Panel Data Econometrics Methods-Of-Moments and Limited Dependent Variables

"This is a useful reference work that brings together many recent developments in estimation with panel data. The emphasis on semiparametric and limited dependent variable methods provides a good complement to other recent books on the subject." -Arthur Lewbel, Boston College "Professor Lee has combined accessible technical discussions of modern panel data treatments with their empirical implementation in models containing limited dependent variables. It arrives on the scene soon after our profession recognized the importance of such models by awarding of the 2000 Nobel Prize in Economics to D. McFadden and J. Heckman. A must for any serious graduate student who intends to carry out modern research in econometric theory and/or empirical research in the social sciences." -Robin C. Sickles, Professor of Economics and Statistics, Rice University This practical, accessible, detailed examination of recent developments in panel data econometrics highlights semiparametric approaches, providing distribution-free estimators for limited response models. It offers detailed accounts of delicate subjects, such as panel data sample selection models, and is well supplemented by examples and empirical exercises. For both empirical researchers who wish to apply panel data methods and the person who is serious about using semi-parametric methods in panel data analysis, Professor Lee's comprehensive examination of recent estimation methods, his practical clues and insights, and his discussions of computational feasibility separate his book from other econometrics texts. KEY FEATURES * Focuses on practical implementation and computational feasibility of estimation methods * Compares parametric and semiparametric approaches, highlighting advantages of new methods * Provides distribution-free estimators for limited response models * Includes innovative programs with accompanying data sets on disk * Presents computational steps and recent methods in panel data analysis * Describes main theoretical ideas behind the generalized method-of-moments (GMM) estimationLee, Myoung-Jae is the author of 'Panel Data Econometrics Methods-Of-Moments and Limited Dependent Variables' with ISBN 9780124406568 and ISBN 0124406564.