This paper surveys methods that have been added to the
microeconometrician's toolkit over the past twenty-five years, and some
recent developments in these newer methods. These methods include GMM,
empirical likelihood, simulation-based estimation, quantile regression,
semiparametric estimation, robust inference, and bootstrap. The paper
also considers estimation of marginal effects that can be given a
causative interpretation, notably treatment effects, unobserved
heterogeneity, and common data complications of sampling and missing
and mismeasured data.