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Econometric Analysis of Cross Section and Panel Data [Hardcover]

Jeffrey M Wooldridge
5.0 out of 5 stars  See all reviews (1 customer review)
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Book Description

Dec 31 2008 0262232588 978-0262232586 second edition

The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis.Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.


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Econometric Analysis of Cross Section and Panel Data + Mostly Harmless Econometrics: An Empiricist's Companion + Microeconometrics Using Stata, Revised Edition
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Review

"I highly recommend this book for graduate classes in econometrics. We have used it at MIT and the students find it extremely helpful. Wooldridge covers topics in a highly readable and insightful way." Jerry Hausman , John and Jennie S. MacDonald Professor of Economics, MIT



"In this leading econometrics textbook, Wooldridge offers a very good explanation of the basics of the field -- making it a great resource for econometrics students -- and a contemporary treatment of many important topics, making it a wonderful reference for researchers as well. The new edition provides clear explanations of many recent developments." Whitney Newey , Jane Berkowitz Carlton and Dennis William Carlton Professor of Microeconomics, MIT



"This second edition provides a comprehensive, accessible, and updated treatment of cross section and panel data methods. The book is full of useful insights, applications, and worked problems. It will serve as an invaluable textbook and reference for graduate students and researchers alike." Richard Blundell , Institute for Fiscal Studies, University College London

About the Author

Jeffrey M. Wooldridge is University Distinguished Professor of Economics at Michigan State University and a Fellow of the Econometric Society.

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Most helpful customer reviews
5.0 out of 5 stars strong treatment March 5 2014
By Mustafa
Format:Kindle Edition
The book covers almost all the subject
In simple language and easy notations
Theory and practice are found in the book
Was this review helpful to you?
Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com: 4.2 out of 5 stars  31 reviews
86 of 89 people found the following review helpful
5.0 out of 5 stars A Gold Mine of Microeconometric Methods April 6 2002
By Lawrence C. Marsh - Published on Amazon.com
Format:Hardcover
If you are interested in learning the latest microeconometric methods, this book will save you from long hours of sorting through the literature. Wooldridge has brought together in a well organized, clear and concise manner the state of the art techniques in microeconometrics. His book covers all of the core issues involving single equation and simultaneous equation models. The most important aspects of M-estimation, MLE, GMM and minimum distance estimation are carefully presented. Those interested in limited dependent and qualitative variables will find that this goes well beyond Maddala's classic book. In addition to new developments in logit, probit and tobit, Wooldridge explains sample selection, attrition and stratified sampling. He covers research by Heckman et al on estimating average treatment effects using instrumental variables. I found his material on negative binomial regression, binomial regression, exponential regression and fractional logit regression to be especially interesting. He concludes his book with a nice summary of research on duration analysis. Throughout the book Wooldridge shows how to handle panel data with the various techniques he covers. Anyone doing applied work with cross section or panel data runs the risk of being left behind if they fail to read this new classic of microeconometrics.
51 of 53 people found the following review helpful
5.0 out of 5 stars The best introduction to Cross-Section econometrics Dec 18 2004
By Amazon Customer - Published on Amazon.com
Format:Hardcover
In my opinion, this is now the best introduction to cross-section econometrics. Wooldridge covers all the basics, he does it very well, with a lot of attention to empirical applications. Most of the empirical applications can be replicated using Stata datasets that you can download from his web page. One thing I love about this textbook is that robust versions of variance matrices are almost always provided, so one does not have to rely much on homoskedasticity. This is also one of the very very few textbooks to devote some space to important topics such as stratified sampling, clustering, weak instruments. The exposition is generally excellent, with intuition provided, and proofs rigorous enough for beginners, even if the most technical details are usually left out. Sometimes I find Wooldridge style a bit disorganized in the way he orders topics within a chapter, but overall I do think this is a great book, and the best introduction to the topic. I never liked Greene, which devotes too much space to irrelevant topics. Ruud is a good book too, but very technical, and probably one that you want to keep as a "backup". Hayashi is very nice too, but a bit unusual, with its strong emphasis on assumptions such as stationariy and ergodicity that are important in time-series (not covered AT ALL in Wooldridge). Amemiya is still a great reference, but it's too advanced for beginners. Overall, I highly recommend this book.

Here are the topics covered:

- Conditional Expectations and Related Concepts in Econometrics

- Basic Asymptotic Theory

- Linear Models

- The Single-Equation Linear Model and OLS Estimation

- Instrumental Variables Estimation of Single-Equation Linear Models

- Additional Single-Equation Topics

- Estimating Systems of Equations by OLS and GLS

- System Estimation by Instrumental Variables

- Simultaneous Equations Models

- Basic Linear Unobserved Effects Panel Data Models

- More Topics in Linear Unobserved Effects Models

- M-Estimation

- Maximum Likelihood Methods

- Generalized Method of Moments and Minimum Distance Estimation

- Discrete Response Models

- Corner Solution Outcomes and Censored Regression Models

- Sample Selection, Attrition, and Stratified Sampling

- Estimating Average Treatment Effects

- Count Data and Related Models

- Duration Analysis
25 of 28 people found the following review helpful
5.0 out of 5 stars Simply a great text.. Feb. 19 2004
By A Customer - Published on Amazon.com
Format:Hardcover
If you are frustrated with the presentation in Greene and other econometric textbooks, then you may want to take a look at this book. It's the anti-Greene, full of clear, well-motivated presentations. What I love about this book is that the author clearly intended for it to be used by students -- even though you can find all the formal results that you would expect from an advanced econometrics text, there is so much intuition that can't be found anywhere else (at least in one book). If you plan on doing applied research, get this book!
9 of 9 people found the following review helpful
4.0 out of 5 stars Very good coverage on cross-sectional, but not enough of panel data Aug. 17 2006
By Yin Luo - Published on Amazon.com
Format:Hardcover
This book does an excellent job in covering cross-sectional and microeconometric models (Stata codes for all examples in the book are available from UCLA's webside). However, the exposure to panel data is limited. For a theoretical overview of panel data econometrics, I'd recommend Hsiao and Baltagi. For applied work, Edward Frees wrote a good book, although his book is more from the social science perspective (SAS and Stata codes are provided).
12 of 13 people found the following review helpful
5.0 out of 5 stars Simply the best in its field. Sept. 18 2003
By Dan Ryan - Published on Amazon.com
Format:Hardcover
Wooldridge fills an enormous gap in the market between applied manuals (which do not deliver enough theory for an academically serious audience), and theory books (that leave you scratching your head as to how one is supposed to implement their results). This is a wonderful book for economic practitioners who want enough theoretical knowledge to support their applied work, but who don't want the theory obscuring the practical issues. An econometric theoretician might find another work more satisfying.
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