Notes from the course *14.381 Statistical Method in Economics* (PDF)

Slides: GMM Estimation in Stata (PDF) (Courtesy of Ricardo Mora. Used with permission.)

Arellano, Manuel, and Jinyong Hahn. “Understanding Bias in Nonlinear Panel Models: Some Recent Developments.” (PDF) In *Advances in Economics and Econometrics, Ninth World Congress*. Edited by Richard Blundell, Whitney K. Newey, and Torsten Persson. Cambridge University Press, 2007. ASIN: B01F7YA3P0

Chamberlain, Gary. “Panel Data.” Chapter 22 In *Handbook of Econometrics, Volume II*. Edited by Z. Griliches and M.D Intriligator. Elsevier Science Publishers, 1984. pp. 1247–1318.

Fernández-Val, Iván, and Martin Weidner. “Individual and Time Effects in Nonlinear Panel Models with Large N, T.” *Journal of Econometrics* 192, no. 1 (May 2016): 291–312.

Newey, Whitney K. “Convergence Rates and Asymptotic Normality for Series Estimators.” *Journal of Econometrics* 79, no 1. (1997): 147–168.

— — —. “Efficient Estimation of Models with Conditional Moment Restrictions.” In *Handbook of Statistics, Volume 11.* Edited by G.S. Maddala, C.R. Rao, and H.D. Vinod. Elsevier Science Publishers, 1993.