Readings

TOPICS READINGS
Generalized method of moments

Newey, Generalized Method of Moments (PDF)

Hansen, L. P. "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica 50 (1982): 1029-1054.

Hansen, L. P., and K. J. Singleton. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models." Econometrica 50 (1982): 1269-1286.

Hansen, L. P., J. Heaton, and A. Yaron. "Finite-Sample Properties of Some Alternative GMM Estimators." Journal of Business and Economic Statistics 14 (1996): 262-280.

Buy at Amazon Newey, W. K., and D. L. McFadden. "Large Sample Estimation and Hypothesis Testing." In Handbook of Econometrics. Vol. 4. Edited by R. F. Engle and D. McFadden. Amsterdam, The Netherlands: Elsevier Science, 1999, pp. 2113-2245. ISBN: 9780444887665.

Newey, W. K., and R. J. Smith. "Higher-Order Properties of GMM and Generalized Empirical Likelihood Estimators." Econometrica 72 (2004): 219-255.
Nonparametric estimation

Newey, Nonparametric and Semiparametric Estimation (PDF)

Buy at Amazon Härdle, W., and O. Linton. "Applied Nonparametric Methods." Chapter 38 in Handbook of Econometrics. Vol. 4. Edited by R. F. Engle and D. McFadden. Amsterdam, The Netherlands: Elsevier Science, 1994, pp. 2297-2339. ISBN: 9780444887665.

Hausman, J. A., and W. K. Newey. "Nonparametric Estimation of Exact Consumers Surplus and Deadweight Loss." Econometrica 63, no. 6 (November 1995): 1445-1476.

Newey, Locally Linear Regression (PDF)
Semiparametric estimation

Newey, Nonparametric and Semiparametric Estimation (PDF)

Buy at Amazon Powell, J. "Estimation of Semiparametric Models." Chapter 41 in Handbook of Econometrics. Vol. 4. Edited by R. F. Engle and D. McFadden. Amsterdam, The Netherlands: Elsevier Science, 1994, pp. 2444-2521. ISBN: 9780444887665.
Treatment effects

Newey, Treatment Effects (PDF)

Imbens, G., and J. Angrist. "Identification and Estimation of Local Average Treatment Effects." Econometrica 62, no. 2 (March 1994): 467-475.

Angrist, J., and A. Krueger. "Does Compulsory School Attendance Affect Schooling and Earnings?" The Quarterly Journal of Economics 106, no. 4 (November 1991): 979-1014.

Angrist, J., G. Imbens, and D. Rubin. "Identification of Causal Effects Using Instrumental Variables." Journal of the American Statistical Association 91, no. 434 (June 1996): 444-455.

Dehejia, R., and S. Wahba. "Causal Effects in Nonexperimental Studies: Reevaluating the Evaluation of Training Programs." Journal of the American Statistical Association 94, no. 448 (December 1999): 1053-1062.
Nonlinear models in panel data

Newey, Nonlinear Models in Panel Data (PDF)

Buy at Amazon Chamberlain, G. "Panel Data." Chapter 22 in Handbook of Econometrics. Vol. 2. Edited by Z. Griliches and M. D. Intriligator. Amsterdam, The Netherlands: Elsevier Science, 1984, pp. 1248-1318. ISBN: 9780444861863.

Lancaster, T. "The Incidental Parameter Problem Since 1948." Journal of Econometrics 95 (2000): 391-413.

Buy at Amazon Arellano, M., and B. Honoré. "Panel Data Models: Some Recent Developments." Chapter 53 in Handbook of Econometrics. Vol. 5. Edited by J. J. Heckman and E. Leamer. Amsterdam, The Netherlands: Elsevier Science, 2001, pp. 3231-3296. ISBN: 9780444823403.

Hahn, J., and W. Newey. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models." Econometrica 72, no. 4 (July 2004): 1295-1319.
Demand estimation with imperfect competition

Berry, S., J. Levinsohn, and A. Pakes. "Automobile Prices in Market Equilibrium." Econometrica 63, no. 4 (July 1995): 841-890.

Nevo, A. "Measuring Market Power in the Ready-to-Eat Cereal Industry." Econometrica 69, no. 2 (March 2001): 307-342.

Hausman, J. A., and G. K. Leonard. "The Competitive Effects of a New Product Introduction: A Case Study." The Journal of Industrial Economics L, no. 3 (September 2002): 237-263.

Ackerberg, D., C. L. Benkard, S. Berry, and A. Pakes. "Econometric Tools for Analyzing Market Outcomes." Forthcoming in Handbook of Econometrics. Edited by J. J. Heckman. pp. 1-127.

Haile, P. A., and E. Tamer. "Inference with an Incomplete Model of English Auctions." Journal of Political Economy 111, no. 1 (2003): 1-51.

Imbens, G. W., and W. Newey. "Identification and Estimation of Triangular Simultaneous Equations Models Without Additivity." mimeograph, October 2006, pp. 1-37.

 

Further Reading

Dinardo, J., N. Fortin, and T. Lemieux. "Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach." Econometrica 64, no. 5 (September 1996): 1001-1044.

van der Klaauw, W. "Estimating the Effect of Financial Aid Offers on College Enrollment: A Regression-Discontinuity Approach." International Economic Review 43, no. 4 (November 2002): 1249-1287.

Subramanian, S., and A. Deaton. "The Demand for Food and Calories." The Journal of Political Economy 104, no. 1 (February 1996): 133-162.

Lewbel, A. "Consistent Nonparametric Hypothesis Tests with an Application to Slutsky Symmetry." Journal of Econometrics 67 (1995): 379-401.

Oreopoulos, P. "Estimating Average and Local Average Treatment Effects of Education when Compulsory Schooling Laws Really Matter." The American Economic Review 96, no. 1 (March 2006): 152-175.

Abadie, A. "Semiparametric Estimation of Instrumental Variable Models for Causal Effects." National Bureau of Economic Research Working Paper No. 260 (September 2000): 1-42.

Ahn, H., and J. Powell. "Semiparametric Estimation of Censored Selection Models with a Nonparametric Selection Mechanism." Journal of Econometrics 58 (1993): 3-29.

Vella, F. "Estimating Models with Sample Selection Bias: A Survey." The Journal of Human Resources 33, no. 1 (Winter 1998): 127-169.