9780262232586

Econometric Analysis of Cross Section and Panel Data

by
  • ISBN13:

    9780262232586

  • ISBN10:

    0262232588

  • Edition: 2nd
  • Format: Hardcover
  • Copyright: 10/1/2010
  • Publisher: Mit Pr

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Summary

This book is delayed from its originally announced spring 2007 release. Backorders are being accepted and will be fulfilled upon publication. Check this Web page for updates to the month of publication. Publication in European markets will be approximately one month later than the indicated American publication date. 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 Datawas 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.

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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Customer Reviews

Great book indeed March 21, 2011
by
This is the best introduction to cross-section econometrics. Wooldridge covers all the basics; he does it very well, with a lot of attention to empirical applications. This book does an excellent job in covering cross-sectional and microeconometric models. It actually provides a truly thorough overview on microeconometric methods and studies. It is immensely instructive in discussing the role of assumptions, on ways of setting up a good empirical investigation that actually answers the research question etc. Highly recommended.
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Econometric Analysis of Cross Section and Panel Data: 5 out of 5 stars based on 1 user reviews.

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