Book Econometric Analysis of Cross Section and Panel Data By Wooldridge - Chapter 14 pptx

... because N À1=2 X N i¼1 g i ð ^ yyÞ "# 0 ^ LL À1 X N i¼1 N À1=2 g i ð ^ yyÞ "# 14: 19Þ has a limiting chi-square distribution with L À P degrees of freedom under the con- ditions of Theorem 14. 2. Therefore, the value of the objective function (properly standardized by ... a linear demand and supply system for G attributes of a good or service (see Epple, 1987; Kahn an...

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... and then estimate b by two-step QMLE. As we discussed in Chapters 12 and 13, sometimes the asymptotic distribution of the first-stage estimator needs to be taken into account. A nice feature of ... 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, where the response variable is number...

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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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... 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. ... function of x.Wheny and x are random, it makes sense to use the right-hand side of equation (2.8), but where f ðxÞ is the conditional mean, mðxÞ. Therefore, the (parti...

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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 ... Limiting Behavior of Estimators and Test Statistics In this section, we apply the previous concepts to sequences of estimators. Because estimators depend on the random outcomes...

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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 expl...

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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, ... 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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... 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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