| SES # | TOPICS | LECTURE NOTES |
|---|---|---|
| L1 | Methods for nonlinear models: maximum likelihood estimation (MLE), generalized method of moments (GMM), minimum distance, extremum | Basic overview of some principal methods (PDF) |
| L2-L5 | Large sample theory, asymptotic theory, discrete choice, censoring, and sample selection | Consistency for extremum estimators (PDF - 3.6 MB) Consistency (cont.) Asymptotic distribution of extremum estimators (PDF) Asymptotic distribution of GMM/nonlinear instrumental variables (IV) (PDF) Two-step estimators, efficiency, one-step estimators (PDF) |
| L6-L7 | Bootstrap, subsampling, and finite-sample methods | Bootstrap and finite sample inference (PDF) Consistency and accuracy of bootstrap (PDF) |
| L8-L9 | Quantile regression (QR) and distributional methods | An introduction to quantile methods (PDF) Quantile methods 2: equivariance, GMM for quantiles, endogenous models, empirical examples (PDF) |
| L10-L11 | Bayesian and quasi-Bayesian methods (from a classical view) | Bayesian and quasi-Bayesian methods (PDF) |
| L12 | Bounds and partial identification | Set estimation and inference in moment condition models (PDF) |
Table of Contents
Lecture Notes
Lecture Notes
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Part A – Chernozhukov
Part B – Newey
| SES # | TOPICS | LECTURE NOTES |
|---|---|---|
| L13-L14 | GMM: identification, estimation, testing, bias, selecting moments | Generalized method of moments notes (PDF) GMM estimation and testing slides (PDF) GMM estimation and testing II slides (PDF) |
| L15 | Weak and many instruments | |
| L16-L17 | Nonparametric estimation | Nonparametric and semiparametric estimation notes (PDF) Nonparametric regression slides (PDF) Locally linear regression notes (PDF) |
| L18-L19 | Semiparametric estimation | Nonparametric and semiparametric estimation notes (PDF) Semiparametric models and estimators slides (PDF) |
| L20 | Treatment effects | Treatment effects notes (PDF) Treatment effects I slides (PDF) Treatment effects II slides (PDF) |
| L21-L22 | Nonlinear models in panel data | Nonlinear panel data slides (PDF) |
| L23-L25 | Economic modeling and econometrics | Demand estimation with imperfect competition slides (PDF) |
References for Part A
Amemiya, Takeshi. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985. ISBN: 9780674005600.
Buchinsky, Moshe. "Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression." Econometrica 62, no. 2 (March 1994): 405-458.
Cameron, Adrian Colin, and Pravin K. Trivedi. Microeconometrics: Methods and Applications. New York, NY: Cambridge University Press, 2005. ISBN: 9780521848053.
Chernozhukov, Victor, and Han Hong. "An MCMC Approach to Classical Estimation." Journal of Econometrics 115, no. 2 (August 2003): 293-346.
DeGroot, Morris H., and Mark J. Schervish. Probability and Statistics. 3rd ed. Boston, Pearson Education, 2001. ISBN: 9780201524888.
Haile, Philip A., and Elie Tamer. "Inference with an Incomplete Model of English Auctions." Journal of Political Economy 111, no. 1 (February 2003): 1-51. (PDF)#
Hayashi, Fumio. Econometrics. Princeton, NJ: Princeton University Press, 2000. ISBN: 9780691010182.
Horowitz, Joel L. "The Bootstrap." In Handbook of Econometrics. Vol. 5. Edited by James J. Heckman and Edward E. Leamer. Amsterdam, The Netherlands: North-Holland Publishing Co., 2001, chapter 52, pp. 3159-3228. ISBN: 9780444823403.
Koenker, Roger, and Kevin F. Hallock. "Quantile Regression." The Journal of Economic Perspectives 15, no. 4 (2001): 143-156.
Newey, Whitney K., and Daniel McFadden. "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Vol. 4. Edited by Daniel McFadden and Robert Engle. Amsterdam, The Netherlands: Elsevier, North-Holland, 1999, chapter 36, pp. 2113-2245. ISBN: 9780444887665.
James L. Powell. "Least Absolute Deviations Estimation for the Censored Regression Model." Journal of Econometrics 25, no. 3 (July 1984): 303-325.
Ruud, Paul A. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000. ISBN: 9780195111644.
van der Vaart, A. W. Asymptotic Statistics. Cambridge, U. K.: Cambridge University Press, 1998. ISBN: 9780521496032.
Wooldridge, Jeffrey M. Econometric Analysis of Cross Section and Panel Data. 2nd ed. Cambridge, MA: MIT Press, 2008. ISBN: 9780262232586. ( Previous edition, 2001, ISBN: 9780262232197.)