Readings

Texts

Part A – Chernozhukov

Any of the books listed below would be a good reference for the course. They are listed roughly by their relative position in the applied to theoretical continuum. The last two are essential for anyone who plans to specialize in econometric theory.

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

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

Wooldridge's textbook Web site

Buy at Amazon 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.

Buy at Amazon Amemiya, Takeshi. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985. ISBN: 9780674005600.

Buy at Amazon van der Vaart, A. W. Asymptotic Statistics. Cambridge, UK: Cambridge University Press, 1998. ISBN: 9780521496032.

Supplementary Texts

Buy at Amazon Grilliches, Zvi, and Michael D. Intriligator. Handbook of Econometrics. Amsterdam, The Netherlands: North-Holland Publishing Co., 1994. ISBN: 9780444861887 (set).

Buy at Amazon Grilliches, Zvi. Handbook of Econometrics. Vol. 1. Amsterdam, The Netherlands: North-Holland Publishing Co., 1983. ISBN: 9780444861856.

Buy at Amazon Grilliches, Zvi, and Michael D. Intriligator. Handbook of Econometrics. Vol. 2. Amsterdam, The Netherlands: North-Holland Publishing Co., 1984. ISBN: 9780444861863.

Buy at Amazon ———. Handbook of Econometrics. Vol. 3. Amsterdam, The Netherlands: North-Holland Publishing Co., 1986. ISBN: 9780444861870.

Buy at Amazon McFadden, Daniel, and Robert Engle. Handbook of Econometrics. Vol. 4. Amsterdam, The Netherlands: North-Holland Publishing Co., 1999. ISBN: 9780444887665.

Buy at Amazon Heckman, James J., and Edward E. Leamer. Handbook of Econometrics. Vol. 5. Amsterdam, The Netherlands: North-Holland Publishing Co., 2001. ISBN: 9780444823403.

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

A useful introduction to Bayesian statistics is provided by:

Buy at Amazon DeGroot, Morris H., and Mark J. Schervish. Probability and Statistics. 3rd ed. Boston, MA: Addison Wesley, 2001.

A nice text with a GMM-centered approach:

Buy at Amazon Hayashi, Fumio. Econometrics. Princeton, NJ: Princeton University Press, 2000. ISBN: 9780691010182.

Part B – Newey

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

Wooldridge textbook Web site

Supplementary Texts

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

Buy at Amazon Grilliches, Zvi, and Michael D. Intriligator. Handbook of Econometrics. Amsterdam, The Netherlands: North-Holland Publishing Co., 1994. ISBN: 9780444861887 (set).

Readings by Session

Part A – Chernozhukov

SES # TOPICS READINGS
L1 Methods for nonlinear models: maximum likelihood estimation (MLE), generalized method of moments (GMM), minimum distance, extremum

Newey and McFadden (1994), abstract and section 1

Cameron and Trivedi (2005), chapter 5 and section 6.3 (skim for general understanding)

Wooldridge (2001), chapters 12-14 (skim for general understanding)

L2-L5 Large sample theory, asymptotic theory, discrete choice, censoring, and sample selection

Newey and McFadden (1994), sections 2.1-2.5, 3.1-3.4, 4, and 5.1-5.2

Wooldridge (2001), chapters 12.1-12.7, 13.1-13.6, and 14 (all)

Cameron and Trivedi (2005), chapter 5, section 6.3, chapters 14-16

Wooldridge (2001), chapters 15-17

Cameron and Trivedi (2005), chapters 14-16

Buy at Amazon Andrews, Donald W. K. "Empirical Process Methods in Econometrics." In Handbook of Econometrics. Vol. 4. Edited by Daniel McFadden and Robert Engle. Amsterdam, The Netherlands: North-Holland Publishing Co., 1999, chapter 37, pp. 2247-2294. ISBN: 9780444887665.

Knight, Keith. "Epi-Convergence in Distribution and Stochastic Equi-semicontinuity."

Koenker, Roger, and Jungmo Yoon. "Parametric Links for Binary Choice Models." Working Paper, Department of Economics, University of Illinois, Urbana-Champaign, 2006. (This resource may not render correctly in a screen reader.PDF)

Pollard, David. "Asymptotics for Least Absolute Deviation Regression Estimators." Econometric Theory 7, no. 2 (June 1991): 186-199.

L6-L7 Bootstrap, subsampling, and finite-sample methods

Buy at Amazon 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.

Cameron and Trivedi (2005), chapter 11

L8-L9 Quantile regression (QR) and distributional methods

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

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

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

Wooldridge (2001), chapters 19-20

Cameron and Trivedi (2005), chapters 19-20

L10-L11 Bayesian and quasi-Bayesian methods (from a Classical view)

DeGroot and Schervish (2002), chapters 6-7

Cameron and Trivedi (2005), chapters 12-13

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

L12 Bounds and partial identification 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.

 

Part B – Newey

*Required reading

SES # TOPICS READINGS
L13-L14 GMM: identification, estimation, testing, bias, selecting moments

Buy at Amazon *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.

Hansen, L. P. "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica 50 (1982): 1029-1054.

Hansen, L. P., and K. J. Singleton. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Econometrica 50 (1982): 1269-1286.

*Newey, W. K. "Generalized Method of Moments Specification Testing." Journal of Econometrics 29 (1985): 229-256.

*Newey, W. K., and K. D. West. "Hypothesis Testing with Efficient Method of Moments Estimation." International Economic Review 28 (1987): 777-787.

Chamberlain, G. "Asymptotic Efficiency in Estimation with Conditional Moment Restrictions." Journal of Econometrics 34 (1987): 305-334.

Altonji, J., and L. M. Segal. "Small Sample Bias in GMM Estimation of Covariance Structures." Journal of Economic and Business Statistics 14 (1996): 353-366.

Hansen, L. P., J. Heaton, and A. Yaron. "Finite-Sample Properties of Some Alternative GMM Estimators." Journal of Business and Economic Statistics 14 (1996): 262-280.

*Newey, W. K., and R. J. Smith. "Higher-Order Properties of GMM and Generalized Empirical Likelihood Estimators." Econometrica 72 (2004): 219-255.

*Donald, S. G., and W. K. Newey. "Choosing the Number of Instruments." Econometrica 69 (2001): 1161-1191.

Donald, S. G., G. Imbens, and W. K. Newey. "Choosing Instruments in Conditional Moment Restriction Models." Working Paper, Department of Economics, Massachusetts Institute of Technology, 2007.

L15 Weak and many instruments

Staiger, D., and J. Stock. "Instrumental Variables Regression with Weak Instruments." Econometrica 65 (1997): 57-586.

*Kleibergen, F. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression." Econometrica 70 (2002): 1781-1803.

Moreira, M. "A Conditional Likelihood Ratio Test for Structural Models." Econometrica 71 (2003): 1027-1048.

Buy at Amazon *Andrews, D. W. K., and J. H. Stock. "Inference with Weak Instruments." In Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress. Vol. 3. Edited by Richard Blundell, Whitney K. Newey, and Torsten Persson. New York, NY: Cambridge University Press, 2007. ISBN: 9780521871549.

Bekker, P. A. "Alternative Approximations to the Distributions of Instrumental Variables Estimators." Econometrica 63 (1994): 657-681.

Chao, J. C., and N. R. Swanson. "Consistent Estimation With a Large Number of Weak Instruments." Econometrica 73 (2005): 1673-692.

*Hansen, C., J. A. Hausman, and W. K. Newey. "Estimation with Many Instrumental Variables." Forthcoming in the Journal of Business and Economic Statistics.

Stock, J., and J. Wright. "GMM With Weak Identification." Econometrica 68 (2000): 1055-1096.

Kleibergen, F. "Testing Parameters in GMM Without Assuming They are Identified." Econometrica 73 (2005): 1103-1123.

Newey, W. K., and F. Windmeijer. "GMM Estimation with Many Weak Moment Conditions." Working Paper, Department of Economics, Massachusetts Institute of Technology, 2007.

*Hausman, J. A., W. K. Newey, T. Woutersen, J. Chao, and N. Swanson. "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments." Working Paper, Department of Economics, Massachusetts Institute of Technology, 2007.

*Imbens, Guido, and Jeffrey Wooldridge. "Weak Instruments and Many Instruments." Lecture 13, August 1, 2007, Summer Institute 2007: What's New in Econometrics, National Bureau of Economic Research, Cambridge, MA, July 30 - August 1, 2007.

L16-L17 Nonparametric estimation

Buy at Amazon *Hardle, W., and O. Linton. "Applied Nonparametric Methods." In Handbook of Econometrics. Vol. 4. Edited by Daniel McFadden and Robert Engle. Amsterdam, The Netherlands: North-Holland Publishing Co., 1999, chapter 38, pp. 2296-2239. ISBN: 9780444887665.

*Deaton, A. "Rice Prices and Income Distribution in Rural Thailand: A Nonparametric Analysis." Economic Journal 99, no. 395 supplement (1989): 1-37.

*Imbens, Guido, and Jeffrey Wooldridge. "Regression Discontinuity Designs." Lecture 3, July 30, 2007, Summer Institute 2007: What's New in Econometrics, National Bureau of Economic Research, Cambridge, MA, July 30 - August 1, 2007.

Newey, W. K. "Kernel Estimation of Partial Means and a General Variance Estimator." Econometric Theory 10 (1994): 233-253.

———. "Convergence Rates and Asymptotic Normality for Series Estimators." Journal of Econometrics 79 (1997): 147-168.

L18-L19 Semiparametric estimation

Buy at Amazon Powell, James. "Estimation of Semiparametric Models." In Handbook of Econometrics. Vol. 4. Edited by Daniel McFadden and Robert Engle. Amsterdam, The Netherlands: North-Holland Publishing Co., 1999, chapter 41, pp. 2443-2521. ISBN: 9780444887665.

Hausman, J., and W. K. Newey. "Nonparametric Estimation of Exact Consumer Surplus and Deadweight Loss." Econometrica 63, no. 6 (November 1995): 1445-1476.

Newey, W. K. "Asymptotic Variance of Semiparametric Estimators." Econometrica 62 (1994): 1349-1382.

Buy at Amazon 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.

L20 Treatment effects

Wooldridge, chapter 18

Imbens, G. W., and J. D. Angrist. "Identification and Estimation of Local Average Treatment Effects." Econometrica 62, no. 2 (March 1994): 467-475.

J. D. Angrist, G. W. Imbens, and D. Rubin. "Identification of Causal Effects Using Instrumental Variables." Journal of the American Statistical Association 91, no. 434 (June 1996): 444-455.

L21-L22 Nonlinear models in panel data

Wooldridge, section 13.9

Buy at Amazon Chamberlain, Gary. "Panel Data." In Handbook of Econometrics. Vol. 2. Edited by Zvi Grilliches and Michael D. Intriligator. Amsterdam, The Netherlands: North-Holland Publishing Co., 1984, chapter 22, pp. 1247-1318. ISBN: 9780444861863.

Lancaster, T. "The Incidental Parameter Problem Since 1948." Journal of Econometrics (2000): 391-413.

Buy at Amazon Arellano, Manuel, and Bo Honoré. "Panel Data Models: Some Recent Developments." In Handbook of Econometrics. Vol. 5. Edited by James J. Heckman and Edward E. Leamer. Amsterdam, The Netherlands: North-Holland Publishing Co., 2001, chapter 53, pp. 3229-3296. ISBN: 9780444823403.

*Hahn, J., and W. Newey. "Jacknife and Analytical Bias Reduction for Nonlinear Panel Data Models." Econometrica 72 (2004): 1295-1319.

Honoré, B.E., and E. Tamer. "Bounds on Parameters in Dynamic Discrete Choice Models." Econometrica 74, no. 3 (May 2006): 611-629. (This resource may not render correctly in a screen reader.PDF)

L23-L25 Economic modeling and econometrics

* 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. (This resource may not render correctly in a screen reader. PDF)

*Berry, S., J. Levinsohn, and A. Pakes. "Automobile Prices in Market Equilibrium." Econometrica 63 (1995): 841-890.

Nevo, A. "Measuring Market Power in the Ready to Eat Breakfast Cereal Industry." Econometrica 69 (2001): 307-342.

Hausman, J. A., and G. Leonard. "The Competitive Effects of a New Product Introduction: A Case Study." Journal of Industrial Economics 50, no. 3 (2002): 237-263.

Buy at Amazon Ackerberg, Daniel, C. Lanier Benkard, Steven Berry, and Ariel Pakes. "Econometric Tools for Analyzing Market Outcomes." In Handbook of Econometrics. Vol. 6. Part 1. Edited by James J. Heckman and Edward E. Leamer. Amsterdam, The Netherlands: North-Holland Publishing Co., 2005, chapter 63, pp. 4171-4276. ISBN: 9780444506313. (This resource may not render correctly in a screen reader.PDF)

Blomquist, S., and W. K. Newey. "Nonparametric Estimation with Nonlinear Budget Sets." Econometrica 70 (2002): 2455-2480.