ECON 681: Econometric Theory II

Winter 2010, 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

                   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: Midterm Exam

            Week 9: 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 10: Panel GMM

            Week 11: Higher-Order Asymptotic Approximations

            Week 12: Bootstrap Methods for Inference

            Week 13: Review

Assignments