Graduate Cross Section Econometrics

General Info

Discussion Section: Thursday from 5:00 to 6:30 pm, SSB 107. Office hour: Thursday from 6:30 to 7:00 pm, SSB 107.

Material

1. Basics of asymptotic theory: convergence theorems, asymptotic linear representation and delta method. Exercises on asymptotic of ratio of two estimators and Hodge’s estimator. (Slides)
2. Introduction to potential outcomes and some linear regression arithmetic: orthogonal projection, coefficient of determination and Frisch–Waugh–Lovell Theorem. (Slides)
3. Where is the OLS estimator converging to? Exogeneity vs uncorrelatedness vs linear projection. Introduction to bayesian inference and exercise on ridge regression. (Slides)
4. Midterm review: Q1 algebraic properties of OLS; Q2 asymptotic properties of empirical CDF estimator. (Slides)
5. Selection on observables. Inverse probability weighting, regression adjustment estimator and an exercise on propensity score and fat-tailed distributions. (Slides)
6. Practice final: asymptotics of moving average of order one, CLT for dependent data. (Test)
7. IV estimators and LATE: comparison MoM, Wald, TSLS and control function approach, LATE in Threshold Crossing Model. (Slides)
8. M-Estimation: general consistency theorem and uniform law of large numbers. Exercise on the estimation of a right-censored Poisson Survival model. (Slides)

Evaluation

Instructional Assistant Student Evaluation of Teaching available here.