ECON 681: Econometric Theory II

Winter 2011, Department of Economics, Concordia University 

Course Outline

GAUSS Resources

            Brief introduction to GAUSS Light 3.6

            GAUSS tutorial (SSRL, American University)

            Sample GAUSS Programs: ols_ex.txt (OLS estimation) and data, mle.txt (NLS and MLE estimation)

Topics

            Week 1: Parametric Estimation: M-Estimators and Maximum Likelihood        Appendix: Some Useful Definitions and Results from Statistical Theory

                   Newey, W., and D. McFadden (1994), Large Sample Estimation and Hypothesis Testing, Handbook of Econometrics, Vol.4, 2111-2245

            Week 2: Nonparametric Density and Regression Estimation

                  Härdle, W. and O. Linton (1994), Applied Nonparametric Methods, Chapter 38 in Handbook of Econometrics, Vol.4, 2295-2339

                  GAUSS Programs for Nonparametric Estimation: densest.txt (density estimation) and data, npreg.txt (nonparametric regression)

            Week 3: Nonparametric Maximum Likelihood: Empirical Likelihood and Adaptive Estimation

                  Kitamura, Y. (2006), Empirical Likelihood Methods in Econometrics: Theory and Practice, Cowles Foundation Discussion Paper No.1569
                  Imbens, G. (2002), Generalized Method of Moments and Empirical Likelihood, Journal of Business and Economic Statistics, 20, 493-506
                  Steigerwald, D. (2006), A Note on Adaptive Estimation, Working Paper, University of California, Santa Barbara

            Week 4: Robust Estimation: Quantile Regression for Continuous and Limited Dependent Variable Models

                  Koenker, R., and K.F. Hallock (2001), Quantile Regression, Journal of Economic Perspectives, 15, 143-156
                  Powell, J. (1994), Estimation of Semiparametric Models, Chapter 41 in Handbook of Econometrics, Vol. 4, 2443-2521.

            Week 5: Generalized Method of Moments (GMM)

                  JBES Twentieth Anniversary Issue on the Generalized Method of Moments
                  Hansen, L.P. (1982), Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, Vol. 50, 4, 1029-1054
                  Hansen, L.P. and K.J. Singleton (1982), Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica, Vol. 50, 5, 1269-1286
                  Hansen, L.P., Heaton, J., and A. Yaron (1996), Finite-Sample Properties of Some Alternative GMM Estimators, Journal of Business and Economic Statistics, Vol. 14, 3; 262-280

                  GAUSS program for GMM Estimation and data

            Week 6: Asymptotic Properties of GMM Estimator

                  Newey, W., and D. McFadden (1994), Large Sample Estimation and Hypothesis Testing, Handbook of Econometrics, Vol.4, 2111-2245
                  Stock, J.H., Wright, J.H., and M. Yogo (2002), A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments, Journal of Business and Economic Statistics, 20, 518-529
                  Chamberlain, G. (1987), Asymptotic Efficiency in Estimation with Conditional Moment Restrictions, Journal of Econometrics, 34, 305-334
                  Kitamura, Y., Tripathi, G., and H. Ahn (2004), Empirical Likelihood-Based Inference in Conditional Moment Restriction Models, Econometrica, 72, 1667-1714
                  Dominguez, M., and I. Lobato (2004), Consistent Estimation of Models Defined by Conditional Moment Restrictions, Econometrica, 72, 1601-1615

            Week 7: Inference in Moment Condition Models

                  Newey, W., and D. McFadden (1994), Large Sample Estimation and Hypothesis Testing, Handbook of Econometrics, Vol.4, 2111-2245

            Week 8: Simulation-Based Methods of Moments

                  Duffie, D., and K.J. Singleton (1993), Simulated Moments Estimation of Markov Models of Asset Prices, Econometrica, 61, 929-952
                  Gallant, R.A., and G. Tauchen (2001), Efficient Method of Moments, Working Paper, Duke University
                  Gourieroux, C., Monfort, A., and E. Renault (1993), Indirect Inference, Journal of Applied Econometrics, 8, S85-S118

            Week 9 (March 9): Midterm Exam

                  Previous Midterm Exams:
                                 Midterm Exam 2010
                                 Midterm Exam 2009
                                 Midterm Exam 2008
                  Solutions to Midterm Exam 2011

            Week 10: Panel Data GMM

                  Arellano, M., and B. Honoré (2001), Panel Data Models: Some Recent Developments, Handbook of Econometrics, Vol.5, 3229-3296, Working Paper
                  Chamberlain, G. (1984), Panel Data, Handbook of Econometrics, Vol.2, 1247-1318

            Week 11: Higher-Order Asymptotic Approximations

                  Rothenberg, T. (1984), Approximating the Distributions of Econometric Estimators and Test Statistics, Handbook of Econometrics, Vol.2, 881-935

            Week 12: Bootstrap Methods for Inference

                  Hall, P. (1994), Methodology and Theory for the Bootstrap, Chapter 39 in Handbook of Econometrics, Vol.4, 2341-2381
                  Horowitz, J. L. (2001), The Bootstrap, Chapter 52 in Handbook of Econometrics, Vol.5, 3159-3228

                  GAUSS program for Bootstrap Confidence Intervals

            Week 13: Review

Assignments