伍德里奇的高级计量Econometric Analysis of Cross Section and Panel Data 2e by ...

Preface xxi
Acknowledgments xxix
I INTRODUCTION AND BACKGROUND 1
1 Introduction 3
1.1 Causal Relationships and Ceteris Paribus Analysis 3
1.2 Stochastic Setting and Asymptotic Analysis 4
1.2.1 Data Structures 4
1.2.2 Asymptotic Analysis 7
1.3 Some Examples 7
1.4 Why Not Fixed Explanatory Variables? 9
2 Conditional Expectations and Related Concepts in Econometrics 13
2.1 Role of Conditional Expectations in Econometrics 13
2.2 Features of Conditional Expectations 14
2.2.1 Definition and Examples 14
2.2.2 Partial E¤ects, Elasticities, and Semielasticities 15
2.2.3 Error Form of Models of Conditional Expectations 18
2.2.4 Some Properties of Conditional Expectations 19
2.2.5 Average Partial E¤ects 22
2.3 Linear Projections 25
Problems 27
Appendix 2A 30
2.A.1 Properties of Conditional Expectations 30
2.A.2 Properties of Conditional Variances and Covariances 32
2.A.3 Properties of Linear Projections 34
3 Basic Asymptotic Theory 37
3.1 Convergence of Deterministic Sequences 37
3.2 Convergence in Probability and Boundedness in Probability 38
3.3 Convergence in Distribution 40
3.4 Limit Theorems for Random Samples 41
3.5 Limiting Behavior of Estimators and Test Statistics 42
3.5.1 Asymptotic Properties of Estimators 42
3.5.2 Asymptotic Properties of Test Statistics 45
Problems 47
II LINEAR MODELS 51
4 Single-Equation Linear Model and Ordinary Least Squares
Estimation 53
4.1 Overview of the Single-Equation Linear Model 53
4.2 Asymptotic Properties of Ordinary Least Squares 55
4.2.1 Consistency 56
4.2.2 Asymptotic Inference Using Ordinary Least Squares 59
4.2.3 Heteroskedasticity-Robust Inference 60
4.2.4 Lagrange Multiplier (Score) Tests 62
4.3 Ordinary Least Squares Solutions to the Omitted Variables Problem 65
4.3.1 Ordinary Least Squares Ignoring the Omitted Variables 65
4.3.2 Proxy Variable–Ordinary Least Squares Solution 67
4.3.3 Models with Interactions in Unobservables: Random
Coe‰cient Models 73
4.4 Properties of Ordinary Least Squares under Measurement Error 76
4.4.1 Measurement Error in the Dependent Variable 76
4.4.2 Measurement Error in an Explanatory Variable 78
Problems 82
5 Instrumental Variables Estimation of Single-Equation Linear Models 89
5.1 Instrumental Variables and Two-Stage Least Squares 89
5.1.1 Motivation for Instrumental Variables Estimation 89
5.1.2 Multiple Instruments: Two-Stage Least Squares 96
5.2 General Treatment of Two-Stage Least Squares 98
5.2.1 Consistency 98
5.2.2 Asymptotic Normality of Two-Stage Least Squares 101
5.2.3 Asymptotic E‰ciency of Two-Stage Least Squares 103
5.2.4 Hypothesis Testing with Two-Stage Least Squares 104
5.2.5 Heteroskedasticity-Robust Inference for Two-Stage Least
Squares 106
5.2.6 Potential Pitfalls with Two-Stage Least Squares 107
5.3 IV Solutions to the Omitted Variables and Measurement Error
Problems 112
5.3.1 Leaving the Omitted Factors in the Error Term 112
5.3.2 Solutions Using Indicators of the Unobservables 112
Problems 115
vi Contents
6 Additional Single-Equation Topics 123
6.1 Estimation with Generated Regressors and Instruments 123
6.1.1 Ordinary Least Squares with Generated Regressors 123
6.1.2 Two-Stage Least Squares with Generated Instruments 124
6.1.3 Generated Instruments and Regressors 125
6.2 Control Function Approach to Endogeneity 126
6.3 Some Specification Tests 129
6.3.1 Testing for Endogeneity 129
6.3.2 Testing Overidentifying Restrictions 134
6.3.3 Testing Functional Form 137
6.3.4 Testing for Heteroskedasticity 138
6.4 Correlated Random Coe‰cient Models 141
6.4.1 When Is the Usual IV Estimator Consistent? 142
6.4.2 Control Function Approach 145
6.5 Pooled Cross Sections and Di¤erence-in-Di¤erences Estimation 146
6.5.1 Pooled Cross Sections over Time 146
6.5.2 Policy Analysis and Di¤erence-in-Di¤erences Estimation 147
Problems 152
Appendix 6A 157
7 Estimating Systems of Equations by Ordinary Least Squares and
Generalized Least Squares 161
7.1 Introduction 161
7.2 Some Examples 161
7.3 System Ordinary Least Squares Estimation of a Multivariate Linear
System 166
7.3.1 Preliminaries 166
7.3.2 Asymptotic Properties of System Ordinary Least
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