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Econometric Analysis of Cross Section and Panel Data, second edition (Mit Press) 2nd ed. Edition

by Jeffrey M. Wooldridge (Author)
4.5 4.5 out of 5 stars 137 ratings
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The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated.

The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis.

Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

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  1. ISBN-10
    0262232588
  2. ISBN-13
    978-0262232586
  3. Edition
    2nd ed.
  4. Publisher
    The MIT Press
  5. Publication date
    October 1, 2010
  6. Language
    English
  7. Dimensions
    8.25 x 1.72 x 9.31 inches
  8. Print length
    1096 pages
  9. See all details
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Editorial Reviews

Review

"I highly recommend this book for graduate classes in econometrics. We have used it at MIT and the students find it extremely helpful. Wooldridge covers topics in a highly readable and insightful way."--Jerry Hausman, John and Jennie S. MacDonald Professor of Economics, MIT

"In this leading econometrics textbook, Wooldridge offers a very good explanation of the basics of the field - making it a great resource for econometrics students - and a contemporary treatment of many important topics, making it a wonderful reference for researchers as well. The new edition provides clear explanations of many recent developments."--Whitney Newey, Jane Berkowitz Carlton and Dennis William Carlton Professor of Microeconomics, MIT

"This second edition provides a comprehensive, accessible, and updated treatment of cross section and panel data methods. The book is full of useful insights, applications, and worked problems. It will serve as an invaluable textbook and reference for graduate students and researchers alike."--Richard Blundell, Institute for Fiscal Studies, University College London

"Jeffrey Wooldridge's excellent textbook well meets the need for an up-to-date text explaining state-of-the-art methods to potential practitioners among graduate students. The book covers familiar and less familiar ground with clarity and with attention to the issues of greatest relevance to practical applications. . . . Extremely valuable." -- Ian Preston, "The Times Higher Education Supplement"

"This book will be a great resource for researchers and graduate students interested in applied and theoretical microeconometrics. The topics covered in this book belong in the toolbox of modern applied and theoretical microeconometricians, and many of them have not previously been covered in easily accessible textbook format." --Bo Honore, Department of Economics, Princeton University

"Wooldridge's new book should be extremely useful for graduate students in econometrics and also in applied fields. It gives a state-of-the-art discussion of econometric methods used to analyze data in a wide variety of situations." --Jerry Hausman, McDonald Professor of Economics, Massachusetts Institute of Technology

About the Author

Jeffrey M. Wooldridge is University Distinguished Professor of Economics at Michigan State University and a Fellow of the Econometric Society.

Product details

  • Publisher ‏ : ‎ The MIT Press; 2nd ed. edition (October 1, 2010)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 1096 pages
  • ISBN-10 ‏ : ‎ 0262232588
  • ISBN-13 ‏ : ‎ 978-0262232586
  • Item Weight ‏ : ‎ 4.11 pounds
  • Dimensions ‏ : ‎ 8.25 x 1.72 x 9.31 inches
  • Customer Reviews:
    4.5 4.5 out of 5 stars 137 ratings

About the author

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Jeffrey M. Wooldridge

Jeffrey M. Wooldridge

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Jeffrey M. Wooldridge is a University Distinguished Professor of Economics at Michigan State University, where he has taught since 1991. From 1986 to 1991, he served as Assistant Professor of Economics at the Massachusetts Institute of Technology (MIT). Dr. Wooldridge has published more than 70 articles in internationally recognized journals, as well as several chapters in well-respected books. He is also the author of ECONOMETRIC ANALYSIS OF CROSS SECTION AND PANEL DATA. His work has earned numerous awards, including the Alfred P. Sloan Research Fellowship, the Plura Scripsit award from Econometric Theory, the Sir Richard Stone prize from the Journal of Applied Econometrics, and three graduate teacher-of-the-year awards from MIT. A fellow of the Econometric Society, the Journal of Econometrics, and the International Association for Applied Econometrics, Dr. Wooldridge has been editor of the Journal of Business and Economic Statistics and econometrics co-editor of Economics Letters. He has also served on the editorial boards of the Journal of Econometrics, Econometric Theory, and the Review of Economics and Statistics. Dr. Wooldridge received his B.A. with majors in computer science and economics from the University of California, Berkeley, and received his Ph.D. in economics from the University of California, San Diego.

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Top reviews from the United States

Stephen Weinberg
5.0 out of 5 stars Excellent handbook for the applied econometrician, but not where I'd want to have started
Reviewed in the United States on April 10, 2013
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Wooldridge has long been my first go-to source for looking up the details of an econometrics method, and I immediately bought the second edition when I saw there was one. I can spend hours working my way through it, writing out the key equations on my marker board, and come away feeling much more confident that I know what I'm doing.

I envy the reviewers who call the book intuitive or an introduction. I cannot imagine using this book as an introductory textbook even at the doctoral level. This book is invaluable for someone who already has a good understanding of econometrics and wants a lot of detail and guidance in one place. I wouldn't want to live without it. But I don't think I would have been ready for it until after the second class in my doctoral econometrics sequence, or possibly the third.

Several reviewers have complained about the lack of graphs. I haven't missed them, because the equations and text are very clear.
9 people found this helpful
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Robert Sherman
5.0 out of 5 stars great book!
Reviewed in the United States on April 4, 2024
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great book!
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Robert Hines
5.0 out of 5 stars Great Reference Material
Reviewed in the United States on February 15, 2023
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This is an invaluable aid for someone doing applied econometrics. I love the way the chapters connect common modeling issues to applied techniques that are intuitively extended to panel applications.
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Adam
4.0 out of 5 stars Give me 3 years
Reviewed in the United States on February 14, 2013
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How can I review something that will take me years to digest? So far I have used the book as a reference (e.g. to find out how/why to run a Wu-Hausman test) and Wooldridge's explanations are clear without leaving out important detail. As a PhD student, I'm looking forward to the next couple of years of getting oddly intimate with this book. (I knocked off one star because there are no images, graphs, and tables. Even Greene's Econometric Analysis has visual aids - not sure why Wooldridge couldn't come up with any)
2 people found this helpful
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Chris Austin
5.0 out of 5 stars A Serious Book for Serious People
Reviewed in the United States on March 3, 2020
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This is a serious book for serious people. If you are a newbie to econometrics, look elsewhere. But then, if you were a newbie, you probably would not be reading reviews for this book.

Anyway, this volume is the leading and, in my view, the best treatise on econometrics involving panel data. I worked through various chapters of it as part of a Ph.D. level class on advanced econometrics. (No, I have not read the entire book, and I have never met anyone who claimed that (s)he did.)

This book requires
(1) a solid grounding in linear algebra ("matrices")
(2) a very solid grounding in econometrics
(3) a very substantial amount of spare time

On the plus side, the author has a skill for elegant and clear writing. He is also one of the leading experts on many of the topics covered, and it shows. For many of the topics, I have not been able to find a clearer and more useful treatment elsewhere.

On the downside, you will occasionally have to consult other materials as well, especially research papers. This should not surprise you. If you are interested in econometrics at the level covered in this treatise, then you know that econometrics is an evolving science, and you can never get the absolute cutting-edge research from any treatise. However, my advice is: Use this treatise as your go-to resource and then delve into the most recent papers for the topics that your research focuses on.
6 people found this helpful
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Aidan Horn
5.0 out of 5 stars Accurate and detailed exposition, with qualifying statements
Reviewed in the United States on July 24, 2019
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Wooldridge gives enough detail for the intellectual student to fully understand the underlying basis of the theory. The material is concise enough to be simple to the eye, yet (as long as one can read linear algebra), steps left out do not take long to work out by hand. Having read "Introduction to Econometrics" before this, Wooldridge is my preferred choice of author, as I find it easy to understand his writing. I consider a work such the present one to be essential background knowledge for the practicing econometrician.

All the topics relevant to cross-sectional data are included (OLS, FGLS, dealing with heteroskedasticity or serial correlation, IV, MLE, probit/logit models, etc.), in a more rigorous way than "Introduction to Econometrics", in addition to panel topics. Linear algebra is used to simplify the notation.

Compared to more elementary texts, the typography is more bland and traditional, but that's probably because the target audience is narrower and more serious. A Times serif font is used for both the text and the math.

I can't say much now about what material is omitted, but I'll see if I can update this review in a few years' time.
One person found this helpful
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Torin McFarland
5.0 out of 5 stars Quintessential econometrics text for empirical practicitioners
Reviewed in the United States on April 15, 2021
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I am a Phd Student in Finance, specializing in empirical corporate finance. This text pairs well with Greene (i have the 8th edition), as the latter focuses more on proofs. Wooldridge does plenty of proofing, but the writing is more accessible. Both, i would say, are necessary and required reading to understand many of the latest / cutting edge empirical papers in finance. I highly recommend PhD students in econ and finance (and other quantitative disciplines) buying the copy, as the 1st edition pdf available online is not the same. The 2nd edition has substantive changes, updates, and additions, which is well worth the money. You'll likely reference and cite this book for the rest of your career.
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Margaret Cairns
5.0 out of 5 stars Fantastic book
Reviewed in the United States on December 29, 2012
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As a student of Jeff's so I might be a little biased but I think he is a great instructor and econometrician. He attends seminars and interacts with various researchers tackling numerous problems lending his books and his work a very practical and useful perspective.

Even if this book were as expensive as other PhD econometric books I would highly recommend it. However, as that it is 1/3 to 1/4 the price of other textbooks I think it is an exceptional deal.
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Top reviews from other countries

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Antonio Dippolito
5.0 out of 5 stars Ottima qualità del prodotto
Reviewed in Italy on February 14, 2022
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Prodotto arrivato in ottima qualità, perfetto!
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Cliente de Amazon
4.0 out of 5 stars Algunos detalles
Reviewed in Mexico on February 10, 2020
Verified Purchase
El envío fue excelente, llego al día siguiente, hábil, de haberlo comprado, pero tenia algunos golpes en las esquinas, quizás por el traslado, pero deberían mejorar el embalaje.
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Robert Gary Bobo
5.0 out of 5 stars useful up to date well written
Reviewed in France on December 3, 2019
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useful up to date well written
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Customer
5.0 out of 5 stars Must have for panel section analysis
Reviewed in Japan on August 30, 2017
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Panel regression is way complicated than people tend to think. This book covers lots of contemporary as well as traditional methods of econometrics of cross-section and panel data. Particularly, those who use Stata may find this book very consistent with how STATA instruction is written and how the error message is turned out.
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JM
5.0 out of 5 stars Umfassend und gut
Reviewed in Germany on March 19, 2013
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Das wichtigste vorweg: Das ist keine Einsteigerliteratur! Es wird allerdings gerne mit dem anderen Ökonometrielehrbuch "Introductory Econometrics" verwechselt, da es vom gleichen Autor stammt und ebenfalls als "Wooldridge" bekannt ist ;)

Dieses Werk richtet sich hingegen an Masterstudenten mit Schwerpunkt Ökonometrie oder Doktoranden. Es deckt alle üblichen Verfahren (und noch einiges mehr) im Bereich Querschnitts- und Paneldaten ab. Dazu gehören die übliche kleinste-Quadrate-Methode, Instrumentvariablen, Schätzung von Gleichungssystemen und die Behandlung von Paneldaten (Fixed, Random und First Difference Estimators). An spezielleren Themen gibt es unter anderem etwa Regressionen mit Zähldaten, GMM, Quantile Estimation, Binary und Ordered Response Models. Auch an der "Stichprobenfront" werden z.B. mit Stratified und Cluster Sampling wichtige Themen behandelt. Sehr schön ist die scharfe Trennung von Problemen mit der Stichprobenziehung und Problemen mit der Schätzmethodik. Auch das (aktuelle) Thema der Identifizierung von kausalen Effekten gibt es ein Kapitel.

Das einzige was in diesem Buch nicht behandelt wird, sind die Methoden der Zeitreihenanalyse. Dafür gibt es aber eine Reihe anderer Bücher (etwa den Hamilton, obwohl mir als Einführung der Kirchgässner / Wolters sehr gut gefallen hat).

Wer sich für (Mikro-)Ökonometrie interessiert und kein Einsteiger mehr ist, kann hier trotz des hohen Preises beruhigt zugreifen. Dieses Buch behandelt wirklich alle wichtigen Themen und lässt sich dabei noch (im Gegensatz zum Greene) relativ flüssig lesen. Wer vor allem Ökonometrie im Makrobereich macht, sollte sich aber lieber ein gutes Buch zur Zeitreihenanalyse holen.
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