Econometric analysis of cross section and panel data
MIT Press, Cambridge and London, (2002)Abstract
Textbook on the econometric analysis of cross section and panel data
suitable for a second semester course in graduate econometrics,
following a first course at the level of A Course in Econometrics
by A. S. Goldberger (1991) or Econometric Analysis by W. Greene
(1997). Covers conditional expectations and related concepts in
econometrics; basic asymptotic theory; the single equation linear
model and ordinary least squares (OLS) estimation; instrumental
variables estimation of single equation linear models; additional
single equation topics; estimating systems of equations by OLS and
generalized least squares; system estimation by instrumental variables;
simultaneous equations models; basic linear unobserved effects panel
data models; more topics in unobserved effects models; approaches
to nonlinear estimation; M-estimation; maximum likelihood methods;
the generalized method of moments and minimum distance estimation;
discrete response models; corner solution outcomes and censored
regression models; sample selection, attrition, and stratified sampling;
estimating average treatment effects; count data and related models;
and duration analysis. Contains numerous end-of-chapter problems.
Several problems require data sets that are included with the book.
Wooldridge is Professor of Economics at Michigan State University.
Index
