Efficient estimation of econometric models

In order to run R codes, install R on Linux via sudo apt install r-base r-base-dev gcc-fortran or sudo pacman -S r-base r-base-dev gcc-fortran; Windows users should go to MRAN. One should also install RStudio.

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

OLS estimator and asymptotically efficient estimator

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

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

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!

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!

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

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

I prefer the real