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Econometric Analysis of Cross Section and Panel Data

Опубликовано на портале: 15-07-2004
Cambridge, Mass: MIT Press, 2001
Тематический раздел:
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.



I. Introduction and Background


    2.Conditional Expectations and Related Concepts in Econometrics

    3. Basic Asymptotic Theory

II. Linear Models

    4. The Single-Equation Linear Model and OLS Estimation

    5. Instrumental Variables Estimation of Single-Equation Linear Models

    6. Additional Single-Equation Topics

    7. Estimating Systems of Equations by OLS and GLS

    8. System Estimation by Instrumental Variables

    9. Simultaneous Equations Models

    10. Basic Linear Unobserved Effects Panel Data Models

    11. More Topics in Linear Unobserved Effects Models

III. General Approaches to Nonlinear Estimation

    12. M-Estimation

    13. Maximum Likelihood Methods

    14. Generalized Method of Moments and Minimum Distance Estimation

IV. Nonlinear Models and Related Topics

    15. Maximum Likelihood Methods

    16. Corner Solution Outcomes and Censored Regression Models

    17. Sample Selection, Attrition, and Stratified Sampling

    18. Estimating Average Treatment Effects

    19. Count Data and Related Models

    20. Duration Analysis



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См. также:
Sandor Csorgo, Julian Faraway
Journal of the Royal Statistical Society. Series B (Methodological). 1996.  Vol. 58. No. 1.
Russell Davidson, James G. MacKinnon
Theodore W. Anderson, Donald A. Darling
Annals of Mathematical Statistics. 1952.  Vol. 23. No. 2. P. 193-212. 
George G. Judge
Zvi Griliches, Potluri V. Rao
Journal of the American Statistical Association. 1969.  Vol. 64. No. 325. P. 253-272. 
Peter Charles Bonest Phillips, Sam Ouliaris
Econometrica. 1990.  Vol. 58. No. 1. P. 165-193.