I'm finishing my master thesis and I'm using a simultaneous equations model (SEM) as econometric strategy. In the process, I've noticed that is really hard to find an graduate econometrics textbook with a relevant coverage of that kind of stuff, at least in traditional microeconometrics textbooks except Wooldridge (Cameron & Trivedi, for the other part, has very little about it). Other, more hard modelling strategies, as discrete-choice dynamic programming (DCDP) models doesn't even appear in textbooks.
So I was wondering... There are textbooks focused mainly on these kind of strategies?
This is a good question with lots of possible answers.
Here on RG, many approaches to answering this questions can be found, for example, in
https://www.researchgate.net/profile/Carmen_Reinhart
and
https://www.researchgate.net/profile/Mikolaj_Czajkowski
and
https://www.researchgate.net/profile/Sule_Akkoyunlu
In addition, an excellent, in-depth source of pointers for econometrics is given
Arnaud Doucet, Nando de Freitas, Neil Gordon, Sequential Monte Carlo Methods in Practice
http://link.springer.com/book/10.1007%2F978-1-4757-3437-9
Hello magazine this link leads to Chapter 7 of the handbook of econometrics
https://www3.nd.edu/~wevans1/class_papers/Hausman,%20Handbook%20of%20Econometrics%201983.pdf
and econometrics book Badi Baltagi teacher has a chapter
Simultaneous Equations Model
Thank you all for your interesting answers. Are gonna be very useful for my research or for future research.
I'm still looking for a advanced structural econometrics textbook, though. For DCDP models, I found one from Manski and McFadden, Structural Analysis of Discrete Data and Econometric Applications (The MIT Press, 1981). Both authors have been very kind and have uploaded the book for free on http://eml.berkeley.edu/~mcfadden/discrete.html
But I've could not find more recent or more comprehensive material (including system estimation as a kind of structural analysis too)
You can also consult the textbook of William_H_Greene of Econometric Analysis.
rum.prf.jcu.cz/.../William_H_Greene-Econometric_Analysis-Prentice.pdfSimilar.
I agree with the opinion that SEM is not part of the traditional econometric, in general interested in estimation, validation and prediction, and SEM is focused on theory-building.
A good introductory textbook is greene : Econometric analysis
http://rum.prf.jcu.cz/public/mecirova/eng_ekonomka/William_H_Greene-Econometric_Analysis-Prentice.pdf
Not mainstream econometrics, but a very useful introduction to applied SEM:
http://www.stata.com/bookstore/discovering-structural-equation-modeling-using-stata/
- Badges
- Science topic
- Similar topics
- Geoscience
- Cartography
- Mapping