Book Econometric Analysis of Cross Section and Panel Data By Wooldridge - Chapter 7 pot

... N À1 X N i¼1 ^ ^ uu ^ uu i ^ ^ uu ^ uu 0 i 7: 37 Estimating Systems of Equations by OLS and GLS 1 57 7.8.1 Assumptions for Pooled OLS We now summarize the properties of pooled OLS and feasible GLS for the linear panel data model y t ¼ ... Systems of Equations by OLS and GLS 155 Note that the dimension of X i is G ÂðK 1 þ K 2 þÁÁÁþK G Þ, so we define K 1 K 1 þÁÁÁþK G ....

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... 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 is obvious. For panel data analysis, ... the time series dimension and let the cross section dimension grow. The research on asymptotic analysis with these kinds of panel data sets is still in its early...

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... in a single cross section on the second- di¤erenced data, so that if the second-di¤ere nce error is homoskedastic condition al on x i , the standard OLS analysis on the cross section of second ... approach to estimation in Chapter 14. 11.4 Hausman and Taylor-Type Models In the panel data methods we covered in Chapter 10, and so far in this chapter, coe‰cients on tim...

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... Data censoring also arises in the ana lysis of duration models, a topic we treat in Chapter 20. A second kind of application of censored regression models appears more often in econometrics and, ... is an example of data censoring, and is analogous to the data- coding problem we dis- cussed in Section 15.10.2 in connection with interval regression. Example 16.1 (Top Coding...

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... suggested by Manski and Lerman (1 977 ) in the context of choice-based sampling in discrete response models. [Actually, Manski and Lerman (1 977 ) use multinomial sampling where H j is the probability of ... ( 17. 43) and ( 17. 47) , and it has a form very similar to equation ( 17. 37) . The only di¤erence is that non- linear restrictions are imposed automatically on the structu...

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... across the distribution of x. Conditional Expectations and Related Concepts in Econometrics 27 If we only assume equation (2.18), then u can be correlated with nonlinear func- tions of x 1 and ... 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...

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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 ... z 0 N V À1 z N @ a w 2 K ). lemma 3 .7: Let fx N g and fz N g be sequences of K Â1 random vectors. If z N ! d z and x N À z N ! p 0, then x N ! d z. Lemma 3 .7 is called the as...

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... 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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... 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. ... linear combination of interest, say y 1 a 1 b 1 þ a 2 b 2 þÁÁÁþa K b K , and then to write one of the b j in terms of y and the other elements of b. Then, substitute...

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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, ... level? 6 .7. For this problem use the data in HPRICE.RAW, which is a subset of the data used by Kiel and McClain (1995). The file conta ins housing prices and cha...

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