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Book Econometric Analysis of Cross Section and Panel Data By Wooldridge - Chapter 4

LINEAR MODELS In this part we begin our econometric analysis of linear models for cross section and panel data. In Chapter 4 we review the single-equation linear model and discuss ordinary least squares estimation. Although this material is, in principle, review, the approach is likely to be different from an introductory linear models course. | LINEAR MODELS In this part we begin our econometric analysis of linear models for cross section and panel data. In Chapter 4 we review the single-equation linear model and discuss ordinary least squares estimation. Although this material is in principle review the approach is likely to be different from an introductory linear models course. In addition we cover several topics that are not traditionally covered in texts but that have proven useful in empirical work. Chapter 5 discusses instrumental variables estimation of the linear model and Chapter 6 covers some remaining topics to round out our treatment of the single-equation model. Chapter 7 begins our analysis of systems of equations. The general setup is that the number of population equations is small relative to the cross section sample size. This allows us to cover seemingly unrelated regression models for cross section data as well as begin our analysis of panel data. Chapter 8 builds on the framework from Chapter 7 but considers the case where some explanatory variables may be uncorrelated with the error terms. Generalized method of moments estimation is the unifying theme. Chapter 9 applies the methods of Chapter 8 to the estimation of simultaneous equations models with an emphasis on the conceptual issues that arise in applying such models. Chapter 10 explicitly introduces unobserved-effects linear panel data models. Under the assumption that the explanatory variables are strictly exogenous conditional on the unobserved effect we study several estimation methods including fixed effects first differencing and random effects. The last method assumes at a minimum that the unobserved effect is uncorrelated with the explanatory variables in all time periods. Chapter 11 considers extensions of the basic panel data model including failure of the strict exogeneity assumption. The Single-Equation Linear Model and OLS Estimation 4.1 Overview of the Single-Equation Linear Model This and the next couple of .