Final Lecture 507
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Final Remarks Walter Sosa-Escudero Econ 507. Econometric Analysis. Spring 2009 May 7, 2009 Walter Sosa-Escudero Final Remarks
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Transcript of Final Lecture 507
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Final Remarks
Walter Sosa-Escudero
Econ 507. Econometric Analysis. Spring 2009
May 7, 2009
Walter Sosa-Escudero Final Remarks
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This course
Provides background for other courses in the econometricssequence.
Motivates the optimal use of econometric tools for appliedanalysis.
Emphasizes econometric theory as a way of thinking aboutthe appropiate use of econometric tools.
Presents some relevant applications.
Walter Sosa-Escudero Final Remarks
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More specifically
Stresses the distinctions between models (the linear model,non-linear models, interactive, log linear, probits, etc.) and itsestimation strategies (OLS, GLS, IVs, GMM, MLE, NLS,etc.).
Serves as an introduction to the paradigm of asymptoticproperties: consistency as a basic-crude property, asymptoticnormality as a way to performe inference and obtain ameasure of imprecision (the asymptotic variance).
Efficiency as a relative concept: efficiency statements aremade relative to a probabilistic structure (the classicalassumptions for the linear model, the GMM assumptions forHansens Theorem, the ML framework for the Cramer-Raobound, the MM approach to NLS optimality).
Introduces similar discussions for the problem of testing: validasymptotic size and consistency.
Walter Sosa-Escudero Final Remarks
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A list of methods
OLS
GLS
t, F, Wald tests
IV for linear models, GMM, TSLS.
MLE
Robust asymptotic variance (sandwich) estimators.
The testing trilogy
Non linear GMM
NLS
Extremum estimators
Walter Sosa-Escudero Final Remarks
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A toolkit of technicalities
Projections and the geometric structure of OLS
Idempotencies behind efficiency proofs.
Consistency and LLN and CLT and AN.
Sandwich-type variances.
Delta Method: Mean value expansions for non-linear FOCs
Consistency through convergence of objective functions.
Chi-square forms from quadratic forms of normals behindhypothesis tests.
Cramer Wold device, uniform convergence, moment existence,etc.
Walter Sosa-Escudero Final Remarks
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A list of applications
Pollution and the value of houses to measure free riding.
Educational production functions.
Returns to scale in electricity supply.
Schooling effects.
The Challenger disaster.
Estimating the size of the black economy.
Assets and intertemporal consumption.
Walter Sosa-Escudero Final Remarks
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Summer activities
Lateral moves: Davidson and MacKinnon (2004) or Wooldridge (2002)
Modern discussions on the uses of econometrics: Angrist and Pischke (2009).
Advanced moves: Newey and McFadden (1994, Handbook of Econometrics).
A good book on inference: Knight (1999)
A good introduction to analysis: Rudin (1976)
Linear algebra: Axler (2004)
Learn R (The R book, or any on-line resource)
History of statistics and rarities: Stigler (2002)
A good novel: One Hundred Years of Solitude (G.Garcia Marquez)
A glorious short story about infinite samples and infinity: The Garden of ForkingPaths (J.L. Borges)
A good CD: Guitar Music of Argentina, Victor Villadangos.
A good trip: Ubatuba, Brazil.
Walter Sosa-Escudero Final Remarks
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Have a relaxing and productive summer!
Contact InformationWalter Sosa-EscuderoAssociate Professor and Chairman,Department of EconomicsUniversidad de San [email protected]
Walter Sosa-Escudero Final Remarks
