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…
Econometrics
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Econometric Analysisi, 6/eserves as a bridge between an introduction to the field of econometrics and the professional literature for social scientists and other professionals in the field of social sciences, focusing on applied econometrics and…
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This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented…
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Gross spreads received by underwriters on initial public offerings (IPOs) in the United States are much higher than in other countries. Furthermore, in recent years more than 90 percent of deals raising $20-80 million have spreads of exactly seven…
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Many empirical questions in economics and other social sciences depend on causal effects of programs or policies. In the last two decades, much research has been done on the econometric and statistical analysis of such causal effects. This recent…
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This paper reviews methods for the estimation of dynamic discrete choice structural models and discusses related econometric issues. We consider single-agent models, competitive equilibrium models and dynamic games. The methods are illustrated with…
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Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard first-differenced GMM estimator. Both estimators require restrictions on the initial…
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This paper reviews econometric methods for dynamic panel data models, and presents examples that illustrate the use of these procedures. The focus is on panels where a large number of individuals or firms are observed for a small number of time…
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This paper identifies five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors, related…
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In 1997, the U.S. Food and Drug Administration (FDA) suggested in its draft guidance the use of new concepts for assessing the bioequivalence of two drug formulations, namely, the concepts of population and individual bioequivalence. Aggregate…
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We exploit administrative data combining workers' earnings histories with information about their firms to estimate the magnitude and temporal pattern of displaced workers' earnings losses. We find that high-tenure workers separating from distressed…
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The purpose of this paper is to present the likelihood methods for the analysis of cointegration in VAR models with Gaussian errors, seasonal dummies, and constant terms. We discuss likelihood ratio tests of cointegration rank and find the…
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This paper develops a framework for performing estimation and inference in econo- metric models with partial identification, focusing particularly on models character- ized by moment inequalities and equalities. Applications of this framework…
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The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.1) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate…
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This paper uses control variables to identify and estimate models with nonseparable, multidimensional disturbances. Triangular simultaneous equations models are considered, with instruments and disturbances that are independent and a reduced form…
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Two easily measured variables, size and book-to-market equity, combine to capture the cross-sectional variation in average stock returns associated with market β, size, leverage, book-to-market equity, and earnings-price ratios. Moreover, when the…
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In this paper I attempt to lay out the sources of conflict between the so-called "structural" and "experimentalist" camps in econometrics. Critics of the structural approach often assert that it produces results that rely on too many assumptions to…
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This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the…
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This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are…
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This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the…
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