Micro-Econometrics (eBook)

Methods of Moments and Limited Dependent Variables

Myoung-Jae Lee (Autor)

eBook Download: PDF

2009 | 2nd ed. 2010
XXVII, 770 Seiten
Springer New York (Verlag)
978-0-387-68841-1 (ISBN)

Infos

Up-to-date coverage of most micro-econometric topics; first half parametric, second half semi- (non-) parametric

Many empirical examples and tips in applying econometric theories to data

Essential ideas and steps shown for most estimators and tests; well-suited for both applied and theoretical readers

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WhenIwrotethebookMethodsofMomentsandSemiparametricEco- metrics for Limited Dependent Variable Models published from Springer in 1996, my motivation was clear: there was no book available to convey the latest messages in micro-econometrics. The messages were that most eco- metric estimators can be viewed as method-of-moment estimators and that inferences for models with limited dependent variables (LDV) can be done without going fully parametric. Time has passed and there are now several books available for the same purpose. These days, methods of moments are the mainstay in econometrics, not just in micro-, but also in macro-econometrics. Many papers have been published for semiparametric methods and LDV models. I, myself, learned much over the years since 1996, so much so that my own view on what should be taught, and how, has changed much. Particularly, my exposure to the "e;sample selection"e; and "e;treatment e?ect"e; literature has changed the way I look at econometrics now. When I set out to write the second edition of the 1996 book, these changes prompted me to re-title, reorganize, and re-focus the book.

Inhalt

PREFACE 6
REMARKS ON EXPRESSIONS AND NOTATIONS 9
CONTENTS 11
CHAPTER 1 METHODS OF MOMENTS FOR SINGLE LINEAR EQUATION MODELS 26
1 Least Squares Estimator (LSE) 26
2 Heteroskedasticity and Homoskedasticity 42
3 Testing Linear Hypotheses 50
4 Instrumental Variable Estimator (IVE) 56
5 Generalized Method-of-Moment Estimator (GMM) 67
6 Generalized Least Squares Estimator (GLS) 73
CHAPTER 2 METHODS OF MOMENTS FOR MULTIPLE LINEAR EQUATION SYSTEMS 78
1 System LSE, IVE, and GMM 78
2 Simultaneous Equations and Identification 91
3 Methods of Moments for Panel Data 100
CHAPTER 3 M- ESTIMATOR AND MAXIMUM LIKELIHOOD ESTIMATOR ( MLE) 115
1 M-Estimator 115
2 Maximum Likelihood Estimator (MLE) 120
3 M-Estimator with Nuisance Parameters 126
4 Method-of-Moment Tests (MMT) 132
5 Tests Comparing Two Estimators 136
6 Three Tests for MLE 141
7 Numerical Optimization and One-Step Efficient Estimation 151
CHAPTER 4 NONLINEAR MODELS AND ESTIMATORS 157
1 Nonlinear Least Squares Estimator (NLS) 157
2 Quantile and Mode Regression 169
3 GMM for Nonlinear Models 180
4 Minimum Distance Estimation (MDE) 192
CHAPTER 5 PARAMETRIC METHODS FOR SINGLE EQUATION LDV MODELS 201
1 Binary Response 201
2 Ordered Discrete Response 213
3 Count Response 222
4 Censored Response and Related LDV Models 230
5 Parametric Estimators for Duration 240
CHAPTER 6 PARAMETRIC METHODS FOR MULTIPLE EQUATION LDV MODELS 252
1 Multinomial Choice Models 252
2 Methods of Simulated Moments (MSM) 267
3 Sample-Selection Models 275
4 LDV’s with Endogenous Regressors 292
5 Panel-Data Binary-Response Models 308
6 Competing Risks* 319
CHAPTER 7 KERNEL NONPARAMETRIC ESTIMATION 325
1 Kernel Density Estimator 325
2 Consistency and Bandwidth Choice 335
3 Asymptotic Distribution 344
4 Finding Modes* 351
5 Survival and Hazard Under Random Right-Censoring* 355
6 Kernel Nonparametric Regression 366
7 Topics in Kernel Nonparametric Regression 375
CHAPTER 8 BANDWIDTH- FREE SEMIPARAMETRIC METHODS 385
1 Quantile Regression for LDV models 385
2 Methods Based on Modality and Symmetry 405
3 Rank-Based Methods 419
4 Differencing-Based Estimators 437
5 Estimators for Duration Models 443
6 Integrated-Moment Specification Tests* 453
CHAPTER 9 BANDWIDTH- DEPENDENT SEMIPARAMETRIC METHODS 462
1 Two-Stage Estimator with Nonparametric First-Stage 462
2 Nonparametric TSE for Endogenous Regressors 470
3 Control-Function (CF) Approaches 477
4 Single Index Models 485
5 Semi-linear Models 500
6 Additive Models 509
7 Transformation of Response Variables 518
8 Nonparametric Specification and Significance Tests 531
APPENDIX I: MATHEMATICAL BACKGROUNDS AND CHAPTER APPENDICES 552
1 Mathematical and Statistical Backgrounds 552
2 Appendix for Chapter 2 570
3 Appendix for Chapter 3 581
4 Appendix for Chapter 4 587
5 Appendix for Chapter 5 593
6 Appendix for Chapter 6 596
7 Appendix for Chapter 7 605
8 Appendix for Chapter 8 617
9 Appendix for Chapter 9 631
APPENDIX II: SUPPLEMENTARY TOPICS 636
1 Appendix for Hypothesis Test 636
2 Stratified Sampling and Weighted M- Estimator 653
3 Empirical Likelihood Estimator 667
4 Stochastic-Process Convergence and Applications 675
5 Bootstrap 696
APPENDIX III: SELECT GAUSS PROGRAMS 725
1 LSE, IVE, GMM and Wald Test 725
2 SystemLSE 727
3 Method-of-Moment Test for Symmetry 728
4 Quantile Regression 729
5 Univariate Parametric LDV Models 730
6 Multivariate Parametric LDV Models 734
7 Nonparametric Regression and Hazard 736
8 Bandwidth-Free Semiparametric Methods 740
9 Bandwidth-Dependent Semiparametric Methods 743
REFERENCES 746
Index 778

Produkt-Details

• Erscheint lt. Verlag: 28.9.2009
• Zusatzinfo: XXVII, 770 p.
• Verlagsort: New York
• Sprache: englisch
• Themenwelt: Geisteswissenschaften ► Psychologie ► Test in der Psychologie
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Marketing / Vertrieb
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: Econometrics • limited dependent variables • methods of moments • Micro-econometrics • nonparametrics • semiparametric methods • semiparametrics • Statistics
• ISBN-10: 0-387-68841-2 / 0387688412
• ISBN-13: 978-0-387-68841-1 / 9780387688411