Econometric Analysis of Cross Section and Panel Data [Hardcover]

Jeffrey M. Wooldridge (Author)

Book Description

ISBN-10: 0262232197 | ISBN-13: 978-0262232197 | Publication Date: October 1, 2001 | Edition: 1

This graduate text provides an intuitive but rigorous treatment of contemporary methods used in microeconometric research. The book makes clear that applied microeconometrics is about the estimation of marginal and treatment effects, and that parametric estimation is simply a means to this end. It also clarifies the distinction between causality and statistical association.

The book focuses specifically on cross section and panel data methods. Population assumptions are stated separately from sampling assumptions, leading to simple statements as well as to important insights. The unified approach to linear and nonlinear models and to cross section and panel data enables straightforward coverage of more advanced methods. The numerous end-of-chapter problems are an important component of the book. Some problems contain important points not fully described in the text, and others cover new ideas that can be analyzed using tools presented in the current and previous chapters. Several problems require the use of the data sets located at the author's website.

Editorial Reviews

About the Author

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

Product Details

• Hardcover: 776 pages
• Publisher: The MIT Press; 1 edition (October 1, 2001)
• Language: English
• ISBN-10: 0262232197
• ISBN-13: 978-0262232197
• Product Dimensions: 9.1 x 8.3 x 1.3 inches
• Shipping Weight: 3.1 pounds
• Average Customer Review: 4.1 out of 5 stars  See all reviews (17 customer reviews)
• Amazon Best Sellers Rank: #310,602 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

83 of 85 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 (Notre Dame, IN USA) - See all my reviews

This review is from: Econometric Analysis of Cross Section and Panel Data (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.

46 of 47 people found the following review helpful:

5.0 out of 5 stars The best introduction to Cross-Section econometrics, December 18, 2004

By 

Sabad One - See all my reviews

This review is from: Econometric Analysis of Cross Section and Panel Data (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

24 of 25 people found the following review helpful:

5.0 out of 5 stars Simply a great text.., February 19, 2004

By A Customer

This review is from: Econometric Analysis of Cross Section and Panel Data (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!