Limited-Dependent and Qualitative Variables in Econometrics

This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated.

G. S. Maddala (Author)

9780521338257, Cambridge University Press

Paperback, published 27 June 1986

414 pages
22.6 x 15.2 x 2.5 cm, 0.568 kg

'To summarise, the book contains a very useful and clearly written account of many of the aspects of the limited dependent and qualitative variable models with an extensive use of empirical examples. The econometric issues raised by the models are neatly produced without taxing the reader too greatly. There will undoubtedly be other books appearing in the near future in the same area. It is to Maddala's credit that he has produced a book which, by virtue of its extensive coverage, will be very hard to beat.' The Economic Journal

This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. 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.

Preface
1. Introduction
2. Discrete regression models
3. Probabilistic-choice models
4. Discriminant analysis
5. Multivariate qualitative variables
6. Censored and truncated regression models
7. Simultaneous-equations models with truncated and censored variables
8. Two-stage estimation methods
9. Models with self-selectivity
10. Disequilibrium models
11. Some applications: unions and wages
Appendix: Some results on truncated distributions
Bibliography
Index.

Subject Areas: Econometrics [KCH]