Econ 715- Econometrics Methods
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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 1-6 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 Non-Linear Least Squares Estimators," The Annals of Mathematical Statistics, 40, 633-643
Andrews, D. W. K., 1992, "Generic Uniform Convergence," Econometric Theory, 8, 241-257
Andrews, D. W. K., 1994, "Empirical Process Methods in Econometrics," in Handbook of Econometrics, Ch 37, 2247-2294
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, 2113-2245
White, H, 1982, "Maximum Likelihood Estimation of Misspecified Models," Econometrica, 50, 1-25
Chernozhukov, V, H. Hong and E. Tamer, 2007, "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, 75(5), 1243-1284
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, 2113-2245
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