Econ 715- Econometrics Methods
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Syllabus
Lecture 1|| 2 || 3 || 3.2 || 4 || 4.2 || 5 || 6 || 7 || 8 || 9 || 10 || 11 || 12 || 13 || 14 || 15 ||...
Problem Set , Final Project
Lecture 1: Introductory Lecture 9/2
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 9/7
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: Consistency of Extremum Estimator -- Theory 9/9
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing,"in Handbook of Econometrics. Ch 36, 2113-2245
Lecture 3 continues: Consistency of Extremum Estimator -- Examples 9/14
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
Lecture 4: Asymptotic Normality of Extremum Estimator 9/16
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Ch 36, 2113-2245
Lecture 4.2: Asymptotic Normality of Extremum Estimator 9/21
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Ch 36, 2113-2245
Lecture 5: Covariance Matrix Estimation and Optimal Weight Matrices 9/23
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Ch 36, 2113-2245
Lecture 6: Testing Nonlinear Hypotheses 9/28
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Ch 36, 2113-2245
Lecture 7: Nonlinear Inequality Restrictions 9/30
Readings:
Gouriéroux, C., A. Holly and A. Monfort, 1982 "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters" Econometrica, 50, 63-80
Wolak, F. A., 1991, "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, 59, 981-995
Lecture 8: Local Power 10/5
Lecture 9: Local Power-Examples 10/7
Lecture 10: Empirical Likelihood 10/12
Readings:
Qin, J., and J. Lawless, 1994, "Empirical Likelihood and Generalized Estimating Equations," Annal of Statistics, 22(1), 300-325
Imbens, G. W., 1997, "One-Step Estimator for Over-Identified Generalized Methods of Moment Models," Review of Economic Studies, 64(3), 359-383
Kitamura, Y, and M. Stutzer, 1997, "'An information theoretic alternative to generalized method of moments estimation," Econometrica, 65(4), 861-874
(Survey) Imbens, 2002, "Generalized Method of Moments and Empirical Likelihood," Journal of Business and Economic Statistics, 20(4), 493-506
Lecture 10.2: Empirical Likelihood Continue 10/14
Readings:
Same as above
Lecture 11: Empirical Likelihood Optimality 10/19
Readings:
Newey, W. and R. Smith, 2004, "Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators," Econometrica, 72(1), 219-255
Schennach, S. M., 2007, "Point Estimation with Exponentially Tilted Empirical Likelihood," Annals of Statistics, 35(2), 634-672.
Chausse, P., 2010, "Computing Generalized Method of Moments and Generalized Empirical Likelihood with R," unpublished manuscript.
Mittelhammer, R. C., G. G. Judge, and R. Schoenberg, 2003, "Empirical Evidence Concerning the Finite Sample Performance of EL-type Structural Equation Estimation and Inference Methods," unpublished manuscript, University of California - Berkeley.
Guggenberger, P., 2008, "Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator," Econometric Reviews, 26(4-6), 526-541.
Lecture 12: Bootstrap - Preparation 11/2
Readings:
Horowitz, J. 2001, "The Bootstrap in Econometrics," in Handbook of Econometrics, Vol. 5, J.J. Heckman and E.E. Leamer, eds., Elsevier Science B.V., 2001, Ch. 52, pp. 3159-3228.
Lecture 13: Bootstrap Introduction 11/4 Matlab program
Lecture 14: Bootstrap Tests and Confidence Intervals 11/9
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