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.
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. ( Previous edition, 2001, ISBN: 9780262232197.)
Wooldridge’s textbook Web site
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.
Amemiya, Takeshi. Advanced Econometrics. Cambridge, MA: Harvard University Press, 1985. ISBN: 9780674005600.
van der Vaart, A. W. Asymptotic Statistics. Cambridge, UK: Cambridge University Press, 1998. ISBN: 9780521496032.
Supplementary Texts
Grilliches, Zvi, and Michael D. Intriligator. Handbook of Econometrics. Amsterdam, The Netherlands: North-Holland Publishing Co., 1994. ISBN: 9780444861887 (set).
Grilliches, Zvi. Handbook of Econometrics. Vol. 1. Amsterdam, The Netherlands: North-Holland Publishing Co., 1983. ISBN: 9780444861856.
Grilliches, Zvi, and Michael D. Intriligator. Handbook of Econometrics. Vol. 2. Amsterdam, The Netherlands: North-Holland Publishing Co., 1984. ISBN: 9780444861863.
———. Handbook of Econometrics. Vol. 3. Amsterdam, The Netherlands: North-Holland Publishing Co., 1986. ISBN: 9780444861870.
McFadden, Daniel, and Robert Engle. Handbook of Econometrics. Vol. 4. Amsterdam, The Netherlands: North-Holland Publishing Co., 1999. ISBN: 9780444887665.
Heckman, James J., and Edward E. Leamer. Handbook of Econometrics. Vol. 5. Amsterdam, The Netherlands: North-Holland Publishing Co., 2001. ISBN: 9780444823403.
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:
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:
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. ( Previous edition, 2001, ISBN: 9780262232197.)
Wooldridge textbook Web site
Supplementary Texts
Ruud, Paul A. An Introduction to Classical Econometric Theory. New York, NY: Oxford University Press, 2000. ISBN: 9780195111644.
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 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. (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 |
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 |
*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. *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 |
*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 |
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. 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 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. 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. (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. ( 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. 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. (PDF) Blomquist, S., and W. K. Newey. “Nonparametric Estimation with Nonlinear Budget Sets.” Econometrica 70 (2002): 2455-2480. |
