Econometric Analysis of Cross Section and Panel Data

Econometric Analysis of Cross Section and Panel Data

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The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated.

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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Product details

  • Hardback | 1096 pages
  • 203 x 229 x 43mm | 1,860g
  • MIT Press
  • Cambridge, United States
  • English
  • New edition
  • second edition
  • 4 figures, 19 tables; 23 Illustrations, unspecified
  • 0262232588
  • 9780262232586
  • 70,396

Review quote

"This book will be a great resource for researchers and graduate students interested in applied and theoretical microeconometrics. The topics covered in this book belong in the toolbox of modern applied and theoretical microeconometricians, and many of them have not previously been covered in easily accessible textbook format." --Bo Honore, Department of Economics, Princeton University
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About Jeffrey M. Wooldridge

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

146 ratings
4.3 out of 5 stars
5 56% (82)
4 25% (36)
3 14% (20)
2 4% (6)
1 1% (2)
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