Book Econometric Analysis of Cross Section and Panel Data By Wooldridge - Chapter 4 ppt

... Linear Model and OLS Estimation 53 II LINEAR MODELS In this part we begin our econometric analysis of linear models for cross section and panel data. In Chapter 4 we review the single-equation linear ... for cross section data as well as begin our analysis of panel data. Chapter 8 builds on the framework from Chapter 7 but considers the case where some ex...

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... square root of the appropriate diagonal ele- ment of ^ VV N =N. The asymptotic standard errors can be loosely thought of as estimating the standard deviations of the elements of ^ yy N , and they ... the interior of Y, and because plim ^ yy N ¼ y, ^ yy N is in an open, convex subset of Y containing y with Chapter 344 3Basic Asymptotic Theory This chapter summarizes some...

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... confuse a pooling of independent cross sections with a di¤erent data structure, panel data, which we treat starting in Chapter 7. Briefly, in a panel data set we follow the same group of individuals, ... case of the White test because ð ^ yy i ; ^ yy 2 i Þ con- tains two linear combinations of the squares and cross products of all elements in x i . Additional Single...

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... with equation ( 14. 44) . Then ðx i1 ; x i3 Þ (and functions of these) can be used as instruments in any of the G demand equations, and ðq i ; x i Þ act as IVs in equation ( 14. 44) . (It may be that ... equation ( 14. 44) , by GMM or nonlinear 3SLS. If the demand functions are written in inverse form, the resulting system is linear in the parameters, as shown in Wooldridge (1996)....

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... À.262 (.076) À.121 (.0 34) tv À.250 (.090) À. 145 (. 041 ) constant À3.3 94 (. 245 ) À5.375 (. 141 ) Log-likelihood value — À6 ,49 7.060 R-squared .590 .598 ^ ss 1 .42 4 .867 Chapter 19652 assumption in count data contexts—then the ... some of which we cover in Sections 19.3 and 19 .4. Wooldridge (1997c) gives an example of Poisson regression to an economic model of crime, wh...

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... regressors. (See Problems 4. 5 and 4. 15 of Chapter 4 for specific examples.) In a random sampling context, the u i are always independent and identically dis- tributed, regardless of how they are related ... cross section analysis the asymptotics is as the number of observations, denoted N throughout this book, tends to infinity. Usually what is meant by this statement...

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... equation (2 .47 ) generally more useful than equation (2 .48 )? 2 .4. For random scalars u and v and a random vector x, suppose that Eðu jx; vÞ is a linear function of ðx; vÞ and that u and v each ... e¤ect of w on Eðy jw; cÞ, holding c fixed, is easily estimated. Unfortunately, complications often arise in the collection and analysis of economic data because of the nonex...

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... quarters of birth and various interactions of these with year of birth and state of birth—are very weak, and they are too numerous relative to their contribu- tion in explaining years of education. ... S ^ SST K ¼ P N i¼1 ð ^ xx iK À ^ xx K Þ, and ^ RR 2 K is the R-squared from regression (5 .40 ). In the context of OLS, the term Chapter 5102 Example 5.3 (Parents’ and...

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... 7.6 (Wage Equation with Panel Data) : Suppose we have data for the years 1990, 1991, and 1992 on a cross section of individuals, and we would like to estimate the e¤ect of computer usage on individual ... observations pooled across i and t. We men- tioned this estimator in the context of independent cross sections in Section 6.3. The estimator in equation (7.17) is fo...

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... the cross section sample size, N; for an example, see Problem 8.8. We cover general panel data appli- cations in Chapter 11. (As in Chapter 7, the label ‘‘systems of equations’’ is not es- pecially ... y i , X i , and u i can represent di¤erent time periods for the same cross- sectional unit (so G ¼ T, the total number of time periods). Therefore, the following analysis...

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