## Part A – Chernozhukov

Lecture notes files. SES # | TOPICS | LECTURE NOTES |

L1 | Methods for nonlinear models: maximum likelihood estimation (MLE), generalized method of moments (GMM), minimum distance, extremum | Basic overview of some principal methods (PDF) |

L2-L5 | Large sample theory, asymptotic theory, discrete choice, censoring, and sample selection | Consistency for extremum estimators (PDF - 3.6 MB) Consistency (cont.) Asymptotic distribution of extremum estimators (PDF) Asymptotic distribution of GMM/nonlinear instrumental variables (IV) (PDF) Two-step estimators, efficiency, one-step estimators (PDF) |

L6-L7 | Bootstrap, subsampling, and finite-sample methods | Bootstrap and finite sample inference (PDF) Consistency and accuracy of bootstrap (PDF) |

L8-L9 | Quantile regression (QR) and distributional methods | An introduction to quantile methods (PDF) Quantile methods 2: equivariance, GMM for quantiles, endogenous models, empirical examples (PDF) |

L10-L11 | Bayesian and quasi-Bayesian methods (from a classical view) | Bayesian and quasi-Bayesian methods (PDF) |

L12 | Bounds and partial identification | Set estimation and inference in moment condition models (PDF) |

## Part B – Newey

Lecture notes files. SES # | TOPICS | LECTURE NOTES |

L13-L14 | GMM: identification, estimation, testing, bias, selecting moments | Generalized method of moments notes (PDF) GMM estimation and testing slides (PDF) GMM estimation and testing II slides (PDF) |

L15 | Weak and many instruments | |

L16-L17 | Nonparametric estimation | Nonparametric and semiparametric estimation notes (PDF) Nonparametric regression slides (PDF) Locally linear regression notes (PDF) |

L18-L19 | Semiparametric estimation | Nonparametric and semiparametric estimation notes (PDF) Semiparametric models and estimators slides (PDF) |

L20 | Treatment effects | Treatment effects notes (PDF) Treatment effects I slides (PDF) Treatment effects II slides (PDF) |

L21-L22 | Nonlinear models in panel data | Nonlinear panel data slides (PDF) |

L23-L25 | Economic modeling and econometrics | Demand estimation with imperfect competition slides (PDF) |

## References for Part A

Amemiya, Takeshi. *Advanced Econometrics*. Cambridge, MA: Harvard University Press, 1985. ISBN: 9780674005600.

Buchinsky, Moshe. "Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression." *Econometrica* 62, no. 2 (March 1994): 405-458.

Cameron, Adrian Colin, and Pravin K. Trivedi. *Microeconometrics: Methods and Applications*. New York, NY: Cambridge University Press, 2005. ISBN: 9780521848053.

Chernozhukov, Victor, and Han Hong. "An MCMC Approach to Classical Estimation." *Journal of Econometrics* 115, no. 2 (August 2003): 293-346.

DeGroot, Morris H., and Mark J. Schervish. *Probability and Statistics*. 3rd ed. Boston, Pearson Education, 2001.

Haile, Philip A., and Elie Tamer. "Inference with an Incomplete Model of English Auctions." *Journal of Political Economy* 111, no. 1 (February 2003): 1-51. ( PDF)

Hayashi, Fumio. *Econometrics*. Princeton, NJ: Princeton University Press, 2000. ISBN: 9780691010182.

Horowitz, Joel L. "The Bootstrap." In *Handbook of Econometrics*. Vol. 5. Edited by James J. Heckman and Edward E. Leamer. Amsterdam, The Netherlands: North-Holland Publishing Co., 2001, chapter 52, pp. 3159-3228. ISBN: 9780444823403.

Koenker, Roger, and Kevin F. Hallock. "Quantile Regression." *The Journal of Economic Perspectives* 15, no. 4 (2001): 143-156.

Newey, Whitney K., and Daniel McFadden. "Large Sample Estimation and Hypothesis Testing." In *Handbook of Econometrics*. Vol. 4. Edited by Daniel McFadden and Robert Engle. Amsterdam, The Netherlands: Elsevier, North-Holland, 1999, chapter 36, pp. 2113-2245. ISBN: 9780444887665.

James L. Powell. "Least Absolute Deviations Estimation for the Censored Regression Model." *Journal of Econometrics* 25, no. 3 (July 1984): 303-325.

Ruud, Paul A. *An Introduction to Classical Econometric Theory*. New York, NY: Oxford University Press, 2000. ISBN: 9780195111644.

van der Vaart, A. W. *Asymptotic Statistics*. Cambridge, U. K.: Cambridge University Press, 1998. ISBN: 9780521496032.

Wooldridge, Jeffrey M. *Econometric Analysis of Cross Section and Panel Data*. 2nd ed. Cambridge, MA: MIT Press, 2008. ISBN: 9780262232586. ( Previous edition, 2001, ISBN: 9780262232197.)