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The aim of this course is to present micro-econometric models, including large sample theory for estimation. Topics such as hypothesis testing, generalized method of moments (GMM), estimation of censored and truncated specifications, quantile regression are covered in this course. Structural estimation, nonparametric and semi parametric estimation, treatment effects, panel data, simulation methods, and Bayesian methods will also be focused. The methods are illustrated with economic applications.


This course does not involve any written exams. Students need to answer 5 assignment questions to complete the course, the answers will be in the form of written work in pdf or word. Students can write the answers in their own time. Each answer needs to be 200 words (1 Page). Once the answers are submitted, the tutor will check and assess the work.


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Course Credit: MIT

Course Curriculum

Part A – Chernozhukov
Basic overview of some principal methods 00:30:00
Consistency for extremum estimators 00:40:00
Asymptotic distribution of extremum estimators 00:15:00
Asymptotic distribution of GMM nonlinear instrumental variables (IV) 00:20:00
Two-step estimators, efficiency, one-step estimators 00:15:00
Bootstrap and finite sample inference 00:05:00
Consistency and accuracy of bootstrap 00:05:00
An introduction to quantile methods 00:20:00
Quantile methods 2 equivariance, GMM for quantiles, endogenous models, empirical examples 00:25:00
Bayesian and quasi-Bayesian methods 00:30:00
Set estimation and inference in moment condition models 00:40:00
Part B – Newey
Generalized method of moments notes 00:20:00
GMM estimation and testing slides 00:40:00
GMM estimation and testing II slides 00:25:00
Nonparametric and semiparametric estimation notes 00:30:00
Nonparametric regression slides 00:30:00
Locally linear regression notes 00:05:00
Nonparametric and semiparametric estimation notes 2 00:30:00
Treatment effects notes 00:15:00
Treatment effects I slides 00:20:00
Treatment effects II slides 00:25:00
Nonlinear panel data slides 00:30:00
Demand estimation with imperfect competition slides 00:20:00
Submit Your Assignment 00:00:00
Certification 00:00:00

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