Microeconometrics: methods and applications
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2005
|
| Ausgabe: | First published |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke |
| Beschreibung: | xxii, 1034 Seiten Illustrationen |
| ISBN: | 0521848059 9780521848053 |
Internformat
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Datensatz im Suchindex
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| adam_text | CONTENTS LIST OF FIGURES PAGE XV LIST OF TABLES XVII PREFACE XXI I
PRELIMINARIES 1 OVERVIEW 3 1.1 INTRODUCTION 3 1.2 DISTINCTIVE ASPECTS OF
MICROECONOMETNCS 5 1.3 BOOK OUTLINE 10 1.4 HOW TO USE THIS BOOK 14 1.5
SOFTWARE 15 1.6 NOTATION AND CONVENTIONS 16 2 CAUSAL AND NONCAUSAL
MODELS 1 8 2.1 INTRODUCTION 18 2.2 STRUCTURAL MODELS 20 2.3 EXOGENEITY
22 2.4 LINEAR SIMULTANEOUS EQUATIONS MODEL 23 2.5 IDENTIFICATION
CONCEPTS 29 2.6 SINGLE-EQUATION MODELS 31 2.7 POTENTIAL OUTCOME MODEL 31
2.8 CAUSAL MODELING AND ESTIMATION STRATEGIES 35 2.9 BIBLIOGRAPHIC NOTES
38 3 MICROECONOMIC DATA STRUCTURES 39 3.1 INTRODUCTION 39 3.2
OBSERVATIONAL DATA 40 3.3 DATA FROM SOCIAL EXPERIMENTS 48 3.4 DATA FROM
NATURAL EXPERIMENTS 54 VLL CONTENTS 3.5 PRACTICAL CONSIDERATIONS 58 3.6
BIBLIOGRAPHIC NOTES 61 II CORE METHODS 4 LINEAR MODELS 65 4.1
INTRODUCTION 65 4.2 REGRESSIONS AND LOSS FUNCTIONS 66 4.3 EXAMPLE:
RETURNS TO SCHOOLING 69 4.4 ORDINARY LEAST SQUARES 70 4.5 WEIGHTED LEAST
SQUARES 81 4.6 MEDIAN AND QUANTILE REGRESSION 85 4.7 MODEL
MISSPECIFICATION 90 4.8 INSTRUMENTAL VARIABLES 95 4.9 INSTRUMENTAL
VARIABLES IN PRACTICE 103 4.10 PRACTICAL CONSIDERATIONS 112 4.11
BIBLIOGRAPHIC NOTES 112 5 MAXIMUM LIKELIHOOD AND NONLINEAR LEAST-SQUARES
ESTIMATION 1 16 5.1 INTRODUCTION 116 5.2 OVERVIEW OF NONLINEAR
ESTIMATORS 117 5.3 EXTREMUM ESTIMATORS 124 5.4 ESTIMATING EQUATIONS 133
5.5 STATISTICAL INFERENCE 135 5.6 MAXIMUM LIKELIHOOD 139 5.7
QUASI-MAXIMUM LIKELIHOOD 146 5.8 NONLINEAR LEAST SQUARES 150 5.9
EXAMPLE: ML AND NLS ESTIMATION 159 5.10 PRACTICAL CONSIDERATIONS 163
5.11 BIBLIOGRAPHIC NOTES 163 6 GENERALIZED METHOD OF MOMENTS AND SYSTEMS
ESTIMATION 166 6.1 INTRODUCTION 166 6.2 EXAMPLES 167 6.3 GENERALIZED
METHOD OF MOMENTS 172 6.4 LINEAR INSTRUMENTAL VARIABLES 183 6.5
NONLINEAR INSTRUMENTAL VARIABLES 192 6.6 SEQUENTIAL TWO-STEP
M-ESTIMATION 200 6.7 MINIMUM DISTANCE ESTIMATION 202 6.8 EMPIRICAL
LIKELIHOOD 203 6.9 LINEAR SYSTEMS OF EQUATIONS 206 6.10 NONLINEAR SETS
OF EQUATIONS 214 6.11 PRACTICAL CONSIDERATIONS 219 6.12 BIBLIOGRAPHIC
NOTES 220 VIII CONTENTS 7 HYPOTHESIS TESTS 223 223 224 233 241 243 246
250 254 256 257 259 259 260 271 274 278 285 287 291 292 9 SEMIPARAMETRIC
METHODS 294 9.1 INTRODUCTION 294 9.2 NONPARAMETRIC EXAMPLE: HOURLY WAGE
295 9.3 KERNEL DENSITY ESTIMATION 298 9.4 NONPARAMETRIC LOCAL REGRESSION
307 9.5 KERNEL REGRESSION 3 ] 9.6 ALTERNATIVE NONPARAMETRIC REGRESSION
3 ] 9 ESTIMATORS 9.7 SEMIPARAMETRIC REGRESSION 322 9.8 DERIVATIONS OF
MEAN AND VARIANCE 330 OF KERNEL ESTIMATORS 9.9 PRACTICAL CONSIDERATIONS
333 9.10 BIBLIOGRAPHIC NOTES 333 10 NUMERICAL OPTIMIZATION 335 10.1
INTRODUCTION 335 10.2 GENERAL CONSIDERATIONS 335 10.3 SPECIFIC METHODS
34 10.4 PRACTICAL CONSIDERATIONS 34G 10.5 BIBLIOGRAPHIC NOTES 352 IX
7.1 7.2 7.3 7.4 7.5 7.6 7.7 7.8 7.9 7.10 INTRODUCTION WALD TEST
LIKELIHOOD-BASED TESTS EXAMPLE: LIKELIHOOD-BASED HYPOTHESIS TESTS TESTS
IN NON-ML SETTINGS POWER AND SIZE OF TESTS MONTE CARLO STUDIES BOOTSTRAP
EXAMPLE PRACTICAL CONSIDERATIONS BIBLIOGRAPHIC NOTES 8 SPECIFICATION
TESTS AND MODEL SELECTION 8.1 8.2 8.3 8.4 8.5 8.6 8.7 8.8 8.9
INTRODUCTION M-TESTS HAUSMAN TEST TESTS FOR SOME COMMON
MISSPECIFICATIONS DISCRIMINATING BETWEEN NONNESTED MODELS CONSEQUENCES
OF TESTING MODEL DIAGNOSTICS PRACTICAL CONSIDERATIONS BIBLIOGRAPHIC
NOTES CONTENTS III SIMULATION-BASED METHODS 11 BOOTSTRAP METHODS 357
11.1 INTRODUCTION 357 11.2 BOOTSTRAP SUMMARY 358 11.3 BOOTSTRAP EXAMPLE
366 11.4 BOOTSTRAP THEORY 368 11.5 BOOTSTRAP EXTENSIONS 373 11.6
BOOTSTRAP APPLICATIONS 376 11.7 PRACTICAL CONSIDERATIONS 382 11.8
BIBLIOGRAPHIC NOTES 382 12 SIMULATION-BASED METHODS 384 12.1
INTRODUCTION 384 12.2 EXAMPLES 385 12.3 BASICS OF COMPUTING INTEGRALS
387 12.4 MAXIMUM SIMULATED LIKELIHOOD ESTIMATION 393 12.5 MOMENT-BASED
SIMULATION ESTIMATION 398 12.6 INDIRECT INFERENCE 404 12.7 SIMULATORS
406 12.8 METHODS OF DRAWING RANDOM VARIATES 410 12.9 BIBLIOGRAPHIC NOTES
4 1 6 13 BAYESIAN METHODS 419 13.1 INTRODUCTION 419 13.2 BAYESIAN
APPROACH 420 13.3 BAYESIAN ANALYSIS OF LINEAR REGRESSION 435 13.4 MONTE
CARLO INTEGRATION 443 13.5 MARKOV CHAIN MONTE CARLO SIMULATION 445 13.6
MCMC EXAMPLE: GIBBS SAMPLER FOR SUR 452 13.7 DATA AUGMENTATION 454 13.8
BAYESIAN MODEL SELECTION 456 13.9 PRACTICAL CONSIDERATIONS 458 13.10
BIBLIOGRAPHIC NOTES 458 IV MODELS FOR CROSS-SECTION DATA 14 BINARY
OUTCOME MODELS 463 14.1 INTRODUCTION 463 14.2 BINARY OUTCOME EXAMPLE:
FISHING MODE CHOICE 464 14.3 LOGIT AND PROBIT MODELS 465 14.4 LATENT
VARIABLE MODELS 475 14.5 CHOICE-BASED SAMPLES 478 14.6 GROUPED AND
AGGREGATE DATA 480 14.7 SEMIPARAMETRIC ESTIMATION 482 CONTENTS 14.8
DERIVATION OF LOGIT FROM TYPE I EXTREME VALUE 486 14.9 PRACTICAL
CONSIDERATIONS 487 14.10 BIBLIOGRAPHIC NOTES 487 15 MULTINOMIAL MODELS
490 15.1 INTRODUCTION 490 15.2 EXAMPLE: CHOICE OF FISHING MODE 491 15.3
GENERAL RESULTS 495 15.4 MULTINOMIAL LOGIT 500 15.5 ADDITIVE RANDOM
UTILITY MODELS 504 15.6 NESTED LOGIT 507 15.7 RANDOM PARAMETERS LOGIT
512 15.8 MULTINOMIAL PROBIT 516 15.9 ORDERED, SEQUENTIAL, AND RANKED
OUTCOMES 519 15.10 MULTIVARIATE DISCRETE OUTCOMES 521 15.11
SEMIPARAMETRIC ESTIMATION 523 15.12 DERIVATIONS FOR MNL, CL, AND NL
MODELS 524 15.13 PRACTICAL CONSIDERATIONS 527 15.14 BIBLIOGRAPHIC NOTES
528 16 TOBIT AND SELECTION MODELS 529 16.1 INTRODUCTION 529 16.2
CENSORED AND TRUNCATED MODELS 530 16.3 TOBIT MODEL 536 16.4 TWO-PAN
MODEL 544 16.5 SAMPLE SELECTION MODELS 545 16.6 SELECTION EXAMPLE:
HEALTH EXPENDITURES 553 16.7 ROY MODEL 555 16.8 STRUCTURAL MODELS 558
16.9 SEMIPARAMETRIC ESTIMATION 562 16.10 DERIVATIONS FOR THE TOBIT MODEL
566 16.11 PRACTICAL CONSIDERATIONS 568 16.12 BIBLIOGRAPHIC NOTES 569 17
TRANSITION DATA: SURVIVAL ANALYSIS 573 17.1 INTRODUCTION 573 17.2
EXAMPLE: DURATION OF STRIKES 574 17.3 BASIC CONCEPTS 576 17.4 CENSORING
579 17.5 NONPARAMETRIC MODELS 580 17.6 PARAMETRIC REGRESSION MODELS 584
17.7 SOME IMPORTANT DURATION MODELS 59] 17.8 COX PH MODEL 592 17.9
TIME-VARYING REGRESSORS 597 17.10 DISCRETE-TIME PROPORTIONAL HAZARDS 600
17.11 DURATION EXAMPLE: UNEMPLOYMENT DURATION 603 XI CONTENTS 17.12
PRACTICAL CONSIDERATIONS 608 17.13 BIBLIOGRAPHIC NOTES 608 18 MIXTURE
MODELS AND UNOBSERVED HETEROGENEITY 6 1 1 18.1 INTRODUCTION 611 18.2
UNOBSERVED HETEROGENEITY AND DISPERSION 612 18.3 IDENTIFICATION IN
MIXTURE MODELS 618 18.4 SPECIFICATIO N OF THE HETEROGENEITY DISTRIBUTION
620 18.5 DISCRETE HETEROGENEITY AND LATENT CLASS ANALYSIS 621 18.6 STOCK
AND FLOW SAMPLING 625 18.7 SPECIFICATION TESTING 628 18.8 UNOBSERVED
HETEROGENEITY EXAMPLE: UNEMPLOYMENT DURATION 632 18.9 PRACTICAL
CONSIDERATIONS 637 18.10 BIBLIOGRAPHIC NOTES 637 19 MODELS OF MULTIPLE
HAZARDS 640 19.1 INTRODUCTION 640 19.2 COMPETING RISKS 642 19.3 JOINT
DURATION DISTRIBUTIONS 648 19.4 MULTIPLE SPELLS 655 19.5 COMPETING RISKS
EXAMPLE: UNEMPLOYMENT DURATION 658 19.6 PRACTICAL CONSIDERATIONS 662
19.7 BIBLIOGRAPHIC NOTES 663 20 MODELS OF COUNT DATA 665 20.1
INTRODUCTION 665 20.2 BASIC COUNT DATA REGRESSION 666 20.3 COUNT
EXAMPLE: CONTACTS WITH MEDICAL DOCTOR 671 20.4 PARAMETRIC COUNT
REGRESSION MODELS 674 20.5 PARTIALLY PARAMETRIC MODELS 682 20.6
MULTIVANATE COUNTS AND ENDOGENOUS REGRESSORS 685 20.7 COUNT EXAMPLE:
FURTHER ANALYSIS 690 20.8 PRACTICAL CONSIDERATIONS 690 20.9
BIBLIOGRAPHIC NOTES 691 V MODELS FOR PANEL DATA 21 LINEAR PANEL MODELS:
BASICS 697 21.1 INTRODUCTION 697 21.2 OVERVIEW OF MODELS AND ESTIMATORS
698 21.3 LINEAR PANEL EXAMPLE: HOURS AND WAGES 708 21.4 FIXED EFFECTS
VERSUS RANDOM EFFECTS MODELS 715 21.5 POOLED MODELS 720 21.6 FIXED
EFFECTS MODEL 726 21.7 RANDOM EFFECTS MODEL 734 XN CONTENTS 21.8
MODELING ISSUES 737 21.9 PRACTICAL CONSIDERATIONS 740 21.10
BIBLIOGRAPHIC NOTES 740 22 LINEAR PANEL MODELS: EXTENSIONS 743 22.1
INTRODUCTION 743 22.2 GMM ESTIMATION OF LINEAR PANEL MODELS 744 22.3
PANEL GMM EXAMPLE: HOURS AND WAGES 754 22.4 RANDOM AND FIXED EFFECTS
PANEL GMM 756 22.5 DYNAMIC MODELS 763 22.6 DIFFERENCE-IN-DIFFERENCES
ESTIMATOR 768 22.7 REPEATED CROSS SECTIONS AND PSEUDO PANELS 770 22.8
MIXED LINEAR MODELS 774 22.9 PRACTICAL CONSIDERATIONS 776 22.10
BIBLIOGRAPHIC NOTES 777 23 NONLINEAR PANEL MODELS 779 23.1 INTRODUCTION
779 23.2 GENERA] RESULTS 779 23.3 NONLINEAR PANEL EXAMPLE: PATENTS AND
R&D 762 23.4 BINARY OUTCOME DATA 795 23.5 TOBIT AND SELECTION MODELS 800
23.6 TRANSITION DATA 801 23.7 COUNT DATA 802 23.8 SEMIPARAMETRIC
ESTIMATION 808 23.9 PRACTICAL CONSIDERATIONS 808 23.10 BIBLIOGRAPHIC
NOTES 809 VI FURTHER TOPICS 24 STRATIFIED AND CLUSTERED SAMPLES 813 24.1
INTRODUCTION 813 24.2 SURVEY SAMPLING 814 24.3 WEIGHTING 817 24.4
ENDOGENOUS STRATIFICATION 822 24.5 CLUSTERING 829 24.6 HIERARCHICAL
LINEAR MODELS 845 24.7 CLUSTERING EXAMPLE: VIETNAM HEALTH CARE USE 848
24.8 COMPLEX SURVEYS 853 24.9 PRACTICAL CONSIDERATIONS 857 24.10
BIBLIOGRAPHIC NOTES 857 25 TREATMENT EVALUATION 860 25.1 INTRODUCTION
860 25.2 SETUP AND ASSUMPTIONS 862 XM CONTENTS 25.3 TREATMENT EFFECTS
AND SELECTION BIAS 865 25.4 MATCHING AND PROPENSITY SCORE ESTIMATORS 871
25.5 DIFFERENCES-IN-DIFFERENCES ESTIMATORS 878 25.6 REGRESSION
DISCONTINUITY DESIGN 879 25.7 INSTRUMENTAL VARIABLE METHODS 883 25.8
EXAMPLE: THE EFFECT OF TRAINING ON EARNINGS 889 25.9 BIBLIOGRAPHIC NOTES
896 26 MEASUREMENT ERROR MODELS 899 26.1 INTRODUCTION 899 26.2
MEASUREMENT ERROR IN LINEAR REGRESSION 900 26.3 IDENTIFICATION
STRATEGIES 905 26.4 MEASUREMENT ERRORS IN NONLINEAR MODELS 911 26.5
ATTENUATION BIAS SIMULATION EXAMPLES 919 26.6 BIBLIOGRAPHIC NOTES 920 27
MISSING DATA AND IMPUTATION 92 3 27.1 INTRODUCTION 923 27.2 MISSING DATA
ASSUMPTIONS 925 27.3 HANDLING MISSING DATA WITHOUT MODELS 928 27.4
OBSERVED-DATA LIKELIHOOD 929 27.5 REGRESSION-BASED IMPUTATION 930 27.6
DATA AUGMENTATION AND MCMC 932 27.7 MULTIPLE IMPUTATION 934 27.8 MISSING
DATA MCMC IMPUTATION EXAMPLE 935 27.9 PRACTICAL CONSIDERATIONS 939 27.10
BIBLIOGRAPHIC NOTES 940 A ASYMPTOTIC THEORY 943 A.I INTRODUCTION 943 A.2
CONVERGENCE IN PROBABILITY 944 A.3 LAWS OF LARGE NUMBERS 947 A.4
CONVERGENCE IN DISTRIBUTION 948 A.5 CENTRAL LIMIT THEOREMS 949 A.6
MULTIVARIATE NORMAL LIMIT DISTRIBUTIONS 951 A.7 STOCHASTIC ORDER OF
MAGNITUDE 954 A.8 OTHER RESULTS 955 A.9 BIBLIOGRAPHIC NOTES 956 B MAKING
PSEUDO-RANDOM DRAWS 957 REFERENCES 961 INDEX 999 XIV
|
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| author | Cameron, Adrian Colin 1956- Trivedi, Pravin K. 1943- |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV019795722 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:06:18Z |
| institution | BVB |
| isbn | 0521848059 9780521848053 |
| language | English |
| lccn | 2004022273 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013121395 |
| oclc_num | 56599620 |
| open_access_boolean | |
| owner | DE-703 DE-20 DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-1047 DE-N2 DE-355 DE-BY-UBR DE-1051 DE-11 DE-188 DE-M49 DE-BY-TUM DE-521 DE-739 DE-Aug4 DE-83 DE-M347 DE-M382 |
| owner_facet | DE-703 DE-20 DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-1047 DE-N2 DE-355 DE-BY-UBR DE-1051 DE-11 DE-188 DE-M49 DE-BY-TUM DE-521 DE-739 DE-Aug4 DE-83 DE-M347 DE-M382 |
| physical | xxii, 1034 Seiten Illustrationen |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Cambridge University Press |
| record_format | marc |
| spelling | Cameron, Adrian Colin 1956- Verfasser (DE-588)12870022X aut Microeconometrics methods and applications A. Colin Cameron, Pravin K. Trivedi First published Cambridge Cambridge University Press 2005 xxii, 1034 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Econometria larpcal Econometrische modellen gtt Micro-economie gtt Microeconomia (modelos) larpcal Microéconomie - Modèles économétriques aMicroeconomics xEconometric models Mikroökonomisches Modell (DE-588)4125908-7 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Mikroökonomie (DE-588)4039225-9 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Mikroökonomisches Modell (DE-588)4125908-7 s DE-604 Ökonometrisches Modell (DE-588)4043212-9 s Mikroökonomie (DE-588)4039225-9 s Ökonometrie (DE-588)4132280-0 s Trivedi, Pravin K. 1943- Verfasser (DE-588)118054791 aut SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013121395&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cameron, Adrian Colin 1956- Trivedi, Pravin K. 1943- Microeconometrics methods and applications Econometria larpcal Econometrische modellen gtt Micro-economie gtt Microeconomia (modelos) larpcal Microéconomie - Modèles économétriques aMicroeconomics xEconometric models Mikroökonomisches Modell (DE-588)4125908-7 gnd Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Mikroökonomie (DE-588)4039225-9 gnd |
| subject_GND | (DE-588)4125908-7 (DE-588)4132280-0 (DE-588)4043212-9 (DE-588)4039225-9 (DE-588)4123623-3 |
| title | Microeconometrics methods and applications |
| title_auth | Microeconometrics methods and applications |
| title_exact_search | Microeconometrics methods and applications |
| title_full | Microeconometrics methods and applications A. Colin Cameron, Pravin K. Trivedi |
| title_fullStr | Microeconometrics methods and applications A. Colin Cameron, Pravin K. Trivedi |
| title_full_unstemmed | Microeconometrics methods and applications A. Colin Cameron, Pravin K. Trivedi |
| title_short | Microeconometrics |
| title_sort | microeconometrics methods and applications |
| title_sub | methods and applications |
| topic | Econometria larpcal Econometrische modellen gtt Micro-economie gtt Microeconomia (modelos) larpcal Microéconomie - Modèles économétriques aMicroeconomics xEconometric models Mikroökonomisches Modell (DE-588)4125908-7 gnd Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Mikroökonomie (DE-588)4039225-9 gnd |
| topic_facet | Econometria Econometrische modellen Micro-economie Microeconomia (modelos) Microéconomie - Modèles économétriques aMicroeconomics xEconometric models Mikroökonomisches Modell Ökonometrie Ökonometrisches Modell Mikroökonomie Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013121395&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT cameronadriancolin microeconometricsmethodsandapplications AT trivedipravink microeconometricsmethodsandapplications |