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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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"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 of Economics, 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." Whitney Newey , 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, University College London
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8 人中、7人の方が、｢このレビューが参考になった｣と投票しています。
The only econometrics text you will need....
2011/11/11
形式:ハードカバー
I am a former student of Dr. Wooldridge and used his earlier manuscripts of this book in his econometrics classes. I recommend this book to anyone who does applied research for the following reasons:
1. From the point of view of a student, Dr. Wooldridge knows how to present the most complex econometric theories in an intuitive and easy way. Having thrown up at Greene in grad classes, Dr. Wooldridge's style was like a breath of fresh air. Econometrics not only will make sense with this book, but it will be fun!
2. From the point of view of a researcher, this book condenses the current econometric methods used in microeconomic research in such a way that will save you years of sifting through journal papers to figure out where the current state of the literature. At the same time, the book does so in a fairly detailed way, unlike the encyclopedia-like approach of the Handbooks of Econometrics.
3. Although Dr. Wooldridge is a theoretical econometrician, the book is written for the applied crowd. It explains how to perform various complex estimations. Definitely get the companion problems/solution text, because there are details on Stata commands that can be used for the various estimations. There are also numerous specific examples throughout the book that use data from published papers, so if one is interested, can follow up on the references and get to the bottom of the problem (and the solution).
The book is useful for both graduate students and researchers alike. This is because it covers the fundamentals AND the most up-to-date state of the literature. If you have no access to the contents, here is a quick description:
The book first covers the basics of linear regression, asymptotics, etc., and then dives into all that can go wrong with the model - heteroskedasticity, bias, measurement error, etc. The solutions to such problems are then discussed (proxy variables, random coefficient models, etc). There is a chapter on instrumental variables that discusses at length all the current issues with the method. There is also a chapter on pooled data and difference-in-difference policy evaluation methods. Then the book covers GLS and Feasible GLS estimation. The treatment of Seemingly Unrelated Regression (SUR) models is a must for anyone ever trying to set up a two- or more equation model. Next the book discusses GMM estimation and Simultaneous Equation Models (SEM).
The part that covers modern panel data analyses is, in my opinion, the most useful section. The genius of it, is that Dr. Wooldridge has already set up the problem in his SURs and SEMs discussion, so with a simple adaptation of notation (and asymptotic twists due to the time dimension), the theory remains pretty much the same. In this section, the treatment of lagged dependent variables is extremely important reading - I have seen many published abuses of this issue(albeit not in top journals).
Next the book covers limited dependent variables (MLE methods), where the most useful is the application to panel data. Again, dynamic unobserved panel data models are in my opinion one of the highlights of this section. There is of course, discussion of probit, logit, multinomial logit, and tobit, all with applications to both cross-sectional and panel data.
Next the book covers censored data - sample selection problems and their solutions. Finally, there is a discussion of survival analysis. The potential reader should be aware that this book focuses on parametric methods.
1. From the point of view of a student, Dr. Wooldridge knows how to present the most complex econometric theories in an intuitive and easy way. Having thrown up at Greene in grad classes, Dr. Wooldridge's style was like a breath of fresh air. Econometrics not only will make sense with this book, but it will be fun!
2. From the point of view of a researcher, this book condenses the current econometric methods used in microeconomic research in such a way that will save you years of sifting through journal papers to figure out where the current state of the literature. At the same time, the book does so in a fairly detailed way, unlike the encyclopedia-like approach of the Handbooks of Econometrics.
3. Although Dr. Wooldridge is a theoretical econometrician, the book is written for the applied crowd. It explains how to perform various complex estimations. Definitely get the companion problems/solution text, because there are details on Stata commands that can be used for the various estimations. There are also numerous specific examples throughout the book that use data from published papers, so if one is interested, can follow up on the references and get to the bottom of the problem (and the solution).
The book is useful for both graduate students and researchers alike. This is because it covers the fundamentals AND the most up-to-date state of the literature. If you have no access to the contents, here is a quick description:
The book first covers the basics of linear regression, asymptotics, etc., and then dives into all that can go wrong with the model - heteroskedasticity, bias, measurement error, etc. The solutions to such problems are then discussed (proxy variables, random coefficient models, etc). There is a chapter on instrumental variables that discusses at length all the current issues with the method. There is also a chapter on pooled data and difference-in-difference policy evaluation methods. Then the book covers GLS and Feasible GLS estimation. The treatment of Seemingly Unrelated Regression (SUR) models is a must for anyone ever trying to set up a two- or more equation model. Next the book discusses GMM estimation and Simultaneous Equation Models (SEM).
The part that covers modern panel data analyses is, in my opinion, the most useful section. The genius of it, is that Dr. Wooldridge has already set up the problem in his SURs and SEMs discussion, so with a simple adaptation of notation (and asymptotic twists due to the time dimension), the theory remains pretty much the same. In this section, the treatment of lagged dependent variables is extremely important reading - I have seen many published abuses of this issue(albeit not in top journals).
Next the book covers limited dependent variables (MLE methods), where the most useful is the application to panel data. Again, dynamic unobserved panel data models are in my opinion one of the highlights of this section. There is of course, discussion of probit, logit, multinomial logit, and tobit, all with applications to both cross-sectional and panel data.
Next the book covers censored data - sample selection problems and their solutions. Finally, there is a discussion of survival analysis. The potential reader should be aware that this book focuses on parametric methods.
5 人中、3人の方が、｢このレビューが参考になった｣と投票しています。
Strongly recommend
2011/10/15
形式:ハードカバー|Amazonが確認した購入
Excellent book for advanced panel data applications. The author explains the underlying theory and the mechanics of complex econometric models. In every part of the book, the author provides empirical applications to support the topic just covered. Certainly, a book to be added to the library of applied economists.
10 人中、2人の方が、｢このレビューが参考になった｣と投票しています。
Good econometrics book.
2011/2/22
形式:ハードカバー|Amazonが確認した購入
It is an excellent book for econometric analysis of cross section and panel data. Provides several examples that are very helpful when trying to understand a specific topic.
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