ECON 589 Spring 2014 Materials

ECON 589: Seminar in Econometric Theory.

Andres Aradillas-Lopez

Some Course Materials:

Note: Some of the material below refers to “ECO519”. It is the same material covered in ECON 589.

Preliminaries and Summary of Empirical Process Results

Notes on Convergence of Stochastic Processes (Pollard 1984)

Notes on Empirical Processes and Applications (Pollard 1990)

Notes on Andrews Handbook Chapter on Empirical Processes

Some course slides (These do not include everything covered in the course, only a small portion of it)

Huber paper (Not covered in lecture due to time constraints. Seminal paper predating empirical process theory.)

Huber Handout (Old paper, predates Empirical Process theory but very useful to understand the intuition behind this theory. Used by Powell (1984) to derive the asymptotic distribution of the Censored LAD estimator.)

Powell (1984) (Original Paper)

Powell Censored LAD Handout (Note: This handout works out the asymptotic properties of the estimator using Huber's conditions. We did it in class using empirical process results and it greatly simplifies the arguments and proofs.)

Newey-McFadden Handout

Quantile-regression handout

Honore (1992) trimmed LAD handout Link to paper: http://www.jstor.org/stable/2951583

A general approach to the asymptotic properties of extremum estimators

Maximum Score handout

Hoeffding decomposition and variance properties of U-Statistics

Projection Theorem for U-Statistics (from Ahn and Powell (1993))

U-Processes, Maximal Inequalities and Maximum Rank Correlation Estimator (a compendium from Sherman’s papers in the list of readings)

Hall (1984) (Asymptotic normality for a class of degenerate U-processes)

Zheng (1996) (an application of Hall 1984 for consistent specification tests)

Pairwise-difference Estimation handout (based on Honore and Powell (2001))

A uniform linear representation results for kernel-weighed estimators (relevant for “generated regressors” asymptotics, compare it with Huber 1967 (linked above))