Advanced Economic Analysis II (Advanced Econometrics)
Course Number: 47902
The past 10 years have seen a number of advances beyond traditional two-step GMM estimation. These advances have focused on providing moment-based estimators and hypothesis tests with more accurate approximation to the sampling distributions. Examples include: continuous updated GMM (Hansen, Heaton and Yaron 1996, JBES), the empirical likelihood estimator (Imbens et al., 1998, Econometrica), and the exponential tilting estimator of (Kitamura and Stutzer, 1997, Econometrica), GEL estimators (Newey and Smith, 2004, Econometrica), Bootstrap GMM (Hall and Horowitz, 1996, Econometrica), GMM with Weak Instruments (Stock and Wright, 2000, Econometrica), Kleibergen's k--statistic (Kleibergen, 2005, Econometrica), GMM with Empirical Saddlepoint (Sowell, 2008). For empirical work these estimators are preferred over the traditional two-step GMM estimator. This course will present (i) the motivation for these advances, (ii) a summary of published results and (iii) current research.
Academic Year: 2019-2020
Semester(s): Mini 4