Nonlinear Econometrics
These are recitation notes from when I was a TA for Victor Chernozhukov and Whitney Newey for nonlinear econometrics, 14.385, at MIT.
- Consistency, minimum distance (pdf) (tex)
- Asymptotic normality, variance matrix estimation, hypothesis testing. (pdf) (tex)
- Mixed logit, simulated extremum estimators (pdf) (tex)
- Bootstrap, subsampling (pdf) (tex)
- Quantile regression (pdf) (tex)
- Duration models, Bayesian methods (pdf) (tex)
- HAC (pdf) (tex)
- BLP as constrained optimization problem in AMPL; weakly identified GMM and the NKPC (pdf) (tex)
- No typed notes.
- Local linear quantile regression, semi-parametric transformation model (pdf) (tex)