Reading List

Sources

  1. Takeshi Amemiya, Advanced Econometrics, Harvard University Press, 1985, Cambridge.

  2. A. Colin Cameron and Pravin K. Trivedi, Microeconometrics: Methods and Applications, Cambridge University Press, 2005, New York.

  3. Morris H. DeGroot and Mark J. Schervish, Probability and Statistics, 3rd Edition, Addison-Wesley, 2002, Boston.

  4. Bernard W. Lindgren, Statistical Theory, 3rd Edition, MacMillan, 1976, New York.

  5. J. Scott Long, Regression Models for Categorical and Limited Dependent Variables, Sage Publications, 1995, Thousand Oaks.

  6. G.S. Maddala, Limited Dependent and Qualitative Variables in Econometrics, Cambridge University Press, 1983, New York.

  7. Articles cited below are available for download via Canvas. There is a link on the ECO5427 course page.

Topics

  1. Maximum Likelihood Estimation

    1. Cameron and Trivedi (5)

    2. Amemiya (4.2)

    3. Lindgren (4.5, 5.2)

    4. DeGroot and Schervish (6.5, 6.6)

  2. Numerical Optimization

    1. Cameron and Trivedi (10)

    2. Amemiya (4.4)

    3. Long (3.6)

  3. Bivariate and Conditional Normals

    1. DeGroot and Schervish (5.12)

    2. Lindgren (10.2.1)

  4. Moments of Censored Normal

    1. Maddala (Appendix)

    2. Cameron and Trivedi (16.3.4, 16.10.1)

  5. Binary Choice Models

    1. Amemiya (9.1, 9.2)

    2. Cameron and Trivedi (14)

    3. Long (3)

    4. Maddala (2)

  6. Tobit Models

    1. Amemiya (10.1-10.4)

    2. Cameron and Trivedi (16.1-16.4)

    3. Long (7)

    4. Maddala (6.1-6.5)

    5. Olsen, Randall J. (1978), “Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model,” Econometrica 46, 1211-1215.

    6. Zuehlke, Thomas W. (2003), “Estimation of a Tobit Model with Unknown Censoring Threshold,” Applied Economics 35, 1163-1169.

    7. Zuehlke, Thomas W. (2020), “Estimation of a Two-Limit Tobit Model with Generalized Box-Cox Transformation and Unknown Censoring Thresholds,” Applied Economics 52, 156-174.

  7. Selection Models

    1. Amemiya (10.7,10.8)

    2. Cameron and Trivedi (16.5)

    3. Maddala (8.4, 9.1, 9.2)

    4. Olsen, Randall J. (1980), “A Least-Squares Correction for Selectivity Bias,” Econometrica 48, 1815-1820.

    5. Olsen, Randall J. (1982), "Distributional Tests for Selectivity Bias and a More Robust Likelihood Estimator," International Economic Review 23, 223-240.

    6. Zuehlke, Thomas W. and Allen R. Zeman (1991), "A Comparison of Two-Stage Estimators of Censored Regression Models," Review of Economics and Statistics 73, 185-188.

    7. Zuehlke, Thomas W. (1996), "Identification by Non-Linearity in Censored Regression Models," Journal of Statistical Computation and Simulation 54, 289-304.

    8. Zuehlke, Thomas W. (2017), "Use of Quadratic Terms in Type II Tobit Models," Applied Economics 49, No 17, 1706-1714.