Micro-Econometrics Methods of Moments and Limited Dependent Variable
This book introduces econometrics at the graduate level, and then specializes in micro-econometrics topics such as method of moments, limited and qualitative dependent variables, sample-selection models, panel data, nonparametric estimators and specificat
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Myoung-jae Lee
Micro-Econometrics Methods of Moments and Limited Dependent Variables Second Edition
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Myoung-jae Lee Department of Economics Korea University Anam-dong, Sungbuk-gu Seoul, Korea 136-701
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ISBN 978-0-387-95376-2 e-ISBN 978-0-387-68841-1 DOI 10.1007/b60971 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2009935059 c Springer Science+Business Media, LLC 1996, 2010 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To my “Little Women” Hyun-joo, Hyun and Young, full of life, love and the cool
PREFACE When I wrote the book Methods of Moments and Semiparametric Econometrics for Limited Dependent Variable Models published from Springer in 1996, my motivation was clear: there was no book available to convey the latest messages in micro-econometrics. The messages were that most econometric estimators can be viewed as method-of-moment estimators and that inferences for models with limited dependent variables (LDV) can be done without going fully parametric. Time has passed and there are now several books available for the same purpose. These days, methods of moments are the mainstay in econometrics, not just in micro-, but also in macro-econometrics. Many papers have been published for semiparametric methods and LDV models. I, myself, learned much over the years since 1996, so much so that my own view on what should be taught, and how, has changed much. Particularly, my exposure to the “sample selection” and “treatment effect” literature has changed the way I look at econometrics now. When I set out to write the second edition of the 1996 book, these changes prompted me to re-title, reorganize, and re-focus the book. This book, or the second edition of the book from Springer in 1996, differs greatly from the 1996 book in three aspects. First, I tried to write the book more as a textbook than as a monograph, so that the book can be used as a first year textbook in graduate econometrics courses. Second, differently from the 1996 book, many empirical examples have been added and estimators that work well in practice are given more coverage than the others. Third, the literature have been upda
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