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 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
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, 21132245
Lecture 6: Testing Nonlinear Hypotheses
Readings:
Newey, W. K., and D. McFadden "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Ch 36, 21132245
Lecture 7: Nonlinear Inequality Restrictions
Readings:
Gouriéroux, C., A. Holly and A. Monfort, 1982 "Likelihood Ratio Test, Wald Test, and KuhnTucker Test in Linear Models with Inequality Constraints on the Regression Parameters" Econometrica, 50, 6380
Wolak, F. A., 1991, "The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models," Econometrica, 59, 981995
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), 119157
Lecture 9: Local Power
Readings:
Macmanus, D. A., 1991, "Who Invented Local Power analysis," Econometric Theory, 7(2), 265268
Nelson, F. D., and N. E. Savin, 1990, "The Danger of Extrapolating Asymptotic Local Power," Econometrica, 58(4), 977981
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 31593228 Elsevier.
Bradley Efron and Gail Gong, 1983, "A Leisurely Look at the Bootstrap, the Jackknife, and CrossValidation," 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 970979
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), 299405
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)
