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UW Department of Economics > Xiaoxia shi >Teaching>econ715

 

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UW-Madison
Department of Economics

 

Econ 715- Econometrics Methods

Syllabus

Lecture 1|| 2 || 3 || 4 || 5 || 6 || 7 || 8 || 9 ||...

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

 

Lecture 5: Covariance Matrix Estimation and Optimal Weight Matrices

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

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

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: More on Inequality Testing and Moment Inequality Model

Readings:

Andrews and Soares, 2012, "Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection", Econometrica, 78(1), 119-157

 

Lecture 9: Local Power

Readings:

Macmanus, D. A., 1991, "Who Invented Local Power analysis," Econometric Theory, 7(2), 265-268

Nelson, F. D., and N. E. Savin, 1990, "The Danger of Extrapolating Asymptotic Local Power," Econometrica, 58(4), 977-981

 

Lecture 10: Bootstrap

Readings:

Horowitz, Joel L., 2001. "The Bootstrap,"Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier.

Bradley Efron and Gail Gong, 1983, "A Leisurely Look at the Bootstrap, the Jackknife, and Cross-Validation," The American Statistician, 37(1)

W. Hardle and E. Mammen, 1993, "Comparing Nonparametric Versus Parametric Regression Fits," The Annal of Statistics, 21(4)

Goncalves, Silvia & White, Halbert, 2005. "Bootstrap Standard Error Estimates for Linear Regression,"Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 970-979

Kline, Patrick and Santos, Andres, 2010 "A Score Based Approach to Wild Bootstrap Inference". NBER Working Paper No. w16127. Available at SSRN: http://ssrn.com/abstract=1630132

D. W. K. Andrews, 2000, "Inconsistency of the Bootstrap When a Parameter is on the Boundary of the Parameter Space," Econometrica, 68(2), 299-405

 

Lecture 11: Weak Instruments

Readings:

Staiger and Stock, 1997, "Instrumental Variables Regression with Weak Instruments," Econometrica, 65(3)

Stock and Yogo, 2005, "Testing for Weak Instrument in Linear IV Regression," IDENTIFICATION AND INFERENCE FOR ECONOMETRIC MODELS: ESSAYS IN HONOR OF THOMAS ROTHENBERG.

Andrews and Stock, 2005, "Inference with Weak Instruments," Cowles Foundation Discussion Paper No. 1530

Chao and Swanson, 2005, "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, 73(5)

Moreira, 2003, "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, 71(4)

 

 

 

 

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