14.385
Nonlinear Econometric Analysis
Develops a full understanding of and ability to apply micro-econometric models and methods. Topics include extremum estimators, including minimum distance and simulated moments, identification, partial identification, sensitivity analysis, many weak instruments, nonlinear panel data, de-biased machine learning, discrete choice models, nonparametric estimation, quantile regression, and treatment effects. Methods are illustrated with economic applications. Enrollment limited.
Fall 2007
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.
Readings
- 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.
- 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.
- 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)
- 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
- Pollard, David. “Asymptotics for Least Absolute Deviation Regression Estimators.” Econometric Theory 7, no. 2 (June 1991): 186-199.
- Cameron and Trivedi (2005), chapter 11
- 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.
- Wooldridge (2001), chapters 19-20
- Cameron and Trivedi (2005), chapters 19-20
- DeGroot and Schervish (2002), chapters 6-7
- Cameron and Trivedi (2005), chapters 12-13
- 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.
- 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.
- *Deaton, A. “Rice Prices and Income Distribution in Rural Thailand: A Nonparametric Analysis.” Economic Journal 99, no. 395 supplement (1989): 1-37.
- 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.
- 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.
- 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.
- Lancaster, T. “The Incidental Parameter Problem Since 1948.” Journal of Econometrics (2000): 391-413.
- *Hahn, J., and W. Newey. “Jacknife and Analytical Bias Reduction for Nonlinear Panel Data Models.” Econometrica 72 (2004): 1295-1319.
- *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.
- Blomquist, S., and W. K. Newey. “Nonparametric Estimation with Nonlinear Budget Sets.” Econometrica 70 (2002): 2455-2480.
Prerequisites & course information
Prereq: 14.382 or permission of instructor G (Fall) 5-0-7 units
Sources
- Course catalogue ↗2026–2027
- MIT OpenCourseWare ↗Fall 2007
- MIT OCW readings ↗
- MIT OCW syllabus ↗
- Historical MIT OpenCourseWare offering. Named reading entries and schedule topics are automatically extracted from the linked source pages.