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.

  1. Consistency, minimum distance (pdf) (tex)
  2. Asymptotic normality, variance matrix estimation, hypothesis testing. (pdf) (tex)
  3. Mixed logit, simulated extremum estimators (pdf) (tex)
  4. Bootstrap, subsampling (pdf) (tex)
  5. Quantile regression (pdf) (tex)
  6. Duration models, Bayesian methods (pdf) (tex)
  7. HAC (pdf) (tex)
  8. BLP as constrained optimization problem in AMPL; weakly identified GMM and the NKPC (pdf) (tex)
  9. No typed notes.
  10. Local linear quantile regression, semi-parametric transformation model (pdf) (tex)
Created by Paul Schrimpf.