Limited-dependent and qualitative variables in econometrics ebook

In this book, Bernt Stigum considers the role that economic theory ought to play in such measurements and proposes a formal science of economics that provides the means to solve the measurement problems faced by econometric researchers. After describing the salient parts of a formal science of economics, Stigum compares its methods with the methods of contemporary applied econometrics. His goal is to develop a basis for meaningful discussion of the best way to incorporate economic theory in empirical analysis.

Stigum conceives two scenarios for research in applied econometrics: contemporary econometrics in the tradition of Trygve Haavelmo and the formal theory-data confrontation envisioned by Ragnar Frisch. Stigum presents case studies of economic phenomena, contrasting the empirical analysis prescribed by contemporary applied econometrics with the empirical analysis prescribed by a formal theory-data confrontation.

He finds significant and provocative differences. Which are we to believe when the statistical analyses of these two methodologies yield very different descriptions of the behavior characteristics of data variables and inferences about social reality? Stigum points to three aspects of contemporary econometric methodology that may benefit from serious discussions: the analysis of positively valued time series, a suspect characteristic of qualitative response models, and the search for linearly cointegrated time series.

These three aspects are of as much concern to formal econometrics as they are to contemporary econometrics. Censored and truncated regression models 7.

Simultaneous-equations models with truncated and censored variables 8. Two-stage estimation methods 9. Models with self-selectivity Disequilibrium models Some applications: unions and wages Appendix: Some results on truncated distributions Bibliography Index.

Despite the traditional emphasis on continuous variables in econometrics, many of the economic variables encountered in practice are categorical those for which a suitable category can be found but where no actual measurement exists or truncated those that can be observed only in certain ranges. Such variables are involved, for example, in models of occupational choice, choice of tenure in housing, and choice of type of schooling.

Models with regulated prices and rationing, and models for program evaluation, also represent areas of application for the techniques presented by the author. Subjects Econometrics. Bibliographic information.

Publication date Series Econometric Society monographs in quantitative economics ; 3 Note Includes index. Related Work Qualitative variables in econometrics. ISBN X Browse related items Start at call number: HB M Amemiya, T. Google Scholar. CrossRef Google Scholar. Baltagi, B. Bera, A. Jarque and L. Berkson, J. Berndt, E. Hall, R.

Hall and J. Boskin, M. Cornwell, C. Cox, D. Cragg, J. Davidson, R. Dhillon, U. Shilling and C. Effron, B.