Lecture Notes

Part A – Chernozhukov

L1 Methods for nonlinear models: maximum likelihood estimation (MLE), generalized method of moments (GMM), minimum distance, extremum Basic overview of some principal methods (PDF)
L2-L5 Large sample theory, asymptotic theory, discrete choice, censoring, and sample selection

Consistency for extremum estimators (PDF - 3.6 MB)

Consistency (cont.)

Asymptotic distribution of extremum estimators (PDF)

Asymptotic distribution of GMM/nonlinear instrumental variables (IV) (PDF)

Two-step estimators, efficiency, one-step estimators (PDF)

L6-L7 Bootstrap, subsampling, and finite-sample methods

Bootstrap and finite sample inference (PDF)

Consistency and accuracy of bootstrap (PDF)

L8-L9 Quantile regression (QR) and distributional methods

An introduction to quantile methods (PDF)

Quantile methods 2: equivariance, GMM for quantiles, endogenous models, empirical examples (PDF)

L10-L11 Bayesian and quasi-Bayesian methods (from a classical view) Bayesian and quasi-Bayesian methods (PDF)
L12 Bounds and partial identification Set estimation and inference in moment condition models (PDF)


Part B – Newey

L13-L14 GMM: identification, estimation, testing, bias, selecting moments

Generalized method of moments notes (PDF)

GMM estimation and testing slides (PDF)

GMM estimation and testing II slides (PDF)

L15 Weak and many instruments  
L16-L17 Nonparametric estimation

Nonparametric and semiparametric estimation notes (PDF)

Nonparametric regression slides (PDF)

Locally linear regression notes (PDF)

L18-L19 Semiparametric estimation

Nonparametric and semiparametric estimation notes (PDF)

Semiparametric models and estimators slides (PDF)

L20 Treatment effects

Treatment effects notes (PDF)

Treatment effects I slides (PDF)

Treatment effects II slides (PDF)

L21-L22 Nonlinear models in panel data Nonlinear panel data slides (PDF)
L23-L25 Economic modeling and econometrics Demand estimation with imperfect competition slides (PDF)


References for Part A

Buy at Amazon Amemiya, Takeshi. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985. ISBN: 9780674005600.

Buchinsky, Moshe. "Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression." Econometrica 62, no. 2 (March 1994): 405-458.

Buy at Amazon Cameron, Adrian Colin, and Pravin K. Trivedi. Microeconometrics: Methods and Applications. New York, NY: Cambridge University Press, 2005. ISBN: 9780521848053.

Chernozhukov, Victor, and Han Hong. "An MCMC Approach to Classical Estimation." Journal of Econometrics 115, no. 2 (August 2003): 293-346.

Buy at Amazon DeGroot, Morris H., and Mark J. Schervish. Probability and Statistics. 3rd ed. Boston, Pearson Education, 2001.

Haile, Philip A., and Elie Tamer. "Inference with an Incomplete Model of English Auctions." Journal of Political Economy 111, no. 1 (February 2003): 1-51. (This resource may not render correctly in a screen reader.PDF)

Buy at Amazon Hayashi, Fumio. Econometrics. Princeton, NJ: Princeton University Press, 2000. ISBN: 9780691010182.

Buy at Amazon Horowitz, Joel L. "The Bootstrap." In Handbook of Econometrics. Vol. 5. Edited by James J. Heckman and Edward E. Leamer. Amsterdam, The Netherlands: North-Holland Publishing Co., 2001, chapter 52, pp. 3159-3228. ISBN: 9780444823403.

Koenker, Roger, and Kevin F. Hallock. "Quantile Regression." The Journal of Economic Perspectives 15, no. 4 (2001): 143-156.

Buy at Amazon Newey, Whitney K., and Daniel McFadden. "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Vol. 4. Edited by Daniel McFadden and Robert Engle. Amsterdam, The Netherlands: Elsevier, North-Holland, 1999, chapter 36, pp. 2113-2245. ISBN: 9780444887665.

James L. Powell. "Least Absolute Deviations Estimation for the Censored Regression Model." Journal of Econometrics 25, no. 3 (July 1984): 303-325.

Buy at Amazon Ruud, Paul A. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000. ISBN: 9780195111644.

Buy at Amazon van der Vaart, A. W. Asymptotic Statistics. Cambridge, U. K.: Cambridge University Press, 1998. ISBN: 9780521496032.

Wooldridge, Jeffrey M. Econometric Analysis of Cross Section and Panel Data. 2nd ed. Cambridge, MA: MIT Press, 2008. ISBN: 9780262232586. (Buy at Amazon Previous edition, 2001, ISBN: 9780262232197.)