Micro-econometrics: methods of moments and limited dependent variables

This book introduces econometrics at the graduate level, and then specializesin micro-econometrics topics such as method of moments, limited and qualitative dependent variables, sample-selection models, panel data, nonparametric estimators and specification tests, and semi(non)-parametric methods. The coverage is up-to-date and broad as well as in-depth. Many empirical examples are included along with a computer program appendix. The second edition is three times the length of the first edition. One chapter on liner equation systems has been added and several sections on panel data are new. Sections for the following topics have been added: LDV's with endogenous regressors, competing risks, nonparametric survival and hazard function estimation, rank-based semiparametric methods, differencing-based semiparametric methods, semiparametric estimators for duration models, integrated moment specification tests, nonparametric control function approaches, nonparametric additive models, various transformation of response variables, and nonparametric specification and significance tests. The appendix now contains the proofs for some important results in the main text and new sections for the following topics: review of mathematical and statistical backgrounds, nested logit, U-statistics, GMM with integrated squared moments, goodness-of-fit tests for distribution functions, joint test for all quantiles, review on test, non-nested model test, stratified sampling and weighted M-estimator, empirical likelihood estimator, stochastic-process convergence and applications, and bootstrap. INDICE: Methods of moments for single linear equation models.- Methods of moments for multiple linear equation systems.- M-Estimator and Maximum Likelihood Estimator (MLE).- Nonlinear models and estimators.- Parametric methods forsingle equation LDV models.- Parametric methods for multiple equation LDV Models.- Kernel nonparametric estimation.- Bandwidth-free semiparametric methods.- Bandwidth-dependent semiparametric methods.

• ISBN: 978-0-387-95376-2
• Editorial: Springer
• Encuadernacion: Cartoné
• Páginas: 774
• Fecha Publicación: 01/12/2009
• Nº Volúmenes: 1
• Idioma: Inglés