Applied Microeconometrics Using Stata

by A. Colin Cameron, Pravin K. Trivedi

Covering important topics omitted from basic introductions to Stata, Microeconometrics Using Statashows how to do microeconometric research using Stata. It provides the most complete and up-to-date survey of microeconometric methods available in Stata. After a brief introduction to Stata, the authors present linear regression, simulation, and generalized least squares methods. The section on cross-sectional techniques is complete with up-to-date treatments of instrumental-variables methods for linear models as well as quantile regression methods. The next section covers estimators for the parameters of linear panel-data models. The book explores standard random-effects and fixed-effects methods, along with mixed linear models used in many areas outside of econometrics. After introducing methods for nonlinear regression models, the authors discuss how to code new, nonlinear estimators in Stata. They show how to easily implement new nonlinear estimators. The authors also cover inference using analytical and bootstrap approximations to the distribution of test statistics. The book then contains a section on methods for different nonlinear models, including multinomial, selection, count-data, and nonlinear panel-data models.

By combining intuitive introductions and detailed discussions of Stata examples, this bookprovides an invaluable hands-on introduction to microeconometrics.

Genres: Economics, Textbooks, Reference

Paperback

First published December 17, 2008

Reviews

[Nathan · Rating 4 out of 5]

I always worried that this was more of a beefed-up STATA manual than an actual econometrics book. However, my impression changed after using this for a course--both the students and the professor realized this motivated concepts much better than the pure theoretical book we were also using. Bottom line: this book is quite impressive for both the practitioner and student. It can function as an intuitive cookbook for econometric programming, as well as a course-wide treatment of microeconometric concepts.

Importantly, the book emphasizes a highly pedagogical approach to learning microeconometrics: simulating a data generating process and "seeing the results" take shape. It's a fantastic way for motivating a deeper understanding of core issues, say OLS and MLE, as well as more advanced concepts, like Monte Carlo integration and bootstrapping issues.

[Alexia Gaudeul · Rating 4 out of 5]

Such microeconometrics books that mix both theory and practical use are what really made me understand, at my humble level, a little bit of how econometric analysis works. For me at least, it was the best way to learn the topic, quite far away from complicated theoretical considerations such as those in Greene's "Econometric Analysis" (though I see it has improved with more practical considerations).

[Bill Zhou · Rating 4 out of 5]

This book contributes much more than Stata user manual. Theoretical explanations, combing with practical examples, lead this book exceptional. If you are Stata-dependent user, this book will teach you from A to Z by using Stata.

[Bill Zhou · Rating 5 out of 5]

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