Econometric Analysis of Cross Section and Panel Data / Edition 1

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Overview

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 Data was 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.

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What People Are Saying

From the Publisher
"I highly recommend this book for graduate classes in econometrics. We have used it at MIT and the students find it extremely helpful. Wooldridge covers topics in a highly readable and insightful way." Jerry Hausman , John and Jennie S. MacDonald Professor ofEconomics, MIT

"In this leading econometrics textbook, Wooldridge offers a very good explanation of the basics of the field — making it a great resource for econometrics students — and a contemporary treatment of many important topics, making it a wonderful reference for researchers as well. The new edition provides clear explanations of many recent developments." WhitneyNewey , Jane Berkowitz Carlton and Dennis William Carlton Professor of Microeconomics,MIT

"This second edition provides a comprehensive, accessible, and updated treatment of cross section and panel data methods. The book is full of useful insights, applications, and worked problems. It will serve as an invaluable textbook and reference for graduate students and researchers alike." Richard Blundell , Institute for Fiscal Studies, UniversityCollege London

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Product Details

  • ISBN-13: 9780262232197
  • Publisher: MIT Press
  • Publication date: 10/1/2001
  • Edition description: Older Edition
  • Edition number: 1
  • Pages: 776
  • Product dimensions: 8.00 (w) x 9.00 (h) x 1.50 (d)

Meet the Author

Jeffrey M. Wooldridge is University Distinguished Professor of Economics at Michigan StateUniversity and a Fellow of the Econometric Society.

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Table of Contents

Preface
Acknowledgments
I Introduction and Background 1
1 Introduction 3
2 Conditional Expectations and Related Concepts in Econometrics 13
3 Basic Asymptotic Theory 35
II Linear Models 47
4 The Single-Equation Linear Model and OLS Estimation 49
5 Instrumental Variables Estimation of Single-Equation Linear Models 83
6 Additional Single-Equation Topics 115
7 Estimating Systems of Equations by OLS and GLS 143
8 System Estimation by Instrumental Variables 183
9 Simultaneous Equations Models 209
10 Basic Linear Unobserved Effects Panel Data Models 247
11 More Topics in Linear Unobserved Effects Models 299
III General Approaches to Nonlinear Estimation 339
12 M-Estimation 341
13 Maximum Likelihood Methods 385
14 Generalized Method of Moments and Minimum Distance Estimation 421
IV Nonlinear Models and Related Topics 451
15 Discrete Response Models 453
16 Corner Solution Outcomes and Censored Regression Models 517
17 Sample Selection, Attrition, and Stratified Sampling 551
18 Estimating Average Treatment Effects 603
19 Count Data and Related Models 645
20 Duration Analysis 685
References 721
Index 737
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