Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models

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9780387946269: Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models

The classical econometric approach to modelling has been to specify a model up to a finite-dimensional parameter vector, and estimation and testing techniques have been widely used on these finite-dimensional parameter spaces. In the last fifteen years or so however, new methods have been developed to allow more flexible models which utilise infinite-dimensional parameters. Simultaneously, methods of moments estimation have also become more widely used and applied. In this book, the author provides a survey of these modern techniques and how they are applied to limited dependent variable (LDV) models. As well as covering many classical approaches, the topics covered include: instrumental variable estimation, the generalized method of moments, extremum estimators, methods of simulated moments, minimum distance estimation, nonparametric density and regression function estimation, and semiparametric methods for LDV. As a result, many graduate students and research workers will appreciate this up-to-date account. An appendix describes the use of the software package GAUSS to implement these methods in conjunction with some real data sets.

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The classical econometric approach to modelling has been to specify a model up to a finite-dimensional parameter vector, and estimation and testing techniques have been widely used on these finite-dimensional parameter spaces. In the last fifteen years or so, however, new methods have been developed to allow more flexible models which utilize infinite-dimensional parameters.

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From the reviews of the second edition:

“This is a book on microeconometric methods. ... book is particularly useful both for advanced graduate students and for researchers, whether they are theoretically or empirically oriented. ... an excellent basis for an advanced course on semi- and non-parametric econometrics, or simply as a valuable reference book. ... I have found this book to be extremely useful for my own work and I believe that many other readers, either students or researchers, will share that positive experience.” (Myoung-jae Lee, The Econometrics Journal, May, 2010)

“The book is voluminous at 759 pages. The author discusses various methods of testing and estimation in different models with illustrative empirical examples. The author hopes that theoretically oriented readers will find useful an overview on micro-econometrics and applied researchers will find helpful information on how to apply micro-econometric techniques. This reviewer agrees that the author has succeeded mostly in his aim. ... book is a valuable addition to the literature on micro-econometrics.” (B. L. S. Prakasa Rao, Mathematical Reviews, Issue 2011 c)

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