Nonlinear econometric analysis

Lectures: 2 sessions / week, 1.5 hours / session

Recitations: 1 session / week, 1.5 hours / session

This course presents micro-econometric models, including large sample theory for estimation and hypothesis testing, generalized method of moments (GMM), estimation of censored and truncated specifications, quantile regression, structural estimation, nonparametric and semiparametric estimation, treatment effects, panel data, bootstrapping, simulation methods, and Bayesian methods. The methods are illustrated with economic applications.

The first half of the course (Part A) is taught by Prof. Chernozhukov, while the second half (Part B) is taught by Prof. Newey.

The prerequisites include 14.382 Econometrics or permission of the instructor.

Please see the readings.

The grades for each part count equally towards the final grade.

The following three articles are referenced in the Recitation topics. Articles that pertain to lecture topics can be found in the readings.

Ahn, H., and J. L. Powell. "Semiparametric Estimation of Censored Selection Models with a Nonparametric Selection Mechanism." Journal of Econometrics 58 (1993): 3-29.

Autor, D., L. F. Katz, and M. S. Kearney. "Rising Wage Inequality: The Role of Composition and Prices." National Bureau of Economic Research (NBER) Working Paper No. 11628 (August 2005): 1-65.

Chernozhukov, V., and H. Hong. "Three-step Censored Quantile Regression and Extramarital Affairs." Journal of the American Statistical Association 97, no. 459 (September 2002): 872-882.

The calendar below provides information on the course's lecture (L) and Recitation (R) sessions. Part A consists of sessions L1-L12, while Part B consists of sessions L13-L25.

Problem set A-1 due

Problem set A-2 out

Problem set A-3 out

Midterm exam two days after Ses #L12

Problem set B-1 due

Problem set B-2 out one day after Ses #L17

Problem set B-3 due

Final exam seven days after Ses #L25

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