Microeconometrics

The book is oriented to the practitioner.

A complete and up-to-date survey of microeconometric methods available in Stata, Microeconometrics Using Stata, Revised Edition is an outstanding introduction to microeconometrics and how to execute microeconometric research using Stata. It covers topics left out of most microeconometrics textbooks and omitted from basic introductions to Stata. This revised edition has been updated to reflect the new features available in Stata 11 that are useful to microeconomists. Instead of using mfx and the user-written margeff commands, the authors employ the new margins command, emphasizing both marginal effects at the means and average marginal effects. They also replace the xi command with factor variables, which allow you to specify indicator variables and interaction effects. Along with several new examples, this edition presents the new gmm command for generalized method of moments and nonlinear instrumental-variables estimation. In addition, the chapter on maximum likelihood estimation incorporates enhancements made to ml in Stata 11. Throughout the book, the authors use simulation methods to illustrate features of the estimators and tests described and provide an in-depth Stata example for each topic discussed. They also show how to use Stata’s programming features to implement methods for which Stata does not have a specific command. The unique combination of topics, intuitive introductions to methods, and detailed illustrations of Stata examples make this book an invaluable, hands-on addition to the library of anyone who uses microeconometric methods.

This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.

Focuses on the assumptions underlying the algorithms rather than their statistical properties Presents cutting-edge analysis of factor models and finite mixture models. Uses a hands-on approach to examine the assumptions made by the models and when the models fail to estimate accurately Utilizes interesting real-world data sets that can be used to analyze important microeconomic problems Introduces R programming concepts throughout the book. Includes appendices that discuss many of the concepts introduced in the book, as well as measures of uncertainty in microeconometrics.

Spatial Microeconometrics introduces the reader to the basic concepts of spatial statistics, spatial econometrics and the spatial behavior of economic agents at the microeconomic level. Incorporating useful examples and presenting real data and datasets on real firms, the book takes the reader through the key topics in a systematic way. The book outlines the specificities of data that represent a set of interacting individuals with respect to traditional econometrics that treat their locational choices as exogenous and their economic behavior as independent. In particular, the authors address the consequences of neglecting such important sources of information on statistical inference and how to improve the model predictive performances. The book presents the theory, clarifies the concepts and instructs the readers on how to perform their own analyses, describing in detail the codes which are necessary when using the statistical language R. The book is written by leading figures in the field and is completely up to date with the very latest research. It will be invaluable for graduate students and researchers in economic geography, regional science, spatial econometrics, spatial statistics and urban economics.

This book explores new topics in modern research on empirical corporate finance and applied accounting, especially the econometric analysis of microdata. Dubbed “financial microeconometrics” by the author, this concept unites both methodological and applied approaches. The book examines how quantitative methods can be applied in corporate finance and accounting research in order to predict companies getting into financial distress. Presented in a clear and straightforward manner, it also suggests methods for linking corporate governance to financial performance, and discusses what the determinants of accounting disclosures are. Exploring these questions by way of numerous practical examples, this book is intended for researchers, practitioners and students who are not yet familiar with the variety of approaches available for data analysis and microeconometrics. “This book on financial microeconometrics is an excellent starting point for research in corporate finance and accounting. In my view, the text is positioned between a narrative and a scientific treatise. It is based on a vast amount of literature but is not overloaded with formulae. My appreciation of financial microeconometrics has very much increased. The book is well organized and properly written. I enjoyed reading it.” Wolfgang Marty, Senior Investment Strategist, AgaNola AG

This volume brings together two comprehensive survey studies of the literature on the microeconometrics of international trade. The chapters apply new empirical methods to the analysis of the links between international trade and various dimensions of firm performance such as productivity, profitability, wages, and survival. The studies also include report results for Germany, one of the leading actors on the world markets for goods and services. Contents:Survey Papers:Exports and Productivity: A Survey of the Evidence from Firm Level Data (Joachim Wagner)International Trade and Firm Performance: A Survey of Empirical Studies Since 2006 (Joachim Wagner)Characteristics of Exporting and Importing Firms in Germany:Exports and Firm Characteristics in German Manufacturing Industries: New Evidence from Representative Panel Data (Joachim Wagner)Higher Productivity in Importing German Manufacturing Firms: Self-Selection, Learning from Importing or Both? (Alexander Vogel and Joachim Wagner)Exports and Wages:Do Exporters Really Pay Higher Wages? First Evidence from German Linked Employer–Employee Data (Thorsten Schank, Claus Schnabel and Joachim Wagner)Higher Wages in Exporting Firms: Self-Selection, Export Effect, or Both? First Evidence from Linked Employer–Employee Data (Thorsten Schank, Claus Schnabel and Joachim Wagner)International Trade and Profits:Exports and Profitability — First Evidence for German Manufacturing Firms (Helmut Fryges and Joachim Wagner)Exports and Pro?tability — First Evidence for German Business Services Enterprises (Alexander Vogel and Joachim Wagner)Exports, Imports and Profitability: First Evidence for Manufacturing Enterprises (Joachim Wagner)International Trade and Firm Survival:Exports, Imports and Firm Survival: First Evidence for Manufacturing Enterprises in Germany (Joachim Wagner)Risk or Resilience? The Role of Trade Integration and Foreign Ownership for the Survival of German Enterprises During the Crisis 2008–2010 (Joachim Wagner and John P Weche Gelübcke)Credit Constraints and International Trade:Credit Constraints and Exports: A Survey of Empirical Studies Using Firm-Level Data (Joachim Wagner)Credit Constraints and Margins of Import: First Evidence for German Manufacturing Enterprises (Joachim Wagner)Extensive Margins of Exports and Imports:Trading Many Goods with Many Countries: Exporters and Importers from German Manufacturing Industries (Joachim Wagner)Methods of Empirical Analysis of Heterogeneous Exporters and Importers:From Estimation Results to Stylized Facts: Twelve Recommendations for Empirical Research in International Activities of Heterogeneous Firms (Joachim Wagner) Readership: Graduate students and researchers in the fields of econometrics and international economics.

This book is a practical guide for theory-based empirical analysis in economics that guides the reader through the first steps when moving between economic theory and applied research. The book provides a hands-on introduction to some of the techniques that economists use for econometric estimation and shows how to convert a selection of standard and advanced estimators into MATLAB code. The book first provides a brief introduction to MATLAB and its syntax, before moving into microeconometric applications studied in undergraduate and graduate econometrics courses. Along with standard estimation methods such as, for example, Method of Moments, Maximum Likelihood, and constrained optimisation, the book also includes a series of chapters examining more advanced research methods. These include discrete choice, discrete games, dynamic models on a finite and infinite horizon, and semi- and nonparametric methods. In closing, it discusses more advanced features that can be used to optimise use of MATLAB, including parallel computing. Each chapter is structured around a number of worked examples, designed for the reader to tackle as they move through the book. Each chapter ends with a series of readings, questions, and extensions, designed to help the reader on their way to adapting the examples in the book to fit their own research questions.