econometric analysis of cross section and panel data

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1、EconometricAnalysisofCrossSectionandPanelDataJe¤reyM.WooldridgeTheMITPressCambridge,MassachusettsLondon,EnglandContentsPrefacexviiAcknowledgmentsxxiiiIINTRODUCTIONANDBACKGROUND11Introduction31.1CausalRelationshipsandCeterisParibusAnalysis31.2TheStochasticSettingandAsymptoticAnalysis41.2.1D

2、ataStructures41.2.2AsymptoticAnalysis71.3SomeExamples71.4WhyNotFixedExplanatoryVariables?92ConditionalExpectationsandRelatedConceptsinEconometrics132.1TheRoleofConditionalExpectationsinEconometrics132.2FeaturesofConditionalExpectations142.2.1DefinitionandExamples142.2.2PartialE¤ects,Elastic

3、ities,andSemielasticities152.2.3TheErrorFormofModelsofConditionalExpectations182.2.4SomePropertiesofConditionalExpectations192.2.5AveragePartialE¤ects222.3LinearProjections24Problems27Appendix2A292.A.1PropertiesofConditionalExpectations292.A.2PropertiesofConditionalVariances312.A.3Properti

4、esofLinearProjections323BasicAsymptoticTheory353.1ConvergenceofDeterministicSequences353.2ConvergenceinProbabilityandBoundedinProbability363.3ConvergenceinDistribution383.4LimitTheoremsforRandomSamples393.5LimitingBehaviorofEstimatorsandTestStatistics403.5.1AsymptoticPropertiesofEstimators

5、403.5.2AsymptoticPropertiesofTestStatistics43Problems45viContentsIILINEARMODELS474TheSingle-EquationLinearModelandOLSEstimation494.1OverviewoftheSingle-EquationLinearModel494.2AsymptoticPropertiesofOLS514.2.1Consistency524.2.2AsymptoticInferenceUsingOLS544.2.3Heteroskedasticity-RobustInfer

6、ence554.2.4LagrangeMultiplier(Score)Tests584.3OLSSolutionstotheOmittedVariablesProblem614.3.1OLSIgnoringtheOmittedVariables614.3.2TheProxyVariable–OLSSolution634.3.3ModelswithInteractionsinUnobservables674.4PropertiesofOLSunderMeasurementError704.4.1MeasurementErrorintheDependentVariable71

7、4.4.2MeasurementErrorinanExplanatoryVariable73Problems765InstrumentalVariablesEstimationofSingle-EquationLinearModels835.1InstrumentalVariablesandTwo-StageLeastSquares835.1.1MotivationforInstrumentalVariablesEstimation835.1.2MultipleInstruments:Two-StageLeastS