Microeconometrics Using Stata, Second Edition, Volume I: Cross-Sectional and Panel Regression Models

Microeconometrics Using Stata, Second Edition is an invaluable reference for researchers and students interested in applied microeconometric methods. Like previous editions, this text covers all the classic microeconometric techniques ranging from linear models to instrumental-variables regression to panel-data estimation to nonlinear models such as probit, tobit, Poisson, and choice models. Each of these discussions has been updated to show the most modern implementation in Stata, and many include additional explanation of the underlying methods. In addition, the authors introduce readers to performing simulations in Stata and then use simulations to illustrate methods in other parts of the book. They even teach you how to code your own estimators in Stata. The second edition is greatly expanded―the new material is so extensive that the text now comprises two volumes. In addition to the classics, the book now teaches recently developed econometric methods and the methods newly added to Stata. Specifically, the book includes entirely new chapters on duration models randomized control trials and exogenous treatment effects endogenous treatment effects models for endogeneity and heterogeneity, including finite mixture models, structural equation models, and nonlinear mixed-effects models spatial autoregressive models semiparametric regression lasso for prediction and inference Bayesian analysis Anyone interested in learning classic and modern econometric methods will find this the perfect companion. And those who apply these methods to their own data will return to this reference over and over as they need to implement the various techniques described in this book. Descripción del editor: "Comment from the Stata technical groupEvery applied economic researcher using Stata and everyone teaching or studying microeconometrics will benefit from Cameron and Trivedi's two volumes. They are an invaluable reference of the theory and intuition behind microeconometric methods using Stata. Those familiar with Cameron and Trivedi's Microeconometrics: Methods and Applications will find the same rigor. Those familiar with the previous edition of "Microeconometrics Using Stata" will find the familiar focus on Stata commands, their interpretation, and their connection with microeconometric theory as well as an introduction to computational concepts that should be part of any researcher's toolbox. And readers will find much more--so much more, the second edition required a second volume.This new edition covers all the new Stata developments relevant to microeconometrics that appeared since the the last edition in 2010. For example, readers will find entire new chapters on treatment effects, duration models, spatial autoregressive models, lasso, and Bayesian analysis. But the authors didn't stop there. They also added discussions of the most recent microeconometric methods that have been contributed by the Stata community.The first volume introduces foundational microeconometric methods, including linear and nonlinear methods for cross-sectional data and linear panel data with and without endogeneity as well as overviews of hypothesis and model-specification tests. Beyond this, it teaches bootstrap and simulation methods, quantile regression, finite mixture models, and nonparametric regression. It also includes an introduction to basic Stata concepts and programming and to Mata for matrix programming and basic optimization.The second volume builds on methods introduced in the first volume and walks readers through a wide range of more advanced methods useful in economic research. It starts with an introduction to nonlinear optimization methods and then delves into binary outcome methods with and without endogeneity; tobit and selection model estimates with and without endogeneity; choice model estimation; count data with and without endogeneity for conditional means and count data for conditional quantiles; survival data; nonlinear panel-data methods with and without endogeneity; exogenous and endogenous treatment effects; spatial data modeling; semiparametric regression; lasso for prediction and inference; and Bayesian econometrics.With its encyclopedic coverage of modern econometric methods paired with many worked examples that demonstrate how to implement these methods in Stata, "Microeconometrics Using Stata, Second Edition" is a text that readers will come back to over and over for each new project or analysis they face. It is an essential reference for applied researchers and those taking microeconometrics courses." ( Stata Press) "Todos los investigadores de economía aplicada que utilicen Stata y todos los que enseñen o estudien microeconometría se beneficiarán de los dos volúmenes de Cameron y Trivedi. Son una referencia invaluable de la teoría y la intuición detrás de los métodos microeconométricos que utilizan Stata. Quienes estén familiarizados con Microeconometría: métodos y aplicaciones de Cameron y Trivedi encontrarán el mismo rigor. Quienes estén familiarizados con la edición anterior de "Microeconometría usando Stata" encontrarán el enfoque familiar en los comandos de Stata, su interpretación y su conexión con la teoría microeconométrica, así como una introducción a los conceptos computacionales que deberían ser parte de la caja de herramientas de cualquier investigador. Y los lectores encontrarán mucho más, mucho más, la segunda edición requirió un segundo volumen. Esta nueva edición cubre todos los nuevos desarrollos de Stata relevantes para la microeconometría que aparecieron desde la última edición en 2010. Por ejemplo, los lectores encontrarán capítulos completamente nuevos sobre efectos de tratamiento, modelos de duración, modelos espaciales autorregresivos, lazo y análisis bayesiano. Pero los autores no se detuvieron ahí. También agregaron discusiones sobre los métodos microeconométricos más recientes que han sido aportados por la comunidad de Stata. El primer volumen presenta métodos microeconométricos fundamentales, incluidos métodos lineales y no lineales para datos transversales y datos de panel lineales con y sin endogeneidad, así como descripciones generales de hipótesis y pruebas de especificación de modelos. Más allá de esto, enseña métodos de simulación y arranque, regresión cuantil, modelos de mezcla finita y regresión no paramétrica. También incluye una introducción a los conceptos básicos y la programación de Stata y a Mata para la programación matricial y la optimización básica". Editor. "Microeconometrics Using Strata, Second Edition is aimed at both students and researchers of economics and related social science. The first volume is intended to be a self-contained treatment that might also be used as an applied econometrics course text. It focuses on the linear regression model and includes instrumental-variables estimation, random- and fixed-effects models, quantile regression, and analytical and bootstrap inference. It additionally provides a brief introduction to nonlinear regression models. The second volume covers models for binary, multinomial, censored, duration, and count outcomes for both cross-sectional and panel datasets. It then covers causal methods for exogenous and endogenous treatment evaluations, spatial regression, semiparametric methods, machine learning for prediction and for causal inference, and Bayesian methods"-- Back cover