Efficient estimation of econometric models

This page contains the slides and numerical simulation codes for the lectures delivered during the Second Summer School on Economic Theory in July 2019 at the Armenian State University of Economics (ASUE) in Yerevan, Armenia. For posterity: ASUE press release, HSE press release.

To run the R codes:

• Install R
  • On Linux: via sudo apt install r-base r-base-dev gcc-fortran (Debian / Ubuntu / Mint) or sudo pacman -S r gcc-fortran (Arch)
  • On Windows: from the official CRAN mirror
• Install RStudio

Lecture 1. Linear models (2019-07-15)

• PDF slides 1 (1 MB)
• R code 1 (15 kB)

OLS estimator compared to the asymptotically efficient estimator:

Lecture 2. Generalised method of moments and hypothesis testing (2019-07-16)

• PDF slides 2 (0.3 MB)
• R code 2 (9 kB)

Lecture 3. Systems of equations and panel data models (2019-07-17)

• PDF slides 3 (0.3 MB)
• R code 3 (3 kB)

Lecture 4. Empirical likelihood and its generalisations (2019-07-18)

Do not forget to download both extra files and put them in the same directory!

• PDF slides 4 (0.4 MB)
• R code 4 (10 kB)
• scel.R (8 kB), scelcount.R (9 kB) — Art B. Owen’s (2017) code for empirical likelihood calculation with and without weights

Lecture 5. Introduction into non-parametric econometrics (2019-07-19)

Do not forget to download the supplementary file containing the necessary functions and to put it in the same directory!

• PDF slides 5 (1.3 MB)
• R code 5 (26 kB)
• smoothing-functions.R (6 kB) — author’s code (2019) for non-parametric density and regression function estimation

Lecture 6. Semi-parametrically efficient estimation (2019-07-19)

Do not forget to download the supplementary file smoothing-functions.R from the previous lecture!

• PDF slides 6 (0.4 MB)
• R code 6 (14 kB)

The source of instability in econometrics: