Book Econometric Analysis of Cross Section and Panel Data By Wooldridge - Chapter 9 doc

... to the ortho- gonality conditions, as in equation (9. 38), and applying nonlinear GMM estimation. See Lahiri and Schmidt ( 197 8) and Hausman, Newey, and Taylor ( 198 7). Chapter 92 28 9. 4.2 Using ... structural equations (9. 4) and (9. 5). Given equation (9. 4) and the reduced form (9. 6), we can now use the identification condition from Chapter 5 for a linear model with a...

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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. ... Bound, Jaeger, and Baker ( 199 5) show that in the setting of Angrist and Krueger ( 199 1) the 2SLS estimator can be expected to behave quite poorly, an alarming finding be...

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... hypothe- sis is rejected much more often than the nominal size of the test). See, for example, Davidson and MacKinnon ( 199 3), Bera and McKenzie ( 198 6), Orme ( 199 0), and Chesher and Spady ( 199 1). The ... Gallant ( 198 7), Gallant and White ( 198 8), and White ( 199 4). See Andrews ( 198 9) for innovative suggestions for using local power analysis in applied work. 12.7 O...

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... data KEANE.RAW (a subset from Keane and Wolpin, 199 7) contains employment and schooling history for a sample of men for the years 198 1 to 198 7. We use the data for 198 7. The three possible outcomes ... assumption (con- ditional on c i ), since z i appears in the conditioning set on the left-hand side of equa- tion (15.74), but only z it appears on the right-hand side. Second,...

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... limit theory. See, for example, Quah ( 199 4), Pesaran and Smith ( 199 5), Kao ( 199 9), and Phillips and Moon ( 199 9). 1.2.2 Asymptotic Analysis Throughout this book we focus on asymptotic properties, ... 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 o...

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... 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 nonexperimental nature of economics. ... 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...

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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 ... asymptotic standard error of ^ gg. 3 .9. Let ^ yy and ~ yy be two consistent, ffiffiffiffiffi N p -asymptotically normal estimators of the P Â1 parameter vector y, with Avar ffiffiffiffiffi N p ð ^...

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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 ... observation; a nonzero sum of squared residuals is reported when you run OLS without an intercept.) For more details, see Davidson and MacKi nnon ( 198 5, 199 3) or Wo...

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... data in HPRICE.RAW, which is a subset of the data used by Kiel and McClain ( 199 5). The file conta ins housing prices and characteristics for two years, 197 8 and 198 1, for homes sold in North Andover, ... 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...

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... 7.6 (Wage Equation with Panel Data) : Suppose we have data for the years 199 0, 199 1, and 199 2 on a cross section of individuals, and we would like to estimate the e¤ect of computer usage on individual ... is logðwage it Þ¼y 0 þ y 1 d91 t þ y 2 d92 t þ d 1 computer it þ d 2 educ it þ d 3 exper it þ d 4 female i þ u it ð7:67Þ where d91 t and d92 t are dummy ind icators fo...

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