Econ 715 Econometrics Methods

Syllabus
Lecture 1 2 ...
Problem Set , Final Project
Lecture 1: Introductory Lecture
Readings: This lecture will be a review lecture of linear models learnt in the first year sequence courses. The best reading possible is your notes from the first year, or Chapters 16 of Professor Bruce Hansen's Econometrics manuscript, which can be found here: http://www.ssc.wisc.edu/~bhansen/econometrics/
Lecture 2: Asymptotic Theory
Readings: (Jennrich is relatively easy to read)
Jennrich, R. I., 1969, "Asymptotic Properties of NonLinear Least Squares Estimators," The Annals of Mathematical Statistics, 40, 633643
Andrews, D. W. K., 1992, "Generic Uniform Convergence," Econometric Theory, 8, 241257
Andrews, D. W. K., 1994, "Empirical Process Methods in Econometrics," in Handbook of Econometrics, Ch 37, 22472294
Lecture 3 continues: Consistency of Extremum Estimator  Also in Partially Identified Models
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing,"in Handbook of Econometrics. Ch 36, 21132245
White, H, 1982, "Maximum Likelihood Estimation of Misspecified Models," Econometrica, 50, 125
Chernozhukov, V, H. Hong and E. Tamer, 2007, "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, 75(5), 12431284
Lecture 4: Asymptotic Normality of Extremum Estimator
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Ch 36, 21132245
