Handbook of Econometrics

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ISBN: 9780444823403 | 0444823409
Cover: Hardcover
Copyright: 11/22/2001

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The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics. Comprehensive surveys, written by experts, discuss recent developments at a level suitable for professional use by economists, econometricians, statisticians, and in advanced graduate econometrics courses.For more information on the Handbooks in Economics series, please see our home page on http: //www.elsevier.nl/locate/hes

Introduction to the Series

Contents of the Handbook

vii

Preface to the Handbook

xiii

References

xiv

Part 11 - NEW DEVELOPMENTS IN THEORETICAL ECONOMETRICS

The Bootstrap

3159

(70)

Joel L. Horowitz

Abstract

3160

(1)

Keywords

3160

(1)

Introduction

3161

(2)

The bootstrap sampling procedure and its consistency

3163

(9)

Consistency of the bootstrap

3166

(3)

Alternative resampling procedures

3169

(3)

Asymptotic refinements

3172

(16)

Bias reduction

3172

(3)

The distributions of statistics

3175

(4)

Bootstrap critical values for hypothesis tests

3179

(4)

Confidence intervals

3183

(1)

The importance of asymptotically pivotal statistics

3184

(1)

The parametric versus the nonparametric bootstrap

3185

(1)

Recentering

3186

(2)

Extensions

3188

(25)

Dependent data

3188

(7)

Kernel density and regression estimators

3195

(10)

Non-smooth estimators

3205

(5)

Bootstrap iteration

3210

(2)

Special problems

3212

(1)

The bootstrap when the null hypothesis is false

3212

(1)

Monte Carlo experiments

3213

(7)

The information-matrix test

3214

(1)

The t test in a heteroskedastic regression model

3215

(2)

The t test in a Box-Cox regression model

3217

(1)

Estimation of covariance structures

3218

(2)

Conclusions

3220

(9)

Acknowledgements

3221

(1)

Appendix A. Informal derivation of Equation (3.27)

3221

(2)

References

3223

(6)

Panel Data Models: Some Recent Developments

3229

(68)

Manuel Arellano

Bo Honore

Abstract

3231

(1)

Keywords

3231

(1)

Introduction

3232

(1)

Linear models with predetermined variables: identification

3233

(22)

Strict exogeneity, predeterminedness, and unobserved heterogeneity

3233

(8)

Time series models with error components

3241

(7)

Using stationarity restrictions

3248

(2)

Models with multiplicative effects

3250

(5)

Linear models with predetermined variables: estimation

3255

(10)

GMM estimation

3255

(4)

Efficient estimation under conditional mean independence

3259

(3)

Finite sample properties of GMM and alternative estimators

3262

(2)

Approximating the distributions of GMM and LIML for AR(1) models when the number of moments is large

3264

(1)

Nonlinear panel data models

3265

(2)

Conditional maximum likelihood estimation

3267

(3)

Conditional maximum likelihood estimation of logit models

3268

(1)

Poisson regression models

3269

(1)

Discrete choice models with ``fixed'' effects

3270

(2)

Tobit-type models with ``fixed'' effects

3272

(10)

Censored regression models

3272

(3)

Type 2 Tobit model (sample selection model)

3275

(1)

Other Tobit-type models

3276

(2)

Monotone transformation models

3278

(2)

Nonparametric regression and fixed effects

3280

(1)

Relationship with estimators for some cross sectional models

3280

(2)

Models with lagged dependent variables

3282

(5)

Discrete choice with state dependence

3283

(3)

Dynamic Tobit models

3286

(1)

Dynamic sample selection models

3287

(1)

``Random'' effects models

3287

(3)

Concluding remarks

3290

(7)

References

3290

(7)

Interactions-Based Models

3297

(84)

William A. Brock

Steven N. Durlauf

Abstract

3299

(1)

Keywords

3299

(1)

Introduction

3300

(5)

Neighborhoods and inequality

3301

(1)

Spatial agglomeration

3302

(1)

Technology choice

3302

(1)

Preferences

3302

(1)

Behavior of political parties

3303

(1)

Social pathologies

3303

(1)

Information cascades

3304

(1)

Evolution of science

3304

(1)

Chapter objectives

3304

(1)

Binary choice with social interactions

3305

(13)

General framework

3305

(4)

Global interactions

3309

(3)

Local interactions

3312

(2)

Relationship to statistical mechanics

3314

(1)

Social planning problem

3315

(3)

Linear-in-means model

3318

(1)

Identification: basic issues

3318

(17)

Binary choice

3320

(2)

Linear-in-means model

3322

(2)

Instruments for unobservable expectations

3324

(1)

Identification of individual versus neighborhood contextual effects

3325

(1)

Nonlinear-in-means model

3326

(2)

Implications of self-selection for identification

3328

(3)

Implications of multiple equilibria for identification

3331

(1)

Dynamic models and rational expectations

3331

(4)

Further topics in identification

3335

(13)

Panel data

3335

(2)

Duration data

3337

(3)

Nonparametric approaches

3340

(8)

Sampling properties

3348

(4)

Laws of large numbers

3348

(1)

Naive estimator

3349

(1)

Asymptotics for data generated by social planner

3349

(1)

Unobserved variables

3350

(2)

Statistical analysis with grouped data

3352

(3)

Differences in cross-group behavior

3353

(1)

Spatial patterns

3353

(1)

Ecological inference

3354

(1)

Evidence

3355

(7)

Analyses under assumption of correct specification

3355

(1)

Analyses which are robust to unobserved correlated heterogeneity

3356

(6)

Summary and conclusions

3362

(19)

Appendix A

3363

(1)

Properties of binary choices made under a social planner

3363

(5)

Proof of Theorem 5

3368

(1)

Proof of Theorem 7

3369

(2)

References

3371

(10)

Duration Models: Specification, Identification and Multiple Durations

3381

(82)

Gerard J. Van Den Berg

Abstract

3383

(1)

Keywords

3383

(1)

Introduction

3384

(3)

Basic concepts and notation

3387

(2)

Some structural models of durations

3389

(5)

Standard search model

3389

(4)

Repeated-search model

3393

(1)

The Mixed Proportional Hazard model

3394

(11)

Definition

3394

(3)

Time-varying explanatory variables

3397

(3)

Theoretical justification

3400

(5)

Identification of the MPH model with single-spell data

3405

(21)

Some implications of the MPH model specification

3405

(3)

Identification results

3408

(4)

Interaction between duration and explanatory variables in the observed hazard

3412

(2)

The sign of the interaction

3414

(4)

Specification of the unobserved heterogeneity distribution

3418

(4)

Effects of misspecification of functional forms

3422

(4)

The MPH model with multi-spell data

3426

(5)

Multi-spell data

3426

(1)

Identification results

3427

(4)

An informal classification of reduced-form multiple-duration models

3431

(6)

The Multivariate Mixed Proportional Hazard model

3437

(10)

Definition

3437

(1)

Identification results

3438

(4)

Specification of the bivariate unobserved heterogeneity distribution

3442

(5)

Causal duration effects and selectivity

3447

(2)

Lagged endogenous durations

3447

(1)

Endogenous shocks

3448

(1)

Conclusions and recommendations

3449

(14)

References

3453

(10)

Part 12 - COMPUTATIONAL METHODS IN ECONOMETRICS

Computationally Intensive Methods for Integration in Econometrics

3463

(106)

John Geweke

Michael Keane

Abstract

3465

(1)

Keywords

3465

(1)

Introduction

3466

(2)

Monte Carlo methods of integral approximation

3468

(13)

Independence sampling

3470

(2)

The Gibbs sampler

3472

(2)

The Hastings-Metropolis algorithm

3474

(2)

Some Markov chain Monte Carlo theory

3476

(3)

Metropolis within Gibbs

3479

(1)

Assessing numerical accuracy in Markov chain Monte Carlo

3479

(2)

Approximate solution of discrete dynamic optimization problems

3481

(13)

Classical simulation estimation of the multinomial probit model

3494

(12)

Univariate latent linear models

3506

(12)

An overview of the univariate latent linear model

3507

(4)

Some evidence from artificial data

3511

(7)

Some evidence from real data

3518

(1)

Multivariate latent linear models

3518

(20)

An overview of the multivariate latent linear model

3519

(6)

Some evidence from artificial data

3525

(13)

Bayesian inference for a dynamic discrete choice model

3538

(31)

Appendix A. The full univariate latent linear model

3548

(7)

Appendix B. The full multivariate latent linear model

3555

(9)

References

3564

(5)

Markov Chain Monte Carlo Methods: Computation and Inference

3569

(84)

Siddhartha Chib

Abstract

3570

(1)

Keywords

3570

(1)

Introduction

3571

(2)

Organization

3573

(1)

Classical sampling methods

3573

(4)

Inverse transform method

3573

(2)

Accept-reject algorithm

3575

(1)

Method of composition

3576

(1)

Markov chains

3577

(3)

Definitions and results

3577

(2)

Computation of numerical accuracy and inefficiency factor

3579

(1)

Metropolis-Hastings algorithm

3580

(9)

The algorithm

3581

(3)

Convergence results

3584

(1)

Example

3585

(2)

Multiple-block M-H algorithm

3587

(2)

The Gibbs sampling algorithm

3589

(6)

The algorithm

3590

(1)

Connection with the multiple-block M-H algorithm

3591

(1)

Invariance of the Gibbs Markov chain

3592

(1)

Sufficient conditions for convergence

3592

(1)

Estimation of density ordinates

3592

(2)

Example: simulating a truncated multivariate normal

3594

(1)

Sampler performance and diagnostics

3595

(1)

Strategies for improving mixing

3596

(3)

Choice of blocking

3597

(1)

Tuning the proposal density

3597

(1)

Other strategies

3598

(1)

MCMC algorithms in Bayesian estimation

3599

(24)

Overview

3599

(1)

Notation and assumptions

3600

(2)

Normal and student-t regression models

3602

(2)

Binary and ordinal probit

3604

(3)

Tobit censored regression

3607

(1)

Regression with change point

3608

(2)

Autoregressive time series

3610

(2)

Hidden Markov models

3612

(2)

State space models

3614

(2)

Stochastic volatility model

3616

(3)

Gaussian panel data models

3619

(1)

Multivariate binary data models

3620

(3)

Sampling the predictive density

3623

(3)

MCMC methods in model choice problems

3626

(13)

Background

3626

(1)

Marginal likelihood computation

3627

(6)

Model space-parameter space MCMC algorithms

3633

(3)

Variable selection

3636

(3)

Remark

3639

(1)

MCMC methods in optimization problems

3639

(2)

Concluding remarks

3641

(12)

References

3642

(11)

Part 13 - APPLIED ECONOMETRICS

Calibration

3653

(52)

Christina Dawkins

T.N. Srinivasan

John Whalley

Abstract

3654

(1)

Keywords

3654

(1)

Introduction

3655

(1)

Calibration: its meaning and some early examples

3656

(5)

Two examples

3657

(3)

Reasons for using calibration

3660

(1)

The debate about calibration

3661

(6)

Lines of the debate

3662

(1)

Calibration is estimation, estimation is calibration

3663

(2)

The Jorgenson-McKitrick critique of micro model calibration

3665

(2)

Making calibration more concrete

3667

(17)

Calibrated macroeconomic models

3667

(4)

Calibrated microeconomic models

3671

(6)

Deficiencies of micro calibration

3677

(1)

Some recent examples of calibrations

3677

(7)

Best practice in calibration

3684

(10)

The choice of model for calibration

3684

(2)

The calibration of what to what?

3686

(1)

The choice of functional form

3687

(2)

The use of elasticity parameters

3689

(5)

New directions in calibration

3694

(4)

Expost decomposition and double or multiple calibration

3694

(1)

Sensitivity analysis

3695

(2)

Preadjusting data

3697

(1)

Conclusion

3698

(7)

References

3699

(6)

Measurement Error in Survey Data

3705

(2)

John Bound

Charles Brown

Nancy Mathiowetz

Abstract

3707

(1)

Keywords

3707

(1)

Introduction

3708

(2)

The impact of measurement error on parameter estimates

3710

(2)

Special cases

3712

(3)

General results - linear model

3715

(1)

Differential measurement error - an example

3716

(5)

Bounding parameter estimates

3721

(2)

Contaminated and corrupted data

3723

(1)

Measurement error in categorical variables

3724

(3)

Nonlinear models

3727

(1)

Correcting for measurement error

3728

(1)

Instrumental variables in the bivariate linear model

3729

(4)

Multivariate linear model

3733

(2)

Nonlinear models

3735

(2)

The contribution of validation data

3737

(3)

Approaches to the assessment of measurement error

3740

(3)

Measurement error and memory: findings from household-based surveys

3743

(1)

Cognitive processes

3743

(2)

Social desirability

3745

(1)

Essential survey conditions

3746

(1)

Applicability of findings to the measurement of economic phenomena

3747

(1)

Evidence on measurement error in survey reports of labor-related phenomena

3748

(1)

Earnings

3748

(32)

Transfer program income

3770

(9)

Assets

3779

(5)

Hours worked

3784

(7)

Unemployment

3791

(11)

Industry and occupation

3802

(3)

Tenure, benefits, union coverage, size of establishment, and training

3805

(6)

Measurement error in household reports of health-related variables

3811

(12)

Education

3823

(7)

Conclusions

3830

(3)

References

3833

Author Index

I-1

Subject Index

I-19

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Handbook of Econometrics

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Table of Contents

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