches to Nonlinear Estimation
M-Estimationp. 341
Maximum Likelihood Methodsp. 385
Generalized Method of Moments and Minimum Distance Estimationp. 421
Nonlinear Models and Related Topics
Discrete Response Modelsp. 453
Corner Solution Outcomes and Censored Regression Modelsp. 517
Sample Selection, Attrition, and Stratified Samplingp. 551
Estimating Average Treatment Effectsp. 603
Count Data and Related Modelsp. 645
Duration Analysisp. 685
Referencesp. 721
Indexp. 737
Table of Contents provided by Publisher. All Rights Reserved.

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