A. Colin Cameron - Microeconometrics Using Stata, Second Edition, Volume I: Cross-Sectional and Panel Regression Models

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Microeconometrics Using Stata

Volume I: Cross-Sectional and Panel

Regression Methods

Second Edition

A. COLIN CAMERON
Department of Economics
University of California, Davis, CA
and
School of Economics
University of Sydney, Sydney, Australia

PRAVIN K. TRIVEDI
School of Economics
University of Queensland, Brisbane, Australia
and
Department of Economics
Indiana University, Bloomington, IN

A Stata Press Publication
StataCorp LLC
College Station, Texas

Copyright 2009, 2010, 2022 by StataCorp LLC
All rights reserved. First edition 2009
Revised edition 2010
Second edition 2022

Published by Stata Press, 4905 Lakeway Drive, College Station, Texas 77845

Typeset in LaTeX2e

Printed in the United States of America

10 9 8 7 6 5 4 3 2 1

Print ISBN-10: 1-59718-359-8 (volumes I and II)

Print ISBN-10: 1-59718-361-X (volume I)

Print ISBN-10: 1-59718-362-8 (volume II)

Print ISBN-13: 978-1-59718-359-8 (volumes I and II)

Print ISBN-13: 978-1-59718-361-1 (volume I)

Print ISBN-13: 978-1-59718-362-8 (volume II)

ePub ISBN-10: 1-59718-360-1 (volumes I and II)

ePub ISBN-10: 1-59718-363-6 (volumes I)

ePub ISBN-10: 1-59718-364-4 (volumes II)

ePub ISBN-13: 978-1-59718-360-4 (volumes I and II)

ePub ISBN-13: 978-1-59718-363-5 (volumes I)

ePub ISBN-13: 978-1-59718-364-2 (volumes II)

Library of Congress Control Number: 2022938057

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Microeconometrics Using Stata , published in December 2008, was written for Stata 10.1. Microeconometrics Using Stata, Revised Edition , published in January 2010, was written forStata 11.0. This second edition is written for Stata 17.

Whereas the scope and coverage of the preceding editions were reasonably synchronizedwith our own Microeconometrics: Methods and Applications (Cambridge, 2005), thissecond edition has broader scope in several respects. We have attempted not onlyto update our previous coverage to bring it in line with newer tools in the latestedition of Stata but also to bring into the book many topics and methods thatare now actively studied and increasingly used in applied microeconometrics. Thiscoverage includes several topics, listed below, that were not covered in our 2005text.

This second edition covers over ten years of both enhancements to Stata and developmentsin the methods most commonly used in empirical microeconometrics analysis. Thefocus of the book remains the use of linear and nonlinear regression methods forcross-sectional and short panel data. In particular, we give only short treatment toother features of Stata that are useful for data analysis such as data management,use within Stata of other programming languages such as Python, and automateddocument preparation. The new edition is much expanded and is split into twovolumes.

The first volume, comprising chapters 115 and Stata and Mata appendixes,focuses on the linear regression model and provides a brief introduction to nonlinearregression models. This volume is an expanded version of chapters 110, 1213, and theappendixes of the first and revised editions. In places, there is greater explanation ofunderlying methods, and much of the first volume is intended to be suitable foran advanced undergraduate course in addition to serving graduate students andresearchers.

The second volume, comprising chapters 1630, covers the standard nonlinear models aswell as more advanced and more recent material. In addition to updated versions of chapters 1418 of the first edition and the revised edition, the second volume includes new chapters on duration models, treatment effects in randomized control trials, treatment effects with endogenous treatments, parametric models for endogeneity and heterogeneity, spatial regression, semiparametric regression, machine learning and prediction, and Bayesian methods.

Some methods we cover are well established. Other methods we present are in areas of active research, so they may become replaced by better methods. In particular, many methods for causal analysis using observational or experimental methods are still being established and improved upon, at a remarkably rapid pace. This includes inference for instrumental variables with weak instruments, clusterrobust inference with few clusters, treatment-effects estimation with heterogeneous treatment effects, regression discontinuity design, and causal analysis using machine learning methods. Accordingly, we plan to periodically add some supplementary material on the books website (http://cameron.econ.ucdavis.edu/mus2).

Our target user base consists of practitioners of applied microeconometrics. This group is quite diverse in terms of familiarity with the available econometric tools. In deference to such diversity, we have chosen to separate the more advanced aspects of many topics and place them in different parts of the book. This is a challenging task because often the same material could, and in some cases should, appear in several alternative places. To assist the reader, we have provided numerous cross-references and a much lengthier subject index. The reader will benefit from checking out these connections.