Econometric analysis of cross section and panel data

... method of inference and confidence interval construction can improve on asymptotic analysis Volume of the Handbook of Econometrics and Volume 11 of the Handbook of Statistics contain nice surveys of ... available in Volume of the Handbook of Econometrics—see Powell (1994) and Hardle and Linton (1994)—as well as in ¨ Volume 11 of the Handbook of Statistics—see Horo...

Ngày tải lên: 06/07/2014, 08:20

... summary of properties of conditional expectations 1. 2 1. 2 .1 The Stochastic Setting and Asymptotic Analysis Data Structures In order to give proper treatment to modern cross section and panel data ... asymptotic analysis with these kinds of panel data sets is still in its early stages, and it requires special limit theory See, for example, Quah (19 94), Pesa...

Ngày tải lên: 06/07/2014, 08:20

... Expectations and Related Concepts in Econometrics 15 Eðy j x1 ; x2 Þ ¼ b0 þ b1 x1 þ b2 x2 þ b x2 2: 3Þ Eðy j x1 ; x2 Þ ¼ b0 þ b1 x1 þ b2 x2 þ b x1 x2 2: 4Þ Eðy j x1 ; x2 Þ ¼ exp½b þ b1 logðx1 Þ þ b2 x2 ... b3 z 2: 23Þ but where z is unobserved By the LIE, and the linearity of the CE operator, Eðy j x1 ; x2 Þ ¼ Eðb0 þ b x1 þ b2 x2 þ b3 z j x1 ; x2 Þ ¼ b þ b1 x1 þ b x2 þ b3 Eðz j x1 ; x...

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... lemma and Lemma 3. 8 [with R Cðyފ to get equation (3. 8) Problems 3. 1 Prove Lemma 3. 1 3. 2 Using Lemma 3. 2, prove Lemma 3. 3 3. 3 Explain why, under the assumptions of Lemma 3. 4, gðxN Þ ¼ Op ð1Þ 3. 4 ... Theory 3. 5.2 43 Asymptotic Properties of Test Statistics We begin with some important definitions in the large-sample analysis of test statistics definition 3. 13:...

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... 4 4.1 The Single-Equation Linear Model and OLS Estimation Overview of the Single-Equation Linear Model This and the next couple of chapters cover what is still the ... FQ; NÀK random variable by dividing it by Q (and usu^ ally making the degrees -of- freedom adjustment to V) But there is nothing wrong with using equation (4. 13) directly 4. 2 .4 Lagrange Multiplier ... CovðxK...

Ngày tải lên: 06/07/2014, 08:20

... equation (5. 11) and the law of large numbers We consider a more general case in Section 5. 2.1 When searching for instruments for an endogenous explanatory variable, conditions (5. 3) and (5. 5) are ... Þ=ðx1 À x0 Þ where y0 and x0 are the sample averages of yi and xi over the part of the sample with zi ¼ 0, and y1 and x1 are the sample averages of yi and xi over the...

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... structure, panel data, which we treat starting in Chapter Briefly, in a panel data set we follow the same group of individuals, firms, cities, and so on over time In a pooling of cross sections over ... cross section data 6. 3.1 Pooled Cross Sections over Time A data structure that is useful for a variety of purposes, including policy analysis, is what we will cal...

Ngày tải lên: 06/07/2014, 08:20

... single cross section A panel data set also allows us to control for unobserved cross section heterogeneity, but we will not exploit this feature of panel data until Chapter 10  170 7. 8.1 Chapter ... the analysis of the pooled OLS estimator for panel data; see Section 7. 8 7. 3.3 Testing Multiple Hypotheses ^ Testing multiple hypotheses in a very robust mann...

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... W)? 8. 7 With definitions (8. 14) and (8. 15), show that system 2SLS and 3SLS are ^ numerically identical whenever W is a diagonal matrix 8. 8 Consider the standard panel data model introduced in Chapter ... formula (8. 24) 8. 2 Consider the system of equations yi ¼ X i b þ u i where i indexes the cross section observation, yi and u i are G Â 1, Xi is G Â K, Zi is the G Â...

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... IV 9. 9 Use the data in MROZ.RAW for this question a Estimate equations (9. 28) and (9. 29) jointly by 3SLS, and compare the 3SLS estimates with the 2SLS estimates for equations (9. 28) and (9. 29) ... (9. 38), and applying nonlinear GMM estimation See Lahiri and Schmidt ( 197 8) and Hausman, Newey, and Taylor ( 198 7) Simultaneous Equations Models 9. 4.3 2 29 Subtleties...

Ngày tải lên: 06/07/2014, 08:20

... treated as 252 Chapter 10 random variables or as parameters to be estimated are wrongheaded for microeconometric panel data applications With a large number of random draws from the cross section, ... cross section units Often there are elements of x it that are constant across time for a subset of the cross section For example, if we have a panel of adults and...

Ngày tải lên: 06/07/2014, 08:20

... 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 time-constant explanatory variables ... s0t 11: 37Þ 314 Chapter 11 Assumption (11. 37) opens up a solution to the measurement error problem with panel data that is not available with a single cross sect...

Ngày tải lên: 06/07/2014, 08:20

... of Theorem 12. 1, assume that the identification assumption (12. 11) holds Then a random vector, ^ ^ p y, solves problem (12. 8), and y ! yo A proof of Theorem 12. 2 is given in Newey and McFadden ... xŠ 12: 43Þ While Hðw; yo Þ is generally a function of x and y, Aðx; y o Þ is a function only of x By the law of iterated expectations, E½Aðx; yo ފ ¼ E½Hðw; yo ފ ¼ Ao From Le...

Ngày tải lên: 06/07/2014, 08:20

... addition, panel data settings with large cross sections and relatively small time periods are encompassed, since the appropriate asymptotic analysis is with the time dimension fixed and the cross section ... 13: 32Þ i¼1 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 g...

Ngày tải lên: 06/07/2014, 08:20

... a linear demand and supply system for G attributes of a good or service (see Epple, 1987; Kahn and Lang, 1988; and Wooldridge, 1996) The demand and supply system is written as demandg ¼ h1g þ ... Chapter 14 along 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...

Ngày tải lên: 06/07/2014, 08:20