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Lecture Notes



Lecture Notes

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Part A – Chernozhukov



SES #TOPICSLECTURE NOTES
L1Methods for nonlinear models: maximum likelihood estimation (MLE), generalized method of moments (GMM), minimum distance, extremumBasic overview of some principal methods (PDF)
L2-L5Large 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-L7Bootstrap, subsampling, and finite-sample methods

Bootstrap and finite sample inference (PDF)

Consistency and accuracy of bootstrap (PDF)

L8-L9Quantile regression (QR) and distributional methods

An introduction to quantile methods (PDF)

Quantile methods 2: equivariance, GMM for quantiles, endogenous models, empirical examples (PDF)

L10-L11Bayesian and quasi-Bayesian methods (from a classical view)Bayesian and quasi-Bayesian methods (PDF)
L12Bounds and partial identificationSet estimation and inference in moment condition models (PDF)



Part B – Newey



SES #TOPICSLECTURE NOTES
L13-L14GMM: 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)

L15Weak and many instruments
L16-L17Nonparametric estimation

Nonparametric and semiparametric estimation notes (PDF)

Nonparametric regression slides (PDF)

Locally linear regression notes (PDF)

L18-L19Semiparametric estimation

Nonparametric and semiparametric estimation notes (PDF)

Semiparametric models and estimators slides (PDF)

L20Treatment effects

Treatment effects notes (PDF)

Treatment effects I slides (PDF)

Treatment effects II slides (PDF)

L21-L22Nonlinear models in panel dataNonlinear panel data slides (PDF)
L23-L25Economic modeling and econometricsDemand estimation with imperfect competition slides (PDF)



References for Part A


Amazon logo 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.

Amazon logo 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.

Amazon logo 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)#

Amazon logo Hayashi, Fumio. Econometrics. Princeton, NJ: Princeton University Press, 2000. ISBN: 9780691010182.

Amazon logo 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.

Amazon logo 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.

Amazon logo Ruud, Paul A. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000. ISBN: 9780195111644.

Amazon logo 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. (Amazon logo Previous edition, 2001, ISBN: 9780262232197.)


 








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