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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.
Assessment
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.
Certification
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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 | ||
| Assessment | |||
| Submit Your Assignment | 00:00:00 | ||
| Certification | 00:00:00 | ||
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