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)

OLS estimator compared to the 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!

The source of instability in econometrics: