Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models
Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models

Author: Myoung-jae Lee

Publisher: Springer Science & Business Media

Published: 2013-04-17

Total Pages: 285

ISBN-13: 1475725507

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In this book the author surveys new techniques in econometrics which may be used to analyse semiparametric models. As well as covering topics such as instrumental variable estimation, nonparametric density and regression function estimation and semiparametric limited dependent variable models, the book provides details of how these methods may be implemented using software.

Micro-Econometrics
Micro-Econometrics

Author: Myoung-jae Lee

Publisher: Springer Science & Business Media

Published: 2009-09-28

Total Pages: 789

ISBN-13: 0387688412

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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

Panel Data Econometrics
Panel Data Econometrics

Author: Myoung-jae Lee

Publisher: Emerald Group Pub Limited

Published: 2002

Total Pages: 195

ISBN-13: 9780124406568

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Disk contains: Four data sets -- Ten GAUSS programs for empirical examples in text.

Microeconometrics
Microeconometrics

Author: A. Colin Cameron

Publisher: Cambridge University Press

Published: 2005-05-09

Total Pages: 1058

ISBN-13: 1139444867

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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.

Econometrics
Econometrics

Author: G. S. Maddala

Publisher: Elsevier Health Sciences

Published: 1993-11-03

Total Pages: 812

ISBN-13:

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A source, reference and teaching supplement to econometrics. The papers in this volume provide comprehensive and up-to-date surveys of recent developments in various aspects of econometrics, covering a wide variety of applications of statistical methodology to econometric problems.

Simulation-based Econometric Methods
Simulation-based Econometric Methods

Author: Christian Gouriéroux

Publisher: OUP Oxford

Published: 1997-01-09

Total Pages: 190

ISBN-13: 019152509X

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This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.

Generalized Method of Moments Estimation
Generalized Method of Moments Estimation

Author: Laszlo Matyas

Publisher: Cambridge University Press

Published: 1999-04-13

Total Pages: 332

ISBN-13: 9780521669672

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The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and economic models by relying on mild, plausible assumptions. The principal objective of this volume is to offer a complete presentation of the theory of GMM estimation as well as insights into the use of these methods in empirical studies. It is also designed to serve as a unified framework for teaching estimation theory in econometrics. Contributors to the volume include well-known authorities in the field based in North America, the UK/Europe, and Australia. The work is likely to become a standard reference for graduate students and professionals in economics, statistics, financial modeling, and applied mathematics.

Analysis of Panels and Limited Dependent Variable Models
Analysis of Panels and Limited Dependent Variable Models

Author: Cheng Hsiao

Publisher: Cambridge University Press

Published: 1999-07-29

Total Pages: 352

ISBN-13: 113943134X

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This important collection brings together leading econometricians to discuss advances in the areas of the econometrics of panel data. The papers in this collection can be grouped into two categories. The first, which includes chapters by Amemiya, Baltagi, Arellano, Bover and Labeaga, primarily deal with different aspects of limited dependent variables and sample selectivity. The second group of papers, including those by Nerlove, Schmidt and Ahn, Kiviet, Davies and Lahiri, consider issues that arise in the estimation of dyanamic (possibly) heterogeneous panel data models. Overall, the contributors focus on the issues of simplifying complex real-world phenomena into easily generalisable inferences from individual outcomes. As the contributions of G. S. Maddala in the fields of limited dependent variables and panel data were particularly influential, it is a fitting tribute that this volume is dedicated to him.

Handbook of Measurement Error Models
Handbook of Measurement Error Models

Author: Grace Y. Yi

Publisher: CRC Press

Published: 2021-09-28

Total Pages: 648

ISBN-13: 1351588591

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Measurement error arises ubiquitously in applications and has been of long-standing concern in a variety of fields, including medical research, epidemiological studies, economics, environmental studies, and survey research. While several research monographs are available to summarize methods and strategies of handling different measurement error problems, research in this area continues to attract extensive attention. The Handbook of Measurement Error Models provides overviews of various topics on measurement error problems. It collects carefully edited chapters concerning issues of measurement error and evolving statistical methods, with a good balance of methodology and applications. It is prepared for readers who wish to start research and gain insights into challenges, methods, and applications related to error-prone data. It also serves as a reference text on statistical methods and applications pertinent to measurement error models, for researchers and data analysts alike. Features: Provides an account of past development and modern advancement concerning measurement error problems Highlights the challenges induced by error-contaminated data Introduces off-the-shelf methods for mitigating deleterious impacts of measurement error Describes state-of-the-art strategies for conducting in-depth research