Econ 715: Econometric Theory I, Part I, Fall 2019

Course Time: Mondays and Wednesdays, 11:00 – 12:15. Sterling 1339

Instructor: Bruce Hansen, 6438 Social Science.

Office Hours: Thursdays 10:00-11:45, or by appointment.

Professor Hansen will teach the first half of the semester.

Professor Porter will teach the second half of the semester.

The course prerequisite is Econ 710 or consent of instructor.

This course is intended for second-year PhD students in economics who are either taking the econometrics field or who want to deepen their understanding of econometric methods. While Econ 710 focused primarily on linear econometric methods, Econ 715 will primarily focus on nonlinear econometric methods.

There is no textbook. However, the first half of the course will be largely based on the following Handbook chapter: Whitney Newey and Daniel McFadden, (1994) “Large sample estimation and hypothesis testing,” in Handbook of Econometrics, IV, ch 36.

There will be assignments, roughly every 2^nd or 3^rd week, which will involve problem solving and computer work. There will be no exams. The computer work will require nonlinear optimization, and can be done in either Matlab or R.

For background material, we recommend the first-year textbook

Topics and Readings for first half of semester

Note: Links are provided for journal articles. They will only work if you have university library access.

1. Extremum Estimators: NLLS, MLE, QMLE, Quantile Regression, GMM, Two-Step Estimators, Minimum Distance

a. Hal White, (1982) “Maximum likelihood estimation of misspecified models”, Econometrica, 50, 1-25.

b. Chernozhukov, Angrist, Fernandez-Val (2006) “Quantile regression under misspecification and the U.S. wage structure,” Econometrica, 74, 539-563.

2. Consistency

a. Whitney Newey and Daniel McFadden, (1994) “Large sample estimation and hypothesis testing,” in Handbook of Econometrics, IV, ch 36.

b. Donald W.K. Andrews (1992) “Generic uniform convergence” Econometric Theory, 8, 241-257

c. Whitney Newey (1991) “Uniform convergence in probability and stochastic equicontinuity,” Econometrica, 59, 1161-1167.

d. Chernozhukov, Hong and Tamer (2007) “Estimation and confidence regions for parameter sets in econometric models,” Econometrica 75, 1243-1284

3. Asymptotic Normality – smooth case

a. Whitney Newey and Daniel McFadden, (1994) “Large sample estimation and hypothesis testing,” in Handbook of Econometrics, IV, ch 36.

4. Empirical Process Theory

a. Donald W.K. Andrews (1994) “Empirical process methods in econometrics”, in Handbook of Econometrics, IV, ch 37.

b. David Pollard (1990) Empirical Processes: Theory and Applications.

5. Asymptotic Normality – nonsmooth case

a. Whitney Newey and Daniel McFadden, (1994) “Large sample estimation and hypothesis testing,” in Handbook of Econometrics, IV, ch 36.

6. Generalized Method of Moments

a. Lars Hansen (1982) “Large sample properties of generalized method of moments estimators,” Econometrica, 50, 1029-1054.

b. Alastair Hall and Atsushi Inoue (2003) “The large sample behavior of the generalized method of moments estimator in misspecified models,” Journal of Econometrics, 114, 361-394.

7. Two-Step Estimators

a. Adrian Pagan (1984) “Econometric issues in the analysis of regressions with generated regressors,” International Economic Review, 25, 221-247.

b. Adrian Pagan (1986) “Two stage and related estimators and their application,” Review of Economic Studies, 53, 517-538.

c. Whitney Newey and Daniel McFadden, (1994) “Large sample estimation and hypothesis testing,” in Handbook of Econometrics, IV, ch 36.

d. Jinyong Hahn and Geert Ridder (2013) “Asymptotic variance of semiparametric estimators with generated regressors” Econometrica, 81, 315-340.

8. Method of Simulated Moments

a. Christian Gourieroux and Alain Monfort, (1996) Simulation-Based Econometric Methods, Oxford University Press.

b. Daniel McFadden (1989) “A method of simulated moments for estimation of discrete response models without numerical simulation,” Econometrica 57, 995-1026.

c. Ariel Pakes and David Pollard (1989) “Simulation and the asymptotics of optimization estimators,” Econometrica, 57, 1027-1057.

9. Indirect Inference

a. Christian Gourieroux and Alain Monfort, (1996) Simulation-Based Econometric Methods, Oxford University Press.

b. Christian Gourieroux, Alain Monfort, and Eric Renault, (1993) “Indirect inference,” Journal of Applied Econometrics, 8, 85-118.

c. Ron Gallant and George Tauchen (1996) “Which moments to match?” Econometric Theory, 12, 657-681.