The purpose of this lecture sequence is to introduce students and researchers
to the key ideas of nonlinear econometric models, which can be applied to
many areas of modern economic analysis.
A solid background of basic mathematical statistics and econometrics is
helpful to understand the materials covered in this course.
If you still need to be tooled up in basic econometrics training, even
though you may still learn a great deal from this lecture sequence,
you are unlikely to be able to garner the full benefit of attending
There is no required textbook for the lectures. It is based on
reading a collection of articles and lecture notes.
It will be very useful if you can read the papers before attending class,
to internalize the concepts and to form the basis of classroom discussions.
Participation in classroom discussion will always be beneficial to you.
Class meeting time:
Instructor office hours:
The teaching assistant is Li Sheng
TA Contact Information:
TA office hours:
- Review of Probability Theory and Asymptotic Distribution
- Distribution Theory for Nonlinear Extreme Estimators
- Kernel based nonparametric regression method
- Quantile Regression Methods
- Treatment Effect Models
- Propensity Score Matching
- Endogenous Treatments
- Heckman 1990,
Varieties of Selection Bias
- Imbens and Angrist,
Identification and Estimation of Local Average Treatment Effects
- Abadie, Angrist and Imbens,
Instrumental Variables Estimates of Quantile Treatment Effects
Notes about Abadie, Angrist and Imbens
Independence, Monotonicity, and Latent Index Models: An Equivalence Result
- Chernozhukov and Hansen,
An IV Model of Quantile Treatment Effects
- Heckman, Urzua and Vytlacil,
Understanding Instrumental Variables in Models with Essential Heterogeneity.
- Heckman and Vytlacil,
Structural Equations, Treatment Effects, and Econometric Policy Evaluation
- Basic Numerical Skills
- Random Number Generation
- Notes, Written by Jason Blevins of Duke University
- Basic Numerical Optimization
- Numerical Equation Solver
- Numerical Integration
- Kenneth Judd's "Numerical Methods in Economics"
- Numerical Optimization
- Simulation Estimation
- Bayesian Methods
- Resampling Methods
This is a tentative and incomplete outline, and is subject to change
and addition. Check this web page frequently for updates.