微观计量经济学_金江编著_9787301350782

本书以横截面数据和面板数据为基础，全面介绍了微观计量经济学的理论模型和估计原理。本书包括：绪论、离散被解释变量模型、分位数回归模型、工具变量法、受限被解释变量模型、面板数据模型Ⅰ、面板数据模型Ⅱ、处理效应、匹配方法、局部平均处理效应、双重差分模型、事件分析法、合成控制法及断点回归设计等。本书的撰写遵循以下原则：先对理论知识进行介绍，然后结合Stata 软件和具体例子来介绍相应的估计命令及其运用。此外，本书在介绍基本理论时，还会结合具体问题给出一些例子，以便加深读者对相关知识点的理解。本书可作为经济学、管理学及其他相关学科高年级本科生、硕士研究生及博士研究生的中高级计量经济学教材，也可作为相关领域的教师及研究人员了解定量分析方法的参考读物。

第1 章绪论 ···················································································································· 1 1.1 什么是微观数据 ········································································································ 1 1.2 计量经济学的经典分析框架 ························································································· 2 1.3 广义最小二乘法 ········································································································ 3 1.4 最大似然估计 ··········································································································· 4 1.5 广义矩估计 ·············································································································· 5 第2 章离散被解释变量模型 ··························································································· 8 2.1 二元选择模型 ··········································································································· 8 2.2 随机效用模型 ·········································································································· 13 2.3 多元选择模型 ·········································································································· 14 2.4 排序选择模型 ·········································································································· 16 2.5 泊松回归 ················································································································ 19 2.6 应用指南 ················································································································ 21 第3 章分位数回归模型 ································································································· 29 3.1 分位数的含义 ·········································································································· 29 3.2 中位数回归 ············································································································· 29 3.3 分位数回归 ············································································································· 31 3.4 统计推断 ················································································································ 34 3.5 应用指南 ················································································································ 35 第4 章工具变量法 ········································································································ 38 4.1 内生性问题 ············································································································· 38 4.2 工具变量估计思想的提出 ··························································································· 40 4.3 工具变量估计 ·········································································································· 40 4.4 如何寻找工具变量 ···································································································· 44 4.5 应用指南 ················································································································ 45 第5 章受限被解释变量模型 ·························································································· 52 5.1 断尾回归 ················································································································ 52 5.2 样本选择模型 ·········································································································· 54 5.3 截取回归 ················································································································ 56 5.4 应用指南 ················································································································ 60 第6 章面板数据模型Ⅰ ································································································· 63 6.1 面板数据的特征 ······································································································· 63 6.2 静态面板数据模型的估计 ··························································································· 64 6.3 固定效应和随机效应的选择 ························································································ 67 6.4 其他问题 ················································································································ 69 6.5 动态面板数据模型 ···································································································· 71 6.6 应用指南 ················································································································ 75 第7 章面板数据模型Ⅱ ································································································· 83 7.1 面板二元选择模型 ···································································································· 83 7.2 面板泊松模型 ·········································································································· 87 7.3 面板Tobit 模型 ········································································································ 89 7.4 面板分位数模型 ······································································································· 90 7.5 应用指南 ················································································································ 92 第8 章处理效应 ············································································································ 98 8.1 处理效应的定义 ······································································································· 98 8.2 识别假设 ················································································································ 99 8.3 选择偏误 ·············································································································· 100 8.4 其他问题 ·············································································································· 103 第9 章匹配方法 ·········································································································· 106 9.1 识别假设 ·············································································································· 106 9.2 匹配估计 ·············································································································· 108 9.3 不同的匹配方法 ····································································································· 111 9.4 多处理组的匹配估计 ······························································································· 112 9.5 其他问题 ·············································································································· 113 9.6 应用指南 ·············································································································· 114 第10 章局部平均处理效应 ·························································································· 119 10.1 不可观测因素的影响 ····························································································· 119 10.2 工具变量估计 ······································································································ 120 10.3 局部平均处理效应估计 ·························································································· 122 10.4 存在协变量时局部平均处理效应的估计 ····································································· 125 10.5 应用指南 ············································································································ 130 第 11 章双重差分模型 ································································································· 134 11.1 标准双重差分模型 ································································································ 134 11.2 交叠双重差分模型 ································································································ 136 11.3 倾向得分匹配-双重差分估计 ··················································································· 138 11.4 其他类型DID 模型 ································································································ 139 11.5 应用指南 ············································································································ 140 第12 章事件分析法 ····································································································· 144 12.1 基本模型 ············································································································ 144 12.2 识别要求 ············································································································ 146 12.3 其他问题 ············································································································ 148 12.4 应用指南 ············································································································ 149 第13 章合成控制法 ····································································································· 153 13.1 合成控制法的估计原理 ·························································································· 153 13.2 多个处理个体的情况 ····························································································· 159 13.3 合成控制法的不足 ································································································ 160 13.4 应用指南 ············································································································ 161 第14 章断点回归设计 ································································································· 165 14.1 基本思想 ············································································································ 165 14.2 清晰断点 ············································································································ 166 14.3 模糊断点 ············································································································ 171 14.4 其他问题 ············································································································ 174 14.5 断点回归的可靠性检验 ·························································································· 177 14.6 应用指南 ············································································································ 177 参考文献 ························································································································ 183 附录 ······························································································································· 186

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