Econometrics

10.

Limited Dependent Variable Models

10.1.

Binary Choice Models

10.1.1.

Linear Probability Model

10.1.1.1.

Specification and Estimation

10.1.1.2.

Advantages and Limitations

10.1.1.3.

Heteroskedasticity Issues

10.1.2.

10.1.2.1.

Model Specification

10.1.2.2.

Maximum Likelihood Estimation

10.1.2.3.

Interpretation of Coefficients

10.1.2.4.

Marginal Effects

10.1.3.

10.1.3.1.

Model Specification

10.1.3.2.

10.1.3.3.

Comparison with Probit

10.1.4.

Model Comparison and Selection

10.1.4.1.

Likelihood Ratio Tests

10.1.4.2.

Pseudo R-squared Measures

10.2.

Censored and Truncated Data Models

10.2.1.

10.2.1.1.

Censoring Mechanism

10.2.1.2.

Maximum Likelihood Estimation

10.2.1.3.

Marginal Effects

10.2.1.4.

10.2.2.

Truncated Regression

10.2.2.1.

Truncation vs. Censoring

10.2.2.2.

Estimation Methods

10.3.

Sample Selection Models

10.3.1.

Heckman Selection Model

10.3.1.1.

Two-Step Estimation

10.3.1.2.

Maximum Likelihood Estimation

10.3.1.3.

Identification Issues

10.3.1.4.

Inverse Mills Ratio

10.4.

Count Data Models

10.4.1.

Poisson Regression

10.4.2.

Negative Binomial Model

10.4.3.

Zero-Inflated Models

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9. Model Selection and Specification Testing

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11. Time Series Econometrics