Microeconometrics: methods and applications/
A. Colin Cameron and Pravin K. Trivedi
- New York: Cambridge University Press, 2009.
- xxii, 1,034 p. : ill. ; 27 cm.
Distinctive Aspects of Microeconometrics -- Book Outline -- Software -- Notation and Conventions -- Causal and Noncausal Models -- Structural Models -- Exogeneity -- Linear Simultaneous Equations Model -- Identification Concepts -- Single-Equation Models -- Potential Outcome Model -- Causal Modeling and Estimation Strategies -- Microeconomic Data Structures -- Observational Data -- Data from Social Experiments -- Data from Natural Experiments -- Core Methods -- Linear Models -- Regressions and Loss Functions -- Example: Returns to Schooling -- Ordinary Least Squares -- Weighted Least Squares -- Median and Quantile Regression -- Model Misspecification -- Instrumental Variables -- Instrumental Variables in Practice -- Maximum Likelihood and Nonlinear Least-Squares Estimation -- Overview of Nonlinear Estimators -- Extremum Estimators -- Estimating Equations -- Statistical Inference -- Maximum Likelihood -- Quasi-Maximum Likelihood -- Nonlinear Least Squares -- Example: ML and NLS Estimation -- Generalized Method of Moments and Systems Estimation -- Generalized Method of Moments -- Linear Instrumental Variables -- Nonlinear Instrumental Variables -- Sequential Two-Step m-Estimation -- Minimum Distance Estimation -- Empirical Likelihood -- Linear Systems of Equations -- Nonlinear Sets of Equations -- Hypothesis Tests -- Wald Test -- Likelihood-Based Tests -- Example: Likelihood-Based Hypothesis Tests -- Tests in Non-ML Settings -- Power and Size of Tests -- Monte Carlo Studies -- Bootstrap Example.