... Poisson.
In Section 19. 3 we discuss other count data models, and in Section 19. 4 we cover
quasi-MLEs for other nonnegative response variables. In Section 19. 5 we cover mul-
tiplicative panel data models, ... some of which we
cover in Sections 19. 3 and 19. 4.
Wooldridge (199 7c) gives an example of Poisson regression to an economic model
of crime, where the res...
... a linear demand and supply system for G attributes of a good or service (see
Epple, 198 7; Kahn and Lang, 198 8; and Wooldridge, 199 6). The demand and supply
system is written as
demand
g
¼ h
1g
þ ... problem, pointed out by Bartik (198 7), Epple (198 7), and Kahn
and Lang (198 8): because of matching that happens between individual buyers and
sellers, x
i2
is correla...
... limit theory. See, for example, Quah (199 4), Pesaran
and Smith (199 5), Kao (199 9), and Phillips and Moon (199 9).
1.2.2 Asymptotic Analysis
Throughout this book we focus on asymptotic properties, ... cross section analysis the asymptotics is as the number of observations, denoted
N throughout this book, tends to infinity. Usually what is meant by this statement is
obvio...
... e¤ect of w on
Eðy jw; cÞ, holding c fixed, is easily estimated.
Unfortunately, complications often arise in the collection and analysis of economic
data because of the nonexperimental nature of economics. ... positions of x and w have been switched on the right-hand side of
equation (2.20) compared with equation (2 .19) . The result in equation (2.20) follows
easily from th...
... square root of the appropriate diagonal ele-
ment of
^
VV
N
=N. The asymptotic standard errors can be loosely thought of as estimating
the standard deviations of the elements of
^
yy
N
, and they ... Limiting Behavior of Estimators and Test Statistics
In this section, we apply the previous concepts to sequences of estimators. Because
estimators depend on the random outcomes...
... Linear Model and OLS Estimation 53
II LINEAR MODELS
In this part we begin our econometric analysis of linear models for cross section and
panel data. In Chapter 4 we review the single-equation linear ... for cross section data
as well as begin our analysis of panel data. Chapter 8 builds on the framework from
Chapter 7 but considers the case where some expl...
... quarters of birth and various interactions of these with year of birth and
state of birth—are very weak, and they are too numerous relative to their contribu-
tion in explaining years of education. ... shown by Hansen (198 2) and White (198 2b,
198 4). In fact, even if x is exogenous and Assumption OLS.3 holds, OLS is not gen-
erally asymptotically e‰cient if, for x H z...
... data in HPRICE.RAW, which is a subset of the data
used by Kiel and McClain (199 5). The file conta ins housing prices and characteristics
for two years, 197 8 and 198 1, for homes sold in North Andover, ... confuse a
pooling of independent cross sections with a di¤erent data structure, panel data,
which we treat starting in Chapter 7. Briefly, in a panel data set...
... 7.6 (Wage Equation with Panel Data) : Suppose we have data for the years
199 0, 199 1, and 199 2 on a cross section of individuals, and we would like to estimate
the e¤ect of computer usage on individual ... of the White (198 0b) heteroskedasticity-robust asymptotic vari-
ance estimator to the case of systems of equations; see also White (198 4). This esti-
mator is...
... the cross section
sample size, N; for an example, see Problem 8.8. We cover general panel data appli-
cations in Chapter 11. (As in Chapter 7, the label ‘‘systems of equations’’ is not es-
pecially ... Hansen (198 2)
and White (198 2b) showed how the method of moments can be generali zed to apply to
a variety of econometric models, and they derived the asymptotic prope...