ECON 589: Seminar in Econometric Theory.
Some Course Materials:
Note: Some of the material below refers to “ECO519”. It is the same material covered in ECON 589.
Notes on Convergence of Stochastic Processes (Pollard 1984)
Notes on Empirical Processes and Applications (Pollard 1990)
Some course slides (These do not include everything covered in the course, only a small portion of it)
Huber paper (Not covered in lecture due to time constraints. Seminal paper predating empirical process theory.)
Huber Handout (Old paper, predates Empirical Process theory but very useful to understand the intuition behind this theory. Used by Powell (1984) to derive the asymptotic distribution of the Censored LAD estimator.)
Powell (1984) (Original Paper)
Powell Censored LAD Handout (Note: This handout works out the asymptotic properties of the estimator using Huber's conditions. We did it in class using empirical process results and it greatly simplifies the arguments and proofs.)
Projection Theorem for U-Statistics (from Ahn and Powell (1993))
U-Processes, Maximal Inequalities and Maximum Rank Correlation Estimator (a compendium from Sherman’s papers in the list of readings)
Hall (1984) (Asymptotic normality for a class of degenerate U-processes)
Zheng (1996) (an application of Hall 1984 for consistent specification tests)
Pairwise-difference Estimation handout (based on Honore and Powell (2001))
A uniform linear representation results for kernel-weighed estimators (relevant for “generated regressors” asymptotics, compare it with Huber 1967 (linked above))
Practice Problem Sets:
These will not be turned in or graded. Only meant to serve as practice.
Old take-home final exams:
You will see some questions showing up repeatedly in the exams below. The reason being that so far nobody has answered those questions correctly.