Microeconometrics: Methods and Applications by A. Colin Cameron and P.K. Trivedi

A. Colin Cameron and Pravin K. Trivedi

MICROECONOMETRICS USING STATA

Revised Edition (2010)
Stata Press, 706 pages.

Original Edition (2009)
Stata Press, 692 pages.

The book can be obtained from:

Stata Press (revised edition or original edition)
Amazon.com (revised edition or original edition)
And, in many countries, from CRC Press online.

NEW: RUNNING PROGRAMS IN STATA 12 (September 2, 2011)

Stata 12 was released in Summer 2011.
The Revised Edition programs (downloadable from http://www.stata-press.com/data/musr.html) were written for Stata Version 11.
All of these programs run in Stata 12 with no change, with the following exception:
- in mus09p1panlin2.do the command xtrc lwage exp wks, i(id) does not run and needs to be commented out.
For further details see running_programs_in_Stata12.html

REVISED EDITION (March 4, 2010) for Stata 11

The purpose of the revised edition is solely to update the original edition to present those new Stata 11 commands that make it easier to implement some of the methods given in the original edition.
Instead of using mfx and the user-written margeff commands, the revised edition uses the new margins command, emphasizing both marginal effects at the means and average marginal effects.
Factor variables, which allow you to specify indicator variables and interaction effects, replace the xi command.
The new gmm command for generalized method of moments and nonlinear instrumental-variables estimation is presented, along with several examples.
Finally, the chapter on maximum likelihood estimation incorporates enhancements made to ml in Stata 11.
For more details on these changes see Preface to Revised Edition
All programs and data used in the revised edition can be very easily downloaded and run: click here.

ORIGINAL EDITION (December, 2008) for Stata 10.1 (and still fine for Stata 11)

This book written for Stata version 10.1 explains how to perform modern regression analysis of cross-section and panel data using the computer package Stata.

The main audience is graduate students and researchers in economics and related social sciences such as political science and sociology. For them this book can be used as an adjunct to graduate-level texts such as Cameron and Trivedi (2005), Greene (2008) or Wooldridge (2002).

At the same time, the book can also be used in an undergraduate econometrics class, as a complement to an appropriate undergraduate-level text. It includes introductions to topics such as OLS, IV regression, fixed and random effects panel data models, and logit and probit models.
All programs and data used in the original edition can be very easily downloaded and run: click here

Book website for Original edition: includes All Programs and Data and detailed Table of Contents

Some Stata resources

CHAPTER OUTLINE (Original edition and Revised edition)

     Original / Revised
Page     1       1 1. Stata Basics
Page   29     31       2. Data Management and Graphics
Page   71     73 3. Linear Regression Basics
Page 113   119   4. Simulation
Page 147   153       5. GLS Regression
Page 171 177      6. Linear Instrumental Variables Regression
Page 205 211       7. Quantile Regression
Page 229 235       8. Linear Panel Models: Basics
Page 281 287       9. Linear Panel Models: Extensions
Page 313   319     10. Nonlinear Regression Methods
Page 351   363     11. Nonlinear Optimization Methods
Page 385   399     12. Testing Methods
Page 415   429 13. Bootstrap Methods
Page 445 459 14. Binary Outcome Models
Page 477   491 15. Multinomial Models
Page 521   535 16. Tobit and Selection Models
Page 553   567     17. Count Data Models
Page 601   615 18. Nonlinear Panel Models
Page 633 645    A. Programming in Stata
Page 647   661    B. Mata
Page 661   675            Glossary of Abreviations, References, Author Index, Subject Index`

DATA SETS

The datasets and programs for all chapters are easily downloaded from the Stata book website
Book website for Revised edition: includes All Programs and Data and detailed Table of Contents
Book website for Original edition: includes All Programs and Data and detailed Table of Contents

The same Stata datasets are also given individually below

A. Colin Cameron / University of California - Davis / http://www.econ.ucdavis.edu/faculty/cameron
Pravin K. Trivedi / Indiana University - Bloomington / http://php.indiana.edu/~trivedi