Econometrics of Qualitative Dependent Variables

This textbook introduces students to qualitative econometric models and assumes a basic knowledge of econometrics/statistics.

Christian Gourieroux (Author), Paul B. Klassen (Translated by)

9780521331494, Cambridge University Press

Hardback, published 16 October 2000

384 pages, 28 b/w illus. 5 tables
23.7 x 15.8 x 2.8 cm, 0.63 kg

"What is refreshing about this book is that each of the topics is first introduced in an intuitive manner, and then analyzed rigorously-a sytle that is very special to the author. The book is a must for any serious student of econometrics and for all libraries." Mathematical Reviews

This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their discrete nature - requires an entirely different set of tools from those applied to purely quantitative data. Written in accessible language and offering cogent examples, students are given valuable means to gauge real-world economic phenomena. After the introduction, early chapters present models with endogenous qualitative variables, examining dichotomous models, model specification, estimation methods, descriptive usage, and qualitative panel data. Professor Gourieroux also looks at Tobit models, in which the exogenous variable is sometimes qualitative and sometimes quantitative, and changing-regime models, in which the dependent variable is qualitative but expressed in quantitative terms. The final two chapters describe models which explain variables assumed by discrete or continuous positive variables.

1. Introduction
2. The simple dichotomy
3. Modelling
4. Estimation methods and tests
5. The log-linear model and its applications
6. Qualitative panel data
7. The Tobit model
8. Models of market disequilibrium
9. Truncated variables in simultaneous equations
10. Simultaneous equation systems
11. The Poisson model
12. Models of duration.

Subject Areas: Applied mathematics [PBW], Probability & statistics [PBT], Economic statistics [KCHS], Econometrics [KCH], Social research & statistics [JHBC]