Reading Course:
Econometrics
Spring, 2006
Each
student should read at least 3 papers from each section. We will
discuss each section for two class periods.
GMM
Lars
Hansen, John Heaton and Yaron (1996) “Finite-sample properties of some
alternative GMM estimators,” Journal of Business and Economic
Statistics.
pdf
Alastair
Hall (2000) “Covariance matrix estimation and the power of the
overidentifying
restrictions test,” Econometrica.
pdf
James
Stock and Jonathan Wright (2000) “GMM with Weak Identification” Econometrica pdf
Bruce
Hansen and Kenneth West (2002) “Generalized Method of Moments and
Macroeconomics,” Journal of Business and
Economic Statistics. pdf
Manuel
Dominguez and Ignacio Lobato (2004) “Consistent Estimation of Models
Defined by
Conditional Moment Restrictions,” Econometrica
pdf.
Bootstrapping
Joel
Horowitz (2001) “The Bootstrap”, Handbook of Econometrics, vol
V,
chapter 52. pdf
Peter
Hall and Joel Horowitz (1996) “Bootstrap critical values for tests
based on
generalized-method-of-moments estimation,” Econometrica. pdf
Wolfgang
Hardle, Joel Horowitz and Kreiss (2002) “Bootstrap methods for time
series,” International
Statistical Review, forthcoming. pdf
Atsushi
Inoue and Mototsugu Shinani (2003) “Bootstrapping GMM estimator for
time
series.” Journal of
Econometrics, forthcoming, pdf
Bryan
Brown and Whitney Newey (2002) “GMM, bootstrapping, and improved
inference,” Journal
of Business and Economic Statistics. pdf
Other Estimation Methods
Chernozhukov and
Hong (2003) An MCMC approach to classical estimation, Journal of Econometrics. pdf
Qin
and Lawless (1994) “Empirical likelihood and general estimating
equations,” Annals
of Statistics. pdf
Yuichi
Kitamura (1997) “Empirical likelihood methods with weakly dependent
processes,”
Annals of Statistics. pdf
Yuichi
Kitamura and Mark Stutzer (1997) “An information-theoretic alternative
to
generalized method of moments estimation,” Econometrica. pdf