Microeconometrics: Methods and Applications

Microeconometrics: Methods and Applications

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A. Colin Cameron, Pravin K. Trivedi
Cambridge University Press, 5/9/2005
EAN 9780521848053, ISBN10: 0521848059

Hardcover, 1056 pages, 25.7 x 18.3 x 4.3 cm
Language: English

This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.

1. Introduction
2. Causal and non-causal models
3. Microeconomic data structures
4. Linear models
5. ML and NLS estimation
6. GMM and systems estimation
7. Hypothesis tests
8. Specification tests and model selection
9. Semiparametric methods
10. Numerical optimization
11. Bootstrap methods
12. Simulation-based methods
13. Bayesian methods
14. Binary outcome models
15. Multinomial models
16. Tobit and selection models
17. Transition data
survival analysis
18. Mixture models and unobserved heterogeneity
19. Models of multiple hazards
20. Models of count data
21. Linear panel models
22. Linear panel models
23. Nonlinear panel models
24. Stratified and clustered samples
25. Treatment evaluation
26. Measurement error models
27. Missing data and imputation
A. Asymptotic theory
B. Making pseudo-random draw.

'This book presents an elegant and accessible treatment of the broad range of rapidly expanding topics currently being studied by microeconometricians. Thoughtful, intuitive, and careful in laying out central concepts of sophisticated econometric methodologies, it is not only an excellent textbook for students, but also an invaluable reference text for practitioners and researchers.' Cheng Hsiao, University of Southern California