# Econometric Analysis of Cross Section and Panel Data

## This book is intended primarily for use in a second-semester course in graduate econometrics, after a ﬁrst course at the level of Goldberger (1991) or Greene (1997). Parts of the book can be used for special-topics courses, and it should serve as a general reference. My focus on cross section and panel data methods—in particular, what is often. | ECONOMETRIC ANALYSIS OF CROSS SECTION AND PANEL DATA Econometric Analysis of Cross Section and Panel Data Jeffrey M. Wooldridge The MIT Press Cambridge Massachusetts London England Contents Preface xvii Acknowledgments xxiii I INTRODUCTION AND BACKGROUND 1 1 Introduction 3 Causal Relationships and Ceteris Paribus Analysis 3 The Stochastic Setting and Asymptotic Analysis 4 Data Structures 4 Asymptotic Analysis 7 Some Examples 7 Why Not Fixed Explanatory Variables 9 2 Conditional Expectations and Related Concepts in Econometrics 13 The Role of Conditional Expectations in Econometrics 13 Features of Conditional Expectations 14 Definition and Examples 14 Partial Effects Elasticities and Semielasticities 15 The Error Form of Models of Conditional Expectations 18 Some Properties of Conditional Expectations 19 Average Partial Effects 22 Linear Projections 24 Problems 27 Appendix 2A 29 Properties of Conditional Expectations 29 Properties of Conditional Variances 31 Properties of Linear Projections 32 3 Basic Asymptotic Theory 35 Convergence of Deterministic Sequences 35 Convergence in Probability and Bounded in Probability 36 Convergence in Distribution 38 Limit Theorems for Random Samples 39 Limiting Behavior of Estimators and Test Statistics 40 Asymptotic Properties of Estimators 40 Asymptotic Properties of Test Statistics 43 Problems .

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