ECON 589: Seminar in Econometric Theory.

Andres Aradillas-Lopez

 

Some Course Materials:

 

Note: Some of the material below refers to “ECO519”. It is the same material covered in ECON 589.

 

Preliminaries and Summary of Empirical Process Results

Notes on Convergence of Stochastic Processes (Pollard 1984)

Notes on Empirical Processes and Applications (Pollard 1990)

 

Notes on Andrews Handbook Chapter on Empirical Processes

 

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.)

 

Newey-McFadden Handout

Quantile-regression handout

Honore (1992) trimmed LAD handout Link to paper: http://www.jstor.org/stable/2951583

A general approach to the asymptotic properties of extremum estimators

Maximum Score handout

Hoeffding decomposition and variance properties of U-Statistics

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 regressorsasymptotics, compare it with Huber 1967 (linked above))

Partially Identified Models handout

 

Strategic Interaction Econometric Models handout

 

Practice Problem Sets:

These will not be turned in or graded. Only meant to serve as practice.

Problem Set 1

 

Problem Set 2

 

Problem Set 3

 

 

 

 

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.

 

Take Home 1

 

Take Home 2

 

Take Home 3

 

Take Home 4