Micro-Econometrics (eBook)

PREFACE 6
REMARKS ON EXPRESSIONS AND NOTATIONS 9
CONTENTS 11
CHAPTER 1 METHODS OF MOMENTS FOR SINGLE LINEAR EQUATION MODELS 26
1 Least Squares Estimator (LSE) 26
2 Heteroskedasticity and Homoskedasticity 42
3 Testing Linear Hypotheses 50
4 Instrumental Variable Estimator (IVE) 56
5 Generalized Method-of-Moment Estimator (GMM) 67
6 Generalized Least Squares Estimator (GLS) 73
CHAPTER 2 METHODS OF MOMENTS FOR MULTIPLE LINEAR EQUATION SYSTEMS 78
1 System LSE, IVE, and GMM 78
2 Simultaneous Equations and Identification 91
3 Methods of Moments for Panel Data 100
CHAPTER 3 M- ESTIMATOR AND MAXIMUM LIKELIHOOD ESTIMATOR ( MLE) 115
1 M-Estimator 115
2 Maximum Likelihood Estimator (MLE) 120
3 M-Estimator with Nuisance Parameters 126
4 Method-of-Moment Tests (MMT) 132
5 Tests Comparing Two Estimators 136
6 Three Tests for MLE 141
7 Numerical Optimization and One-Step Efficient Estimation 151
CHAPTER 4 NONLINEAR MODELS AND ESTIMATORS 157
1 Nonlinear Least Squares Estimator (NLS) 157
2 Quantile and Mode Regression 169
3 GMM for Nonlinear Models 180
4 Minimum Distance Estimation (MDE) 192
CHAPTER 5 PARAMETRIC METHODS FOR SINGLE EQUATION LDV MODELS 201
1 Binary Response 201
2 Ordered Discrete Response 213
3 Count Response 222
4 Censored Response and Related LDV Models 230
5 Parametric Estimators for Duration 240
CHAPTER 6 PARAMETRIC METHODS FOR MULTIPLE EQUATION LDV MODELS 252
1 Multinomial Choice Models 252
2 Methods of Simulated Moments (MSM) 267
3 Sample-Selection Models 275
4 LDV’s with Endogenous Regressors 292
5 Panel-Data Binary-Response Models 308
6 Competing Risks* 319
CHAPTER 7 KERNEL NONPARAMETRIC ESTIMATION 325
1 Kernel Density Estimator 325
2 Consistency and Bandwidth Choice 335
3 Asymptotic Distribution 344
4 Finding Modes* 351
5 Survival and Hazard Under Random Right-Censoring* 355
6 Kernel Nonparametric Regression 366
7 Topics in Kernel Nonparametric Regression 375
CHAPTER 8 BANDWIDTH- FREE SEMIPARAMETRIC METHODS 385
1 Quantile Regression for LDV models 385
2 Methods Based on Modality and Symmetry 405
3 Rank-Based Methods 419
4 Differencing-Based Estimators 437
5 Estimators for Duration Models 443
6 Integrated-Moment Specification Tests* 453
CHAPTER 9 BANDWIDTH- DEPENDENT SEMIPARAMETRIC METHODS 462
1 Two-Stage Estimator with Nonparametric First-Stage 462
2 Nonparametric TSE for Endogenous Regressors 470
3 Control-Function (CF) Approaches 477
4 Single Index Models 485
5 Semi-linear Models 500
6 Additive Models 509
7 Transformation of Response Variables 518
8 Nonparametric Specification and Significance Tests 531
APPENDIX I: MATHEMATICAL BACKGROUNDS AND CHAPTER APPENDICES 552
1 Mathematical and Statistical Backgrounds 552
2 Appendix for Chapter 2 570
3 Appendix for Chapter 3 581
4 Appendix for Chapter 4 587
5 Appendix for Chapter 5 593
6 Appendix for Chapter 6 596
7 Appendix for Chapter 7 605
8 Appendix for Chapter 8 617
9 Appendix for Chapter 9 631
APPENDIX II: SUPPLEMENTARY TOPICS 636
1 Appendix for Hypothesis Test 636
2 Stratified Sampling and Weighted M- Estimator 653
3 Empirical Likelihood Estimator 667
4 Stochastic-Process Convergence and Applications 675
5 Bootstrap 696
APPENDIX III: SELECT GAUSS PROGRAMS 725
1 LSE, IVE, GMM and Wald Test 725
2 SystemLSE 727
3 Method-of-Moment Test for Symmetry 728
4 Quantile Regression 729
5 Univariate Parametric LDV Models 730
6 Multivariate Parametric LDV Models 734
7 Nonparametric Regression and Hazard 736
8 Bandwidth-Free Semiparametric Methods 740
9 Bandwidth-Dependent Semiparametric Methods 743
REFERENCES 746
Index 778