University of Illinois Department of Economics

Spring 2001  Econ 476  Roger Koenker

Advanced Econometrics I January-February Outline

Date  Lecture
Week 1 “13 ways of looking at a random variable”

Readings: MT. 1-2; BD. 1 and Appendix Topics: R.v.’s dfs, qfs, densities, moments, mgfs, cumulants, cfs, tail behavior, conditional probability, independence, correlation.

Week 2 “One too many inequalities”

Readings: BD. Appendix; W. 2.8-9; Pollard Appendix B Topics: Inequalities by Markov, Chebyshev, Cauchy, Jensen, Hoeffding and Bernstein.

Week 3 “Convergence á la mode and the story of O”

Readings: MT. 3-4; DM.4; S.1.1-7 Topics: →, → a.s., → q^{th}, ⇝, O_{p}, o_{p} Slutsky, and the δ-method.

Week 4 “LLN’s and CLT’s”

Readings: S.1.8-9, W.9 Topics: LLN’s and CLT’s

Week 5 “Generating random numbers and introduction to density estimation”

Readings: Handout on Splus; BD 9.6 Topics: Random numbers, histograms, kernel density estimation.

Week 6 “By Shape of Likelihood The News Was Told”

Readings: DM. 8; BD. 3.3, BD. 4; MT. 5 Topics: Likelihood, sufficiency and information.

Week 6 “Happy Families Are All the Same”

Readings: BD. 2.3; L. 1.4 Topics: Exponential family models and other examples

Week 7 “MLE Asymptotics Under Standard Conditions”
Week 7 “MLE Asymptotics Under Nonstandard Conditions”

Readings: MT. 6; L. 6; Huber (1967) Topics: Consistency, Efficiency

Key to references (see Bibliography for details)

MT - McCabe and Tremayne DM - Davidson and MacKinnon BD - Bickel and Doksum S - Serfling P - Pollard W - Whittle