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List of Figures | |
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List of Tables | |
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Preface | |
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Preliminaries | |
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Overview | |
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Introduction | |
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Distinctive Aspects of Microeconometrics | |
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Book Outline | |
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How to Use This Book | |
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Software | |
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Notation and Conventions | |
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Causal and Noncausal Models | |
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Introduction | |
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Structural Models | |
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Exogeneity | |
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Linear Simultaneous Equations Model | |
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Identification Concepts | |
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Single-Equation Models | |
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Potential Outcome Model | |
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Causal Modeling and Estimation Strategies | |
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Bibliographic Notes | |
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Microeconomic Data Structures | |
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Introduction | |
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Observational Data | |
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Data from Social Experiments | |
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Data from Natural Experiments | |
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Practical Considerations | |
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Bibliographic Notes | |
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Core Methods | |
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Linear Models | |
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Introduction | |
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Regressions and Loss Functions | |
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Example: Returns to Schooling | |
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Ordinary Least Squares | |
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Weighted Least Squares | |
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Median and Quantile Regression | |
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Model Misspecification | |
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Instrumental Variables | |
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Instrumental Variables in Practice | |
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Practical Considerations | |
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Bibliographic Notes | |
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Maximum Likelihood and Nonlinear Least-Squares Estimation | |
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Introduction | |
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Overview of Nonlinear Estimators | |
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Extremum Estimators | |
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Estimating Equations | |
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Statistical Inference | |
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Maximum Likelihood | |
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Quasi-Maximum Likelihood | |
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Nonlinear Least Squares | |
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Example: ML and NLS Estimation | |
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Practical Considerations | |
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Bibliographic Notes | |
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Generalized Method of Moments and Systems Estimation | |
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Introduction | |
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Examples | |
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Generalized Method of Moments | |
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Linear Instrumental Variables | |
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Nonlinear Instrumental Variables | |
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Sequential Two-Step m-Estimation | |
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Minimum Distance Estimation | |
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Empirical Likelihood | |
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Linear Systems of Equations | |
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Nonlinear Sets of Equations | |
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Practical Considerations | |
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Bibliographic Notes | |
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Hypothesis Tests | |
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Introduction | |
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Wald Test | |
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Likelihood-Based Tests | |
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Example: Likelihood-Based Hypothesis Tests | |
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Tests in Non-ML Settings | |
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Power and Size of Tests | |
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Monte Carlo Studies | |
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Bootstrap Example | |
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Practical Considerations | |
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Bibliographic Notes | |
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Specification Tests and Model Selection | |
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Introduction | |
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m-Tests | |
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Hausman Test | |
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Tests for Some Common Misspecifications | |
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Discriminating between Nonnested Models | |
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Consequences of Testing | |
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Model Diagnostics | |
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Practical Considerations | |
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Bibliographic Notes | |
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Semiparametric Methods | |
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Introduction | |
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Nonparametric Example: Hourly Wage | |
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Kernel Density Estimation | |
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Nonparametric Local Regression | |
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Kernel Regression | |
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Alternative Nonparametric Regression Estimators | |
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Semiparametric Regression | |
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Derivations of Mean and Variance of Kernel Estimators | |
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Practical Considerations | |
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Bibliographic Notes | |
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Numerical Optimization | |
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Introduction | |
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General Considerations | |
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Specific Methods | |
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Practical Considerations | |
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Bibliographic Notes | |
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Simulation-Based Methods | |
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Bootstrap Methods | |
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Introduction | |
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Bootstrap Summary | |
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Bootstrap Example | |
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Bootstrap Theory | |
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Bootstrap Extensions | |
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Bootstrap Applications | |
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Practical Considerations | |
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Bibliographic Notes | |
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Simulation-Based Methods | |
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Introduction | |
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Examples | |
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Basics of Computing Integrals | |
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Maximum Simulated Likelihood Estimation | |
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Moment-Based Simulation Estimation | |
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Indirect Inference | |
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Simulators | |
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Methods of Drawing Random Variates | |
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Bibliographic Notes | |
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Bayesian Methods | |
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Introduction | |
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Bayesian Approach | |
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Bayesian Analysis of Linear Regression | |
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Monte Carlo Integration | |
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Markov Chain Monte Carlo Simulation | |
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MCMC Example: Gibbs Sampler for SUR | |
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Data Augmentation | |
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Bayesian Model Selection | |
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Practical Considerations | |
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Bibliographic Notes | |
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Models for Cross-Section Data | |
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Binary Outcome Models | |
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Introduction | |
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Binary Outcome Example: Fishing Mode Choice | |
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Logit and Probit Models | |
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Latent Variable Models | |
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Choice-Based Samples | |
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Grouped and Aggregate Data | |
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Semiparametric Estimation | |
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Derivation of Logit from Type I Extreme Value | |
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Practical Considerations | |
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Bibliographic Notes | |
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Multinomial Models | |
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Introduction | |
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Example: Choice of Fishing Mode | |
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General Results | |
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Multinomial Logit | |
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Additive Random Utility Models | |
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Nested Logit | |
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Random Parameters Logit | |
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Multinomial Probit | |
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Ordered, Sequential, and Ranked Outcomes | |
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Multivariate Discrete Outcomes | |
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Semiparametric Estimation | |
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Derivations for MNL, CL, and NL Models | |
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Practical Considerations | |
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Bibliographic Notes | |
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Tobit and Selection Models | |
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Introduction | |
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Censored and Truncated Models | |
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Tobit Model | |
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Two-Part Model | |
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Sample Selection Models | |
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Selection Example: Health Expenditures | |
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Roy Model | |
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Structural Models | |
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Semiparametric Estimation | |
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Derivations for the Tobit Model | |
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Practical Considerations | |
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Bibliographic Notes | |
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Transition Data: Survival Analysis | |
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Introduction | |
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Example: Duration of Strikes | |
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Basic Concepts | |
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Censoring | |
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Nonparametric Models | |
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Parametric Regression Models | |
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Some Important Duration Models | |
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Cox PH Model | |
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Time-Varying Regressors | |
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Discrete-Time Proportional Hazards | |
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Duration Example: Unemployment Duration | |
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Practical Considerations | |
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Bibliographic Notes | |
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Mixture Models and Unobserved Heterogeneity | |
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Introduction | |
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Unobserved Heterogeneity and Dispersion | |
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Identification in Mixture Models | |
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Specification of the Heterogeneity Distribution | |
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Discrete Heterogeneity and Latent Class Analysis | |
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Stock and Flow Sampling | |
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Specification Testing | |
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Unobserved Heterogeneity Example: Unemployment Duration | |
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Practical Considerations | |
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Bibliographic Notes | |
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Models of Multiple Hazards | |
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Introduction | |
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Competing Risks | |
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Joint Duration Distributions | |
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Multiple Spells | |
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Competing Risks Example: Unemployment Duration | |
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Practical Considerations | |
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Bibliographic Notes | |
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Models of Count Data | |
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Introduction | |
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Basic Count Data Regression | |
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Count Example: Contacts with Medical Doctor | |
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Parametric Count Regression Models | |
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Partially Parametric Models | |
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Multivariate Counts and Endogenous Regressors | |
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Count Example: Further Analysis | |
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Practical Considerations | |
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Bibliographic Notes | |
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Models for Panel Data | |
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Linear Panel Models: Basics | |
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Introduction | |
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Overview of Models and Estimators | |
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Linear Panel Example: Hours and Wages | |
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Fixed Effects versus Random Effects Models | |
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Pooled Models | |
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Fixed Effects Model | |
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Random Effects Model | |
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Modeling Issues | |
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Practical Considerations | |
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Bibliographic Notes | |
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Linear Panel Models: Extensions | |
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Introduction | |
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GMM Estimation of Linear Panel Models | |
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Panel GMM Example: Hours and Wages | |
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Random and Fixed Effects Panel GMM | |
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Dynamic Models | |
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Difference-in-Differences Estimator | |
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Repeated Cross Sections and Pseudo Panels | |
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Mixed Linear Models | |
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Practical Considerations | |
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Bibliographic Notes | |
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Nonlinear Panel Models | |
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Introduction | |
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General Results | |
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Nonlinear Panel Example: Patents and R&D | |
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Binary Outcome Data | |
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Tobit and Selection Models | |
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Transition Data | |
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Count Data | |
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Semiparametric Estimation | |
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Practical Considerations | |
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Bibliographic Notes | |
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Further Topics | |
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Stratified and Clustered Samples | |
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Introduction | |
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Survey Sampling | |
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Weighting | |
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Endogenous Stratification | |
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Clustering | |
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Hierarchical Linear Models | |
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Clustering Example: Vietnam Health Care Use | |
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Complex Surveys | |
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Practical Considerations | |
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Bibliographic Notes | |
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Treatment Evaluation | |
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Introduction | |
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Setup and Assumptions | |
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Treatment Effects and Selection Bias | |
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Matching and Propensity Score Estimators | |
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Differences-in-Differences Estimators | |
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Regression Discontinuity Design | |
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Instrumental Variable Methods | |
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Example: The Effect of Training on Earnings | |
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Bibliographic Notes | |
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Measurement Error Models | |
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Introduction | |
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Measurement Error in Linear Regression | |
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Identification Strategies | |
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Measurement Errors in Nonlinear Models | |
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Attenuation Bias Simulation Examples | |
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Bibliographic Notes | |
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Missing Data and Imputation | |
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Introduction | |
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Missing Data Assumptions | |
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Handling Missing Data without Models | |
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Observed-Data Likelihood | |
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Regression-Based Imputation | |
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Data Augmentation and MCMC | |
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Multiple Imputation | |
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Missing Data MCMC Imputation Example | |
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Practical Considerations | |
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Bibliographic Notes | |
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Asymptotic Theory | |
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Introduction | |
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Convergence in Probability | |
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Laws of Large Numbers | |
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Convergence in Distribution | |
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Central Limit Theorems | |
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Multivariate Normal Limit Distributions | |
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Stochastic Order of Magnitude | |
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Other Results | |
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Bibliographic Notes | |
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Making Pseudo-Random Draws | |
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References | |
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Index | |