Book Econometric Analysis of Cross Section and Panel Data By Wooldridge - Chapter 20 pdf

... Model of Crime with Panel Data, ’’ Re- view of Economics and Statistics 76, 360–366. Cosslett, S. R. (1981), ‘‘E‰cient Estimation of Discrete-Choice Models,’’ in Structural Analysis of Discrete Data ... ‘‘Exploiting Cross- Section Variations for Unit Root Inference in Dynamic Data, ’’ Eco- nomics Letters 44, 9–19. Quandt, R. E. (1983), ‘‘Computational Problems and Metho...

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... jxÞ¼E½Eðy jxÞjwð2 :20 Note how the positions of x and w have been switched on the right-hand side of equation (2 .20) compared with equation (2.19). The result in equation (2 .20) follows easily ... 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 nonexperi...

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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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... section units. Often there are ele- ments of x it that are constant across time for a subset of the cross section. For ex- ample, if we have a panel of adults and one element of x it is education, ... time-constant factors that are not of direct interest. In panel data analysis the term ‘‘time-varying explanatory variables’’ means that each element of x it varies ov...

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... or X N i¼1 Aðx i ; ^ yyÞ "# À1 ð13:32Þ and the asymptotic standard errors are the square roots of the diagonal elements of any of the matrices. We discussed each of these estimators in the general M-estimator case in Chapter ... density of y i given x i ¼ x, where y and x are dummy arguments. We index this density by ‘‘o’’ to emphasize that it is the true density of y...

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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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... 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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