Author: William A. Barnett Publisher: Cambridge University Press ISBN: 9780521424318 Category : Business & Economics Languages : en Pages : 512
Book Description
Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.
Author: Richard Breen Publisher: SAGE ISBN: 9780803957107 Category : Mathematics Languages : en Pages : 92
Book Description
This book provides an introduction to the regression models needed, where an outcome variable for a sample is not representative of the population from which a generalized result is sought.
Author: Chang-Jin Kim Publisher: Now Publishers Inc ISBN: 1601983123 Category : Business & Economics Languages : en Pages : 116
Book Description
The purpose of this monograph is to present a unified econometric framework for dealing with the issues of endogeneity in Markov-switching models and time-varying parameter models, as developed by Kim (2004, 2006, 2009), Kim and Nelson (2006), Kim et al. (2008), and Kim and Kim (2009). While Cogley and Sargent (2002), Primiceri (2005), Sims and Zha (2006), and Sims et al. (2008) consider estimation of simultaneous equations models with stochastic coefficients as a system, we deal with the LIML (limited information maximum likelihood) estimation of a single equation of interest out of a simultaneous equations model. Our main focus is on the two-step estimation procedures based on the control function approach, and we show how the problem of generated regressors can be addressed in second-step regressions.
Author: Roger Koenker Publisher: CRC Press ISBN: 1351646567 Category : Mathematics Languages : en Pages : 739
Book Description
Quantile regression constitutes an ensemble of statistical techniques intended to estimate and draw inferences about conditional quantile functions. Median regression, as introduced in the 18th century by Boscovich and Laplace, is a special case. In contrast to conventional mean regression that minimizes sums of squared residuals, median regression minimizes sums of absolute residuals; quantile regression simply replaces symmetric absolute loss by asymmetric linear loss. Since its introduction in the 1970's by Koenker and Bassett, quantile regression has been gradually extended to a wide variety of data analytic settings including time series, survival analysis, and longitudinal data. By focusing attention on local slices of the conditional distribution of response variables it is capable of providing a more complete, more nuanced view of heterogeneous covariate effects. Applications of quantile regression can now be found throughout the sciences, including astrophysics, chemistry, ecology, economics, finance, genomics, medicine, and meteorology. Software for quantile regression is now widely available in all the major statistical computing environments. The objective of this volume is to provide a comprehensive review of recent developments of quantile regression methodology illustrating its applicability in a wide range of scientific settings. The intended audience of the volume is researchers and graduate students across a diverse set of disciplines.
Author: Jeffrey M. Wooldridge Publisher: MIT Press ISBN: 0262232588 Category : Business & Economics Languages : en Pages : 1095
Book Description
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.
Author: James J. Heckman Publisher: Cambridge University Press ISBN: 9780521088183 Category : Business & Economics Languages : en Pages : 0
Book Description
Longitudinal Analysis of Labor Market Data presents a set of papers by leading scholars on methods for analysing the longitudinal data that is available on numerous topics of interest to social scientists. Because many sources of longitudinal data record labour market phenomena such as unemployment, labour supply, earnings mobility, job turnover and participation in training programmes, all of the papers collected in this volume focus on models of the labour market. The main methodological points, however, are more general and apply to such diverse areas as demography, life science analysis and training evaluation, to name only a few, potential avenues of application. The book contains important methodological contributions to the emerging field of longitudinal analysis and is of interest to a wide range of social scientists.
Author: Aman Ullah Publisher: Oxford University Press ISBN: 0198774478 Category : Business & Economics Languages : en Pages : 241
Book Description
This text provides a comprehensive treatment of finite sample statistics and econometrics. Within this framework, the book discusses the basic analytical tools of finite sample econometrics and explores their applications to models covered in a first year graduate course in econometrics.
Author: Melissa A Hardy Publisher: SAGE ISBN: 1446203441 Category : Social Science Languages : en Pages : 729
Book Description
′This book provides an excellent reference guide to basic theoretical arguments, practical quantitative techniques and the methodologies that the majority of social science researchers are likely to require for postgraduate study and beyond′ - Environment and Planning ′The book provides researchers with guidance in, and examples of, both quantitative and qualitative modes of analysis, written by leading practitioners in the field. The editors give a persuasive account of the commonalities of purpose that exist across both modes, as well as demonstrating a keen awareness of the different things that each offers the practising researcher′ - Clive Seale, Brunel University ′With the appearance of this handbook, data analysts no longer have to consult dozens of disparate publications to carry out their work. The essential tools for an intelligent telling of the data story are offered here, in thirty chapters written by recognized experts. ′ - Michael Lewis-Beck, F Wendell Miller Distinguished Professor of Political Science, University of Iowa ′This is an excellent guide to current issues in the analysis of social science data. I recommend it to anyone who is looking for authoritative introductions to the state of the art. Each chapter offers a comprehensive review and an extensive bibliography and will be invaluable to researchers wanting to update themselves about modern developments′ - Professor Nigel Gilbert, Pro Vice-Chancellor and Professor of Sociology, University of Surrey This is a book that will rapidly be recognized as the bible for social researchers. It provides a first-class, reliable guide to the basic issues in data analysis, such as the construction of variables, the characterization of distributions and the notions of inference. Scholars and students can turn to it for teaching and applied needs with confidence. The book also seeks to enhance debate in the field by tackling more advanced topics such as models of change, causality, panel models and network analysis. Specialists will find much food for thought in these chapters. A distinctive feature of the book is the breadth of coverage. No other book provides a better one-stop survey of the field of data analysis. In 30 specially commissioned chapters the editors aim to encourage readers to develop an appreciation of the range of analytic options available, so they can choose a research problem and then develop a suitable approach to data analysis.
Author: Bernd Fitzenberger Publisher: Springer Science & Business Media ISBN: 3662115921 Category : Business & Economics Languages : en Pages : 325
Book Description
Quantile regression has emerged as an essential statistical tool of contemporary empirical economics and biostatistics. Complementing classical least squares regression methods which are designed to estimate conditional mean models, quantile regression provides an ensemble of techniques for estimating families of conditional quantile models, thus offering a more complete view of the stochastic relationship among variables. This volume collects 12 outstanding empirical contributions in economics and offers an indispensable introduction to interpretation, implementation, and inference aspects of quantile regression.
Author: M. J. D. Powell Publisher: Cambridge University Press ISBN: 9780521295147 Category : Mathematics Languages : en Pages : 356
Book Description
Most functions that occur in mathematics cannot be used directly in computer calculations. Instead they are approximated by manageable functions such as polynomials and piecewise polynomials. The general theory of the subject and its application to polynomial approximation are classical, but piecewise polynomials have become far more useful during the last twenty years. Thus many important theoretical properties have been found recently and many new techniques for the automatic calculation of approximations to prescribed accuracy have been developed. This book gives a thorough and coherent introduction to the theory that is the basis of current approximation methods. Professor Powell describes and analyses the main techniques of calculation supplying sufficient motivation throughout the book to make it accessible to scientists and engineers who require approximation methods for practical needs. Because the book is based on a course of lectures to third-year undergraduates in mathematics at Cambridge University, sufficient attention is given to theory to make it highly suitable as a mathematical textbook at undergraduate or postgraduate level.
Author: William A. Barnett
Author: Richard Breen
Author: Chang-Jin Kim
Author: Roger Koenker
Author: Jeffrey M. Wooldridge
Author: James J. Heckman
Author: Aman Ullah
Author: Melissa A Hardy
Author: Bernd Fitzenberger
Author: M. J. D. Powell