Econometric Analysis of Cross Section and Panel Data

The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis.Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

Customer Reviews:

A Gold Mine of Microeconometric Methods

By Lawrence C. Marsh - April 6, 2002

If you are interested in learning the latest microeconometric methods, this book will save you from long hours of sorting through the literature. Wooldridge has brought together in a well organized, clear and concise manner the state of the art techniques in microeconometrics. His book covers all of the core issues involving single equation and simultaneous equation models. The most important aspects of M-estimation, MLE, GMM and minimum distance estimation are carefully presented. Those interested in limited dependent and qualitative variables will find that this goes well beyond Maddala's classic book. In addition to new developments in logit, probit and tobit, Wooldridge explains sample selection, attrition and stratified sampling. He covers research by Heckman et al on estimating average treatment effects using instrumental variables. I found his material on negative binomial regression, binomial regression, exponential regression and fractional logit regression to be especially... read more

The best introduction to Cross-Section econometrics

By Sabad One - December 18, 2004

In my opinion, this is now the best introduction to cross-section econometrics. Wooldridge covers all the basics, he does it very well, with a lot of attention to empirical applications. Most of the empirical applications can be replicated using Stata datasets that you can download from his web page. One thing I love about this textbook is that robust versions of variance matrices are almost always provided, so one does not have to rely much on homoskedasticity. This is also one of the very very few textbooks to devote some space to important topics such as stratified sampling, clustering, weak instruments. The exposition is generally excellent, with intuition provided, and proofs rigorous enough for beginners, even if the most technical details are usually left out. Sometimes I find Wooldridge style a bit disorganized in the way he orders topics within a chapter, but overall I do think this is a great book, and the best introduction to the topic. I never liked Greene, which devotes... read more