**ECON 589:**** Seminar in Econometric Theory**.

**Andres Aradillas-Lopez**

**Some Course Materials:**

Preliminaries and Summary of Empirical Process Results

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.)

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

A general approach to the asymptotic properties of extremum estimators

U-Processes, Maximal Inequalities and Maximum Rank Correlation Estimator (a compendium from Sherman’s papers in the list of readings)

Zheng (1996) (an application of Hall 1984 for consistent specification tests)

Pairwise-difference Estimation handout (based on Honore and Powell (2001))

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.

**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.