University of California
Department of Economics
Doug Steigerwald
Economics 245A : Collected References
Article Access:
Most articles are available through library. To access readings through this link
when away from campus, refer to configure to configure your computer. Articles
not (yet) published in journals indexed by the library are accessible directly from
this syllabus via author links.
Area 1: Credible Inference in Linear Models
Topic 1-1
Credible Inference
LaLonde, R. 1986 “Evaluating the Econometric Evaluations of Training Programs with Experimental Data”
American Economic Review 76, 604-620.
Holland, P. 1991 “Statistics and Causal Inference” Journal of the American Statistical Association 81, 945960.
Freedman, D. 1991 “Statistical Models and Shoe Leather” Sociological Methodology 21, 291-313.
Ashenfelter, O. and A. Kruger 1994 “Estimates of the Economic Return to Schooling from a New Sample of
Twins” American Economic Review 84, 1157-1173.
DiNardo, J. and J. Pischke 1997 “The Returns to Computer Use Revisited: Have Pencils Changed the Wage
Structure Too?” Quarterly Journal of Economics 112, 291-303.
Popper, K. 1998 “Science: Conjectures and Refutations” in Philosophy of Science: The Central Issues (M.
Curd and J. Cover eds.), W.W. Norton, 3-10. Popper
Angrist, J. and A. Kruger 1999 “Empirical Strategies in Labor Economics” in Handbook of Labor Economics
Volume 3A (O. Ashenfelter and D. Card eds.), Elsevier, Chapter 23. Angrist and Kruger
Angrist, J. and J. Pischke 2010 “The Credibility Revolution in Empirical Economics: How Better Research
Design is Taking the Con out of Econometrics” Journal of Economic Perspectives 24, 3-30.
Nevo, A. and M. Whinston 2010 “Taking the Dogma out of Econometrics: Structural Modeling and Credible
Inference” Journal of Economic Perspectives 24, 69-82.
Topic 1-2
Measurement of Social Interactions and Peer Effects
Background: Wooldridge 11.5
Goldberger, A. 1989 “Economic and Mechanical Models of Intergenerational Transmission” American
Economic Review 79, 504-513.
Manski, C. 1989 “Anatomy of the Selection Problem” Journal of Human Resources 24, 343-360.
Chamberlain, G. 1990 “Distinguished Fellow: Arthur S. Goldberger and Latent Variables in Economics”
Journal of Economic Perspectives 4, 125-152.
Manski, C. 1993 “Identification of Endogenous Social Effects: The Reflection Problem” Review of Economic
Studies 60, 531-542.
Hoxby, C. 2000 “Peer Effects in the Classroom: Learning from Gender and Race Variation” NBER Working
Paper Series. Hoxby
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Brock, W. and S. Durlauf 2001 “Discrete Choice with Social Interactions” Review of Economic Studies 68,
235-260.
Moffitt, R. 2001 “Policy Interventions, Low-Level Equilibria and Social Interactions” in Social Dynamics (S.
Durlauf and H. Young eds.), MIT Press.
Hanushek, E., J. Kain, J. Markman and S. Rivkin 2003 “Does Peer Ability Affect Student Achievement?”
Journal of Applied Econometrics 18, 527-544.
Angrist, J. and K. Lang 2004 “Does School Integration Generate Peer Effects? Evidence from Boston’s Metco
Program” American Economic Review 94, 1613-1634.
Rivkin, S., E. Hanushek, and J. Kain 2005 “Teachers, Schools, and Academic Achievement” Econometrica 73,
415-478.
Falk, A. and A. Ichino 2006 “Clean Evidence on Peer Effects” Journal of Labor Economics 24, 39-57.
Kling, J., J. Liebman and L. Katz 2007 “Experimental Analysis of Neighborhood Effects” Econometrica 75,
83-119.
Duflo, E., P. Dupas and M. Kremer 2008 “Peer Effects and the Impact of Tracking: Evidence from a
Randomized Evaluation in Kenya” NBER Working Paper Series. Duflo, Dupas and Kremer
Graham, B. 2008 “Identifying Social Interactions Through Conditional Variance Restrictions” Econometrica
76, 643-660.
Lee, L., X. Liu and X. Lin 2008 “Specification and Estimation of Social Interaction Models with Network
Structure, Contextual Factors, Correlation and Fixed Effects” Economics Department Working Paper
Series, Ohio State.
Lynham, J. 2008 “Information Spillovers Among Resource Extractors” Economics Department Working Paper
Series, UC Santa Barbara. Lynham
Guryan, J., K. Kroft and M. Notowidigdo 2009 “Peer Effects in the Workplace: Evidence from Random
Groupings in Professional Golf Tournaments” American Economic Journal: Applied Economics 1,
34-68.
Mas, A. and E. Moretti 2009 “Peers at Work” American Economic Review 99, 112-145.
Carpenter, J. and E. Seki 2010 “Do Social Preferences Increase Productivity? Field Experimental Evidence
from Fishermen in Toyama Bay” Economic Inquiry forthcoming. Carpenter and Seki
Graham, B., G. Imbens and G. Ridder 2010 “Measuring the Effects of Segregation in the Presence of Social
Spillovers: A Nonparametric Approach” Economics Department Working Paper Series, NYU.
Graham, Imbens and Ridder
Huang, C. 2010 “Intra-Household Effects on Demand for Telephone Service: Empirical Evidence” Economics
Department Working Paper Series, National Taiwan University. Huang
Duflo, E., P. Dupas and M. Kremer 2011 “Peer Effects, Teacher Incentives and the Impact of Tracking:
Evidence from a Randomized Evaluation in Kenya” American Economic Review 101, 1739-1774.
Arcidiacono, P., G. Foster, N. Goodpaster and J. Kinsler 2012 “Estimating Spillovers using Panel Data, with an
Application to the Classroom” Quantitative Economics 3, 421-470.
Fruewirth, J. 2013 “Identifying Peer Achievement Spillovers: Implications for Desegregation and the
Achievement Gap” Quantitative Economics 4, 85-124.
Networks
Background: Wasserman, D. and K. Faust Social Network Analysis (1994: Cambridge)
Freeman, L. 2001 “Graphical Techniques for Exploring Social Network Data” Sociology Department Working
Paper Series, UC Irvine. Freeman
Conley, T. and G. Topa 2002 “Socio-Economic Distance and Spatial Patterns in Unemployment” Journal of
Applied Econometrics 17, 303-327.
Burt, R. 2004 “Structural Holes and Good Ideas” American Journal of Sociology 110, 349-399.
Syllabus: Economics 245A
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Bramoull, Y., H. Djebbari and B. Fortin 2009 “Identification of Peer Effects through Social Networks” Journal
of Econometrics 150, 41-55.
Copic, J., M. Jackson and A. Kirman 2009 “Identifying Community Structures from Network Data via
Maximum Likelihood Methods” B.E. Journal of Theoretical Economics 9:1, Contributions Article 30.
Visualization software: UCINET (see Phillip Babcock for more information).
Topic 1-3
Average Treatment Effects
Background: Imbens, G. and J. Wooldridge 2007 “Estimation of Average Treatment Effects Under
Unconfoundedness” Lecture Notes, NBER. Imbens and Wooldridge Lecture 1 IW Lecture 1 Slides
Background: Heckman, J. and E. Vytlacil 2007 “Econometric Evaluation of Social Programs, Part I: Causal
Models, Structural Models and Econometric Policy Evaluation” in Handbook of Econometrics
Volume 6B, J. Heckman and E. Leamer editors. Heckman and Vytlacil Handbook
Rubin, D. 1974 “Estimating Causal Effects of Treatments in Randomized and Nonrandomized Studies” Journal
of Educational Psychology 66, 688-701.
Rubin, D. 1977 “Assignment to Treatment Group on the Basis of a Covariate” Journal of Educational Statistics
2, 1-26.
Rubin, D. 1978 “Bayesian Inference for Causal Effects: The Role of Randomization” Annals of Statistics 6,
34-58.
Rosenbaum, P. and D. Rubin 1983 “Assessing Sensitivity to an Unobserved Binary Covariate in an
Observational Study with Binary Outcome” Journal of the Royal Statistical Society, Series B, 45, 212218.
Rosenbaum, P. 1987 “The Role of a Second Control Group in an Observational Study” Statistical Science 2,
292-306.
Heckman, J. and V. Hotz 1989 “Choosing Among Alternative Nonexperimental Methods for Estimating the
Impact of Social Programs” Journal of the American Statistical Association 84, 862-874.
Angrist, J. 1990 “Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security
Administration Records” American Economics Review 80, 313-335.
Rubin, D. 1990 “Formal Modes of Statistical Inference for Causal Effects” Journal of Statistical Planning and
Inference 25, 279-292.
Angrist, J. and A. Krueger 1991 “Does Compulsory School Attendance Affect Schooling and Earnings?”
Quarterly Journal of Economics 106, 979-1014.
Heckman, J. 1991 “Randomization and Social Policy Evaluation” NBER Working Paper Series. Heckman 1991
Robins, J., S. Mark and W. Newey 1992 “Estimating Exposure Effects by Modeling the Expectation of
Exposure Conditional on Confounders” Biometrics 48, 479-495.
Heckman, J., J. Smith and N. Clements 1997 “Making the Most Out of Programme Evaluations and Social
Experiments: Accounting for Heterogeneity in Programme Impacts” Review of Economic Studies 64,
487-535.
Wooldridge, J. 1997 “On Two Stage Least Squares Estimation of the Average Treatment Effect in a Random
Coefficient Model” Economics Letters 56, 129-133.
Angrist, J. 1998 “Estimating the Labor Market Impact of Voluntary Military Service using Social Security Data
on Military Applications” Econometrica 66, 249-288.
Hahn, J. 1998 “On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average
Treatment Effects” Econometrica 66, 315-331.
Heckman, J. and E. Vytlacil 2001 “Policy-Relevant Treatment Effects” American Economic Review 91, 107111.
Syllabus: Economics 245A
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Abadie, A. 2002 “Bootstrap Tests of Distributional Treatment Effects in Instrumental Variable Models”
Journal of the American Statistical Association 97, 284-292.
Hirano, K., G. Imbens and G. Ridder 2003 “Efficient Estimation of Average Treatment Effects using the
Estimated Propensity Score” Econometrica 71, 1161-1189.
Angrist, J. and J. Hahn 2004 “When to Control for Covariates? Panel-Asymptotic Results for Estimates of
Treatment Effects” Review of Economics and Statistics 86, 58-72.
Imbens, G. 2004 “Nonparametric Estimation of Average Treatment Effects under Exogeneity: A Review”
Review of Economics and Statistics 86, 4-29.
Aakvik, A., J. Heckman and E. Vytlacil 2005 “Estimating Treatment Effects for Discrete Outcomes when
Responses to Treatment Vary: An Application to Norwegian Vocational Rehabilitation Programs”
Journal of Econometrics 125, 15-51.
Chay, K. and M. Greenstone 2005 “Does Air Quality Matter? Evidence from the Housing Market” Journal of
Political Economy 113, 376-424.
Dehejia, R. 2005 “Practical Propensity Score Matching: A Reply to Smith and Todd” Journal of
Econometrics125, 355-364.
Heckman, J. and E. Vytlacil 2005 “Structural Equations, Treatment Effects and Econometric Policy
Evaluation” Econometrica 73, 669-738.
Angrist, J., E. Bettinger and M. Kremer 2006 “Long-Term Educational Consequences of Secondary School
Vouchers: Evidence from Admininstrative Records in Columbia” American Economic Review 96,
847-862.
Angrist, J. and S. Chen 2007 “Long-Term Consequences of Vietnam-Era Conscription: Schooling, Experience
and Earnings” NBER Working Paper Series. Angrist and Chen
Vytlacil, E. and N. Yildiz 2007 “Dummy Endogenous Variables in Weakly Separable Models” Econometrica
75, 757-779.
Davis, L. 2008 “The Effect of Driving Restrictions on Air Quality in Mexico City” Journal of Political
Economy 116, 38-81.
Florens, J., J. Heckman, C. Meghir and E. Vytlacil 2008 “Identification of Treatment Effects Using Control
Functions in Models with Continuous, Endogenous Treatment and Heterogeneous Effects”
Econometrica 76, 1191-1206.
Li, Q., J. Racine and J. Wooldridge 2008 “Estimating Average Treatment Effects with Continuous and Discrete
Covariates: The Case of Swan-Ganz Catheterization” American Economic Review 98, 357-362.
Currie, J. and R. Walker 2009 “Traffic Congestion and Infant Health: Evidence from E-ZPass” NBER Working
Paper Series. Currie and Walker
Imbens, G. and J. Wooldridge 2009 “Recent Developments in the Econometrics of Program Evaluation”
Journal of Economic Literature 47, 5-86.
Angrist, J. 2009 “Treatment Effects Notes” Lecture Notes MIT. Angrist Lecture Notes
Lee, D. 2009 “Training, Wages and Sample Selection: Estimating Sharp Bounds on Treatment Effects” Review
of Economic Studies 76, 1071-1102.
Rothstein, J. 2009 “Teacher Quality in Educational Production: Tracking, Decay and Student Achievement”
Economics Department Working Paper Series, Princeton. Rothstein
Stoye, J. 2009 “Minimax Regret Treatment Choice with Finite Samples” Journal of Econometrics 151, 70-81.
Card, D., A. Mas, E. Moretti and E. Saez 2010 “Inequality at Work: The Effect of Peer Salaries on Job
Satisfaction” NBER Working Paper Series. Card, Mas, Moretti and Saez
Carneiro, P., J. Heckman and E. Vytlacil 2010 “Evaluating Marginal Policy Changes and the Average Effect of
Treatment for Individuals at the Margin” Econometrica 78, 377-394.
Chiburis, R. 2010 “Semiparametric Bounds on Treatment Effects” Journal of Econometrics 159, 1525-1550.
Syllabus: Economics 245A
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Damrongplasit, K., C. Hsiao and X. Zhao 2010 “Decriminalization and Marijuana Smoking Prevalence:
Evidence from Australia” preprint Journal of Business and Economic Statistics. Damrongplasit et al.
Heckman, J., S. Moon, R. Pinto, P. Savelyev and A. Yavitz 2010 “Analyzing Social Experiments as
Implemented: A Reexamination of the Evidence from the HighScope Perry Preschool Program”
Quantitative Economics 1, 1-46.
Khan, S. and E. Tamer 2010 “Irregular Identification, Support Conditions and Inverse Weight Estimation”
Econometrica 78, 2021-2042.
Bravo, F. and D. Jacho-Chavez 2011 “Empirical Likelihood for Efficient Semiparametric Average Treatment
Effects” Econometric Reviews 30, 1-24.
Hanna, R. and P. Oliva 2011 “The Effect of Pollution on Labor Supply: Evidence from a Natural Experiment in
Mexico City” Economics Department Working Paper Series, UC Santa Barbara. Hanna and Oliva
Frolich, M. and B. Melly 2013 “Identification of Treatment Effects on the Treated with One-Sided NonCompliance” Econometric Reviews 32, 384-414.
White, H. and K. Chalak 2013 “Identification and Identification Failure for Treatment Effects Using Structural
Systems” Econometric Reviews 32, 273-317.
Topic 1-4
Local Average Treatment Effects and Instrumental Variables
Background: Imbens, G. and J. Wooldridge 2007 “Instrumental Variables with Treatment Effect
Heterogeneity: Local Average Treatment Effects” Lecture Notes, NBER. Imbens and Wooldridge
Lecture 5 IW Lecture 5 Slides
Newey, W. 1986 “Linear Instrumental Variables Estimation of Limited Dependent Variable Models with
Endogenous Explanatory Variables” Journal of Econometrics 32, 127-142.
Angrist, J. and A. Krueger 1992 “The Effect of Age at School Entry on Educational Attainment: An
Application of Instrumental Variables with Moments from Two Samples” Journal of the American
Statistical Association 87, 328-336.
Imbens, G. and J. Angrist 1994 “Identification and Estimation of Local Average Treatment Effects”
Econometrica 62, 467-475.
Angrist, J. and G. Imbens 1995 “Two-Stage Least Squares Estimation of Average Causal Effects in Models
with Variable Treatment Intensity” Journal of the American Statistical Association 90, 430-442.
Angrist, J., G. Imbens and D. Rubin 1996 “Identification of Causal Effects Using Instrumental Variables”
Journal of the American Statistical Association 91, 444-455.
Angrist, J. and V. Lavy 1999 “Using Maimonides’ Rule to Estimate the Effect of Class Size on Scholastic
Achievement” Quarterly Journal of Economics 114, 533-575.
Manski, C. and J. Pepper 2000 “Monotone Instrumental Variables: With an Application to the Returns to
Schooling” Econometrica 68, 997-1010.
Stock, J. and F. Trebbi 2003 “Who Invented Instrumental Variable Regression?” Journal of Economic
Perspectives 17, 177-194.
Chao, J., N. Swanson, J. Hausman, W. Newey and T. Woutersen 2009 “Asymptotic Distribution of JIVE in a
Heteroskedastic IV Regression with Many Instruments” Economics Department Working Paper
Series, MIT. Chao et alia
Heckman, J. and S. Urzua 2009 “Comparing IV with Structural Models: What Simple IV Can and Cannot
Identify” NBER Working Paper Series. Heckman and Urzua
Kreider, B. and S. Hill 2009 “Partially Identifying Treatment Effects with an Application to Covering the
Uninsured” Journal of Human Resources 44, 409-449.
Manski, C. and J. Pepper 2009 “More on Monotone Instrumental Variables” Econometrics Journal 12, S200S216.
Syllabus: Economics 245A
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Chalak, K. 2010 “Identification of Local Treatment Effects Using a Proxy for an Instrument” Economics
Department Working Paper Series, Boston College. Chalak
Hong, H. and D. Nekipelov 2010 “Semiparametric Efficiency in Nonlinear LATE Models” Quantitative
Economics 1, 279-304.
Imbens, G. 2010 “Better LATE Than Nothing: Some Comments on Deaton (2009) and Heckman and Urzua
(2009)” Journal of Economic Literature 48, 399-423.
Hausman, J., W. Newey, T. Woutersen, J. Chao and N. Swanson 2012 “Instrumental Variable Estimation with
Heteroskedasticity and Many Instruments” Quantitative Economics 3, 211-255.
Topic 1-5
Control Functions and Instrumental Variables
Background: Imbens, G. and J. Wooldridge 2007 “Control Function and Related Methods” Lecture Notes,
NBER. Imbens and Wooldridge Lecture 6 IW Lecture 6 Slides
Heckman, J. 1978 “Dummy Endogenous Variables in a Simultaneous Equation System” Econometrica 46, 931959.
Chesher, A. 2003 “Identification in Nonseperable Models” Econometrica 71, 1405-1441.
Altonji, J. and R. Matzkin 2005 “Cross Section and Panel Data Estimators for Nonseparable Models with
Endogenous Regressors” Econometrica 73, 1053-1102.
Altonji, J., T. Elder and C. Taber 2005 “Selection on Observed and Unobserved Variables: Assessing the
Effectiveness of Catholic Schools” Journal of Political Economy 113, 151-184.
Hausman, J., C. Hansen and W. Newey 2008 “Estimation with Many Instrumental Variables” Journal of
Business and Economic Statistics 26, 398-422.
Abrevaya, J., J. Hausman and S. Khan 2010 “Testing for Causal Effects in a Generalized Regression Model
with Endogenous Regressors” Econometrica 78, 2043-2061.
Blundell, R. and R. Matzkin 2014 “Control Functions in Nonseparable Simultaneous Equations Models”
Quantitative Economics 5, 271-296.
Topic 1-6
Regression Discontinuity
Background: Imbens, G. and J. Wooldridge 2007 “Regression Discontinuity Designs” Lecture Notes, NBER.
Imbens and Wooldridge Lecture 3 IW Lecture 3 Slides
Thistlehwaite, D. and D. Campbell 1960 “Regression-Discontinuity Analysis: An Alternative to the Ex Post
Facto Experiment” Journal of Educational Psychology 51, 309-317.
Cleveland, W. 1979 “Robust Locally Weighted Regression and Smoothing Scatterplots” Journal of the
American Statistical Association 74, 829-836.
Black, S. 1999 “Do Better Schools Matter? Parental Valuation of Elementary Education” Quarterly Journal of
Economics 114, 577-599.
Hahn, J., P. Todd and W. Van Der Klaauw 2001 “Regression Discontinuity” Econometrica 69, 201-209.
Porter, J. 2003 “Estimation in the Regression Discontinuity Model” Economics Department Working Paper
Series, Harvard. Porter RD
McCrary, J. and H. Royer 2006 “The Effect of Female Education on Fertility and Infant Health: Evidence from
School Entry Policies Using Exact Date of Birth” Economics Department Working Paper Series,
Santa Barbara. McCrary and Royer
Oreopoulos, P. 2006 “Estimating Average and Local Average Treatment Effects of Education when
Compulsory Schooling Laws Really Matter” American Economic Review 96, 152-175.
Syllabus: Economics 245A
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Ludwig, J. and D. Miller 2007 “Does Head Start Improve Children's Life Chances? Evidence from a
Regression Discontinuity Design” Quarterly Journal of Economics 122, 159-208.
Almond, D. and J. Doyle 2008 “After Midnight: A Regression Discontinuity Design in Length of Postpartum
Hospital Stays” NBER Working Paper Series. Almond and Doyle
Card, D., C. Dobkin and N. Maestas 2008 “The Impact of Nearly Universal Insurance Coverage on Health
Care Utilization: Evidence from Medicare” American Economic Review 98, 2242-2258.
Imbens, G. and T. Lemieux 2008 “Regression Discontinuity Designs: A Guide to Practice” Journal of
Econometrics 142, 615-635.
Lee, D. 2008 “Randomized Experiments from Non-Random Selection in U.S. House Elections” Journal of
Econometrics 142, 675-697.
McCrary, J. 2008 “Manipulation of the Running Variable in the Regression Discontinuity Design: A Density
Test” Journal of Econometrics 142, 698-714.
Almond, D., Y. Chen, M. Greenstone and H. Li 2009 “Winter Heating or Clean Air? Unintended Impacts of
China’s Huai River Policy” American Economic Review 99, 184-190.
Card, D., D. Lee and Z. Pei 2009 “Quasi-Experimental Identification and Estimation in the Regression Kink
Design” Economics Department Working Paper Series, Princeton. Card, Lee and Pei
Carpenter, C. and E. Moretti 2009 “The Effect of Alcohol Consumption on Mortality: Regression Discontinuity
Evidence from the Minimum Drinking Age” AEJ Applied Economics 1, 164-182.
Clark, D. 2009 “The Performance and Competitive Effects of School Autonomy” Journal of Political Economy
117, 745-783.
Frandsen, B. 2009 “A Nonparametric Estimator for Local Quantile Treatment Effects in Regression
Discontinuity Design” Economics Department Working Paper Series, MIT. Frandsen
Grainger, C. 2009 “Redistricting and Polarization in California: Who Draws the Lines?” Journal of Law and
Economics forthcoming. Grainger
Imbens, G. and K. Kalyanaraman 2009 “Optimal Bandwidth Choice for the Regression Discontinuity
Estimator” NBER Working Paper Series. Imbens and Kalyanaraman
Bollinger, B., P. Leslie and A. Sorensen 2010 “Calorie Posting in Chain Restaurants” Business School Working
Paper Series, Stanford. Bollinger, Leslie and Sorensen
Lee, D. and T. Lemieux 2010 “Regression Discontinuity Designs in Economics” Journal of Economic
Literature 48, 281-355.
Heckman, J. 2010 “Building Bridges between Structural and Program Evaluation Approaches to Evaluating
Policy” Journal of Economic Literature 48, 356-398.
Otsu, T. and K. Xu 2011 “Empirical Likelihood for Regression Discontinuity Design” Economic Department
Working Paper Series, Yale. Otsu and Xu
Dong, Y. 2012 “Jumpy or Kinky? Regression Discontinuity without the Discontinuity” Economics Department
Working Paper Series, UC Irvine. Dong
Marmer, V., D. Feir and T. Lemieux 2012 “Weak Identification in Fuzzy Regression Discontinuity Designs”
Economics Department Working Paper Series, University of British Columbia. Marmer, Feir and
Lemieux
Calonico, S., M. Cattaneo and R. Titiunik 2014 “Robust Nonparametric Confidence Intervals for RegressionDiscontinuity Designs” Econometrica 82, 2295-2326.
Topic 1-7
Difference-in-Differences Estimation
Background: Imbens, G. and J. Wooldridge 2007 “Difference in Differences Estimation” Lecture Notes, NBER.
Imbens and Wooldridge Lecture 10 IW Lecture 10 Slides
Syllabus: Economics 245A
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Ashenfelter, O. and D. Card 1985 “Using the Longitudinal Structure of Earnings to Estimate the Effect of
Training Programs” Review of Economics and Statistics 67, 648-660.
Imbens, G. and J. Hellerstein 1999 “Imposing Moment Restrictions from Auxiliary Data by Weighting” Review
of Economics and Statistics 81, 1-14.
Abadie, A. 2005 “Semiparametric Difference-in-Differences Estimators” Review of Economic Studies 72, 1-19.
Athey, S. and G. Imbens 2006 “Identification and Inference in Nonlinear Difference-in-Difference Models”
Econometrica 74, 431-498.
Topic 1-8
Linear Panel Data Models
Background: Imbens, G. and J. Wooldridge 2007 “Linear Panel Data Models” Lecture Notes, NBER. Imbens
and Wooldridge Lecture 2 IW Lecture 2 Slides
Neyman, J. and E. Scott 1948 “Consistent Estimates Based on Partially Consistent Observations”
Econometrica 16, 1-32.
Rasch, G. 1961 “On the General Laws and the Meaning of Measurement in Psychology” in Proceedings of the
Fourth Berkeley Symposium on Mathematical Statistics and Probability: Volume 4, University of
California Press, Berkeley. Rasch
Hirano, K., G. Imbens, G. Ridder and D. Rubin 2001 “Combining Panel Data Sets with Attrition and
Refreshment Samples” Econometrica 69, 1645-1659.
Chamberlain, G. 1982 “Multivariate Regression Models for Panel Data” Journal of Econometrics 18, 5-46.
Deschenes, O. and M. Greenstone 2007 “The Economic Impacts of Climate Change: Evidence from
Agricultural Output and Random Fluctuations in Weather” American Economic Review 97, 354-385.
Stock, J. and M. Watson 2008 “Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data
Regression” Econometrica 76, 155-174.
Bates, D. 2009 “Linear Mixed Model Implementation in lme4” Statistics Department Working Paper Series,
Wisconsin. Bates 2009a
Bates, D. 2009 “Penalized Least Squares versus Generalized Least Squares Representations of Linear Mixed
Models” Statistics Department Working Paper Series, Wisconsin. Bates 2009b
Topic 1-9
Nonlinear Panel Data Models
Background: Imbens, G. and J. Wooldridge 2007 “Nonlinear Panel Data Models” Lecture Notes, NBER.
Imbens and Wooldridge Lecture 4 IW Lecture 4 Slides
Andersen, E. 1970 “Asymptotic Properties of Conditional Maximum Likelihood Estimators” Journal of the
Royal Statistical Society Series B 32, 283-301.
Hahn, J. and W. Newey 1994 “Jackknife and Analytical Bias Reduction for Nonlinear Panel Models”
Econometrica 72, 1295-1319.
Chernozhukov, V., I. Fernandez-Val, J. Hahn and W. Newey 2009 “Identification and Estimation of Marginal
Effects in Nonlinear Panel Models” Economics Department Working Paper Series, MIT.
Chernozhukov et alia 2009
Wooldridge, J. 2009 “Correlated Random Effects Models with Unbalanced Panels” Economics Department
Working Paper Series, Michigan State. Wooldridge
Bonhomme, S. 2012 “Functional Differencing” Econometrica 80, 1337-1385.
Chernozhukov, V., I. Fernandez-Val and W. Newey 2013 “Average and Quantile Effects in Nonseparable
Panel Models” Econometrica 81, 535-580.
Syllabus: Economics 245A
Topic 1-10
Page 9
Matching
Rosenbaum, P. and D. Rubin 1983 “The Central Role of the Propensity Score in Observational Studies for
Causal Effects” Biometrika 70, 41-55.
Greenstone, M. and E. Moretti 2004 “Bidding for Industrial Plants: Does Winning a 'Million Dollar Plant'
Increase Welfare?” Economics Department Working Paper Series, UC Berkeley. Greenstone and
Moretti
Abadie, A. and G. Imbens 2006 “Large Sample Properties of Matching Estimators for Average Treatment
Effects” Econometrica 74, 235-267.
Abadie, A. and G. Imbens 2008 “On the Failure of the Bootstrap for Matching Estimators” Econometrica 76,
1537-1557.
Shaikh, A., M. Simonsen, E. Vytlacil and N. Yildiz 2009 “A Specification Test for the Propensity Score using
its Distribution Conditional on Participation” Journal of Econometrics 151, 33-46.
Topic 1-11
Randomization Design in Field Experiments
Manning, W., J. Newhouse, N. Duan, E. Keeler and A. Liebowitz 1987 “Health Insurance and the Demand for
Medical Care: Evidence from a Randomized Experiment” American Economic Review 77, 251-277.
Heckman, J. and J. Smith 1995 “Assessing the Case for Social Experiments” Journal of Economic Perspectives
9, 85-110.
Meyer, B. 1995 “Natural and Quasi-Experiments in Economics” Journal of Business and Economic Statistics
13, 151-162.
Manski, C. 1997 “Monotone Treatment Effects” Econometrica 65, 1311-1334.
Wooldrdige, J. 1999 “Asymptotic Properties of Weighted M-Estimators for Variable Probability Samples”
Econometrica 67, 1385-1406.
Manning, W. and J. Mullahy 2001 “Estimating Log Models: To Transform or not to Transform?” Journal of
Health Economics 20, 461-494.
Manning, W., A. Basu and J. Mullahy 2005 “Generalized Modeling Approaches to Risk Adjustment of Skewed
Outcomes Data” Journal of Health Economics 24, 465-488.
Duflo, E., R. Glennerster and M. Kremer 2006 “Using Randomization in Development Economics Research: A
Toolkit” in Handbook of Development Economics, T. Schultz editor. Duflo, Glennerster and Kremer
Levitt, S. and J. List 2007 “What do Laboratory Experiments Measuring Social Preferences Reveal About the
Real World?” Journal of Economic Perspectives, 21(2), 153-174.
Levitt, S. and J. List 2009 “Field Experiments in Economics: The Past, the Present and the Future” European
Economic Review, 53, 1-18.
Rosenbaum, P. 2007 “Confidence Intervals for Uncommon but Dramatic Responses to Treatment” Biometrics
63, 1164-1171.
Bruhn, M. and D. McKenzie 2009 “In Pursuit of Balance: Randomization in Practice in Development Field
Experiments” American Economic Journal: Applied Economics 1, 200-232.
Deaton, A. 2009 “Instruments of Development: Randomization in the Tropics and the Search for the Elusive
Keys to Economic Development” Economics Department Working Paper Series, Princeton. Deaton
Hahn, J. and K. Hirano 2009 “Design of Randomized Experiments to Measure Social Interaction Effects”
Economics Department Working Paper Series, UCLA. Hahn and Hirano
Hirano, K. and J. Porter 2009 “Asymptotics for Statistical Treatment Rules” Econometrica 77, 1683-1702.
Syllabus: Economics 245A
Page 10
Karlan, D. and J. Zinman 2009 “Observing Unobservables: Identifying Information Asymmetries with a
Consumer Credit Field Experiment” Econometrica 77, 1993-2008.
Levitt, S. and J. List 2009 “Field Experiments in Economics: The Past, the Present and the Future” European
Economic Review 53, 1-18.
Acemoglu, D. 2010 “Theory, General Equilibrium and Political Economy in Development Economics” Journal
of Economic Perspectives 24, 17-32.
Deaton, A. 2010 “Instruments, Randomization and Learning about Development” Journal of Economic
Literature 48, 424-455.
Fan, Y. and S. Park 2010 “Sharp Bounds on the Distribution of Treatment Effects and their Statistical
Inference” Econometric Theory 26, 931-951.
List, J., S. Sadoff and M. Wagner 2010 “So You Want to Run an Experiment, Now What? Some Simple Rules
of Thumb for Optimal Experimental Design” NBER Working Paper. List, Sadoff and Wagner
Bandiera, O., I. Barankay and I. Rasul 2011 “Field Experiments with Firms” Journal of Economic Perspectives
25, 63-82.
Card, D., S. Della Vigna and U. Malmendier 2011 “The Role of Theory in Field Experiments” Economics
Department Working Paper Series, UC Berkeley. Card, Della Vigna and Malmendier
Topic 1-12
Weak Instruments and IV
Fieller, E. 1932 “The Distribution of the Index in a Normal Bivariate Population” Biometrika 24, 428-440.
Fieller, E. 1954 “Some Problems in Interval Estimation” Journal of the Royal Statistical Society Series B 16,
175-185.
Sargan, J. 1958 “The Estimation of Economic Relationships using Instrumental Variables” Econometrica 26,
393-415.
Nagar, A. 1959 “The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in
Simultaneous Equations” Econometrica 27, 575-595.
Kinal, T. 1980 “The Existence of Moments of k-Class Estimators” Econometrica 48, 241-249.
Kunitomo, N. 1980 “Asymptotic Expansions of Distributions of Estimators in a Linear Functional Relationship
and Simultaneous Equations” Journal of the American Statistical Association 75, 693-700.
White, H. 1982 “Maximum Likelihood Estimation in Misspecified Models” Econometrica 50, 1-25.
Morimune, K. 1983 “Approximate Distribution of the k-Class Estimators when the Degree of
Overidentifiability is Large Compared with the Sample Size” Econometrica 51, 821-841.
Lo, A. and W. Newey 1985 “A Large Sample Chow Test for the Linear Simultaneous Equations Model”
Economics Letters 18, 351-353.
Newey, W. 1985 “Generalized Method of Moments Specification Testing” Journal of Econometrics 29, 229256.
Newey, W. 1985 “Maximum Likelihood Specification Testing and Conditional Moment Tests” Econometrica
53, 1047-1070.
Nelson, C. and R. Startz 1990 “The Distribution of the Instrumental Variables Estimator and Its t-Ratio When
the Instrument Is a Poor One” Journal of Business 63, 125-140.
Newey, W. 1990 “Efficient Instrumental Variables Estimation of Nonlinear Models” Econometrica 58, 809837.
Buse, A. 1992 “The Bias of Instrumental Variables Estimators” Econometrica 60, 173-180.
Syllabus: Economics 245A
Page 11
Bound, J., D. Jaeger and R. Baker 1995 “Problems with Instrumental Variables Estimation when the
Correlation Between the Instruments and the Endogenous Explanatory Variable is Weak” Journal of
the American Statistical Association 90, 443-450.
Dufour, J. 1997 “Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic
Models” Econometrica 65, 1365-1387.
Staiger, D. and J. Stock 1997 “Instrumental Variables Regression with Weak Instruments” Econometrica 65,
557-586.
Stock, J. and J. Wright 2000 “GMM with Weak Identification” Econometrica 68, 1097-1126.
Andrews, D., M. Moreira and J. Stock 2006 “Optimal Two-Sided Invariant Similar Tests for Instrumental
Variables Regression” Econometrica 74, 715-752.
Andrews, D. and J. Stock 2007 “Testing with Many Weak Instruments” Journal of Econometrics 138, 24-46.
Newey, W. and F. Windmeijer 2009 “Generalized Method of Moments with Many Weak Moment Conditions”
Econometrica 77, 687-719.
Horowitz, J. 2011 “Applied Nonparametric Instrumental Variable Estimation” Econometrica 79, 347-394.
Cogley, T. and R. Startz 2011 “Inference in Nonlinear Regression when the Strength of Identification is
Unknown” Economics Department Working Paper Series, UC Santa Barbara. Cogley and Startz
Andrews, D. and X. Cheng 2012 “Estimation and Inference with Weak, Semi-Strong, and Strong
Identification” Econometrica 80, 2153-2211.
Chao, J., J. Hausman, W. Newey, N. Swanson and T. Woutersen 2012 “Testing Overidentifying Restrictions
with Many Instruments and Heteroskedasticity” Economics Department Working Paper Series,
Arizona. Chao Hausman Newey Swanson and Woutersen
Guggenberger, P., F. Kleibergen, S. Mavroeidis and L. Chen 2012 “On the Asymptotic Sizes of Subset
Anderson-Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression”
Econometrica 80, 2649-2666.
Santos, A. 2012 “Inference in Nonparametric Instrumental Variables with Partial Identification” Econometrica
80, 213-275.
Andrews, I. and A. Mikusheva 2014 “Weak Identification in Maximum Likeihood: A Question of
Information” American Economic Review 104, 195-199.
Topic 1-13
Measurement Error
Pal, M. 1980 “Consistent Moment Estimators of Regression Coefficients in the Presence of Errors in
Variables” Journal of Econometrics 14, 349-364.
Newey, W. 1984 “A Method of Moments Interpretation of Sequential Estimators” Economics Letters 14, 201206.
Andrews, D. 1985 “A Zero-One Result for the Least Squares Estimator” Econometric Theory 1, 85-96.
Cook, J. and L. Stefanski 1994 “Simulation-Extrapolation Estimation in Parametric Measurement Error
Models” Journal of the American Statistical Association 89, 1314-1328.
Hu, Y. 2006 “Bounding Parameters in a Linear Regression Model with a Mismeasured Regressor using
Additional Information” Journal of Econometrics 133, 51-70.
Hu, Y. 2008 “Identification and Estimation of Nonlinear Models with Misclassification Error using
Instrumental Variables: A General Solution” Journal of Econometrics 144, 27-61.
Hu, Y. and S. Schennach 2008 “Instrumental Variable Treatment of Nonclassical Measurement Error Models”
Econometrica 76, 195-216.
Chen, X., H. Hong and D. Nekipelov 2011 “Nonlinear Models of Measurement Errors” Journal of Economic
Literature 49, 901-937.
Syllabus: Economics 245A
Page 12
Feng, S. and Y. Hu 2013 “Misclassificaton Errors and the Underestimation of the US Unemployment Rate”
American Economic Review 103, 1054-1070.
Area 2: Accurate Measures of Validity
Topic 2-1
Heteroskedasticity-Consistent Standard Error Estimation
Computational Exercise For the given cross-section data sets, which standard error estimator
should you report (and how many)? Can you use the standard error estimators to deduce which of
the two data sets has more pronounced heteroskedasticity?
The two comma delimited data sets are:
HCSE Data Set 1 HCSE Data Set 2
Eicker, F. 1963 “Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear
Regressions” Annals of Mathematical Statistics 34, 447-456.
Eicker, F. 1967 “Limit Theorems for Regressions with Unequal and Dependent Errors” in Proceedings of the
Fifth Berkeley Symposium on Mathematical Statistics and Probability: Volume 1, University of
California Press, Berkeley. Eicker
Huber, P. 1967 “The Behavior of Maximum Likelihood Estimates Under Nonstandard Conditions” in
Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability: Volume 1,
University of California Press, Berkeley. Huber
Neave, H. 1970 “An Improved Formula for the Asymptotic Variance of Spectrum Estimates” Annals of
Mathematical Statistics 41, 70-77.
White, H. 1980 “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for
Heteroskedasticity” Econometrica 48, 817-838.
McLeod, A. and C. Jimenez 1984 “Nonnegative Definiteness of the Sample Autocovariance Function”
American Statistician 38, 297-298.
Newey, W. and K. West 1987 “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation
Consistent Covariance Matrix” Econometrica 55, 703-708.
Rothenberg, T. 1988 “Approximate Power Functions for Some Robust Tests of Regression Coefficients”
Econometrica 56, 997-1019.
Andrews, D. 1991 “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”
Econometrica 59, 817-858.
Andrews, D. and J. Monahan 1992 “An Improved Heteroskedasticity and Autocorrelation Consistent
Covariance Matrix Estimator” Econometrica 60, 953-966.
Kiefer, N., T. Vogelsang and H. Bunzel 2000 “Simple Robust Testing of Regression Hypotheses”
Econometrica 68, 695-714.
Kiefer, N., T. Vogelsang and H. Bunzel 2001 “Simple Robust Testing of Hypotheses in Non-linear Models”
Journal of the American Statistical Association 96, 1088-1098.
Kiefer, N. and T. Vogelsang 2002 “Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal
to Sample Size” Econometrica 70, 2093-2095.
Jansson, M. 2004 “On the Error of Rejection Probability in Simple Autocorrelation Robust Tests”
Econometrica 72, 937-946.
Kiefer, N. and T. Vogelsang 2005 “A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust
Tests” Econometric Theory 21, 1130-1164.
Phillips, P., Y. Sun and S. Jin 2006 “A New Approach to Heteroskedasticity and Autocorrelation Robust
Inference in Cointegration” Economics Letters 91, 300-306.
Syllabus: Economics 245A
Page 13
Phillips, P., Y. Sun and S. Jin 2006 “Spectral Density Estimation and Robust Hypothesis Testing Using Steep
Origin Kernels Without Truncation” International Economic Review 47, 837-894.
Mueller, U. 2007 “A Theory of Robust Long-Run Variance Estimation” Journal of Econometrics 141, 13311352.
Phillips, P., Y. Sun and S. Jin 2007 “Consistent HAC Estimation and Robust Regression Testing Using Sharp
Origin Kernels With No Truncation” Journal of Statistical Planning and Inference 137, 985-1023.
Sun, Y., P. Phillips and S. Jin 2008 “Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation
Robust Testing” Econometrica 76, 175-194.
Erb, J. and D. Steigerwald 2009 “Accurately Sized Test Statistics with Misspecified Conditional
Homoskedasticity” Economics Department Working Paper Series, UC Santa Barbara. Erb and
Steigerwald
Sun, Y. 2009 “Autocorrelation Robust Mean Inference with Optimal Orthonormal Bases” Economics
Department Working Paper Series, UC San Diego. Sun 2009a
Sun, Y. 2009 “Robust Multivariate Trend Inference in the Presence of Nonparametric Autocorrelation”
Economics Department Working Paper Series, UC San Diego. Sun 2009b
Sun, Y. 2010 “Let's Fix It: Fixed-b Asymptotics versus Small- Asymptotics in Heteroskedasticity and
Autocorrelation Robust Inference” Economics Department Working Paper Series, UC San Diego. Sun
2010
Hausman, J. and C. Palmer 2011 “Heteroskedasticity-Robust Inference in Finite Samples” Economics
Department Working Paper Series, MIT. Hausman and Palmer
Mueller, U. 2012 “HAC Corrections for Strongly Autocorrelated Time Series” Economics Department
Working Paper Series, Princeton. Mueller
Topic 2-2
Cluster Sampling
Background: Imbens, G. and J. Wooldridge 2007 “Cluster and Stratified Sampling” Lecture Notes, NBER.
Imbens and Wooldridge Lecture 8
Background: Cameron, C., J. Gelbach and D. Miller 2008 “Bootstrap-Based Improvements for Inference with
Clustered Errors” Lecture Notes, UC Davis. Cameron, Gelbach and Miller One Way Lecture
Background: Cameron, C., J. Gelbach and D. Miller 2008 “Robust Inference with Multi-Way Clustering”
Lecture Notes, UC Davis. Cameron, Gelbach and Miller Two Way Lecture
Satterthwaite, F. 1941 “Synthesis of Variance” Psychometrika 6, 309-316.
Satterthwaite, F. 1946 “An Approximate Distribution of Estimates of Variance Components” Biometrics 2,
110-114.
Swamy, P. 1970 “Efficient Inference in a Random Coefficient Regression Model” Econometrica 38, 311-323.
Swamy, P. 1971 Statistical Inference in Random Coefficient Regression Models, Springer-Verlag, New York.
Rosenberg, B. 1973 “Linear Regression with Randomly Dispersed Parameters” Biometrika 60, 65-72.
Fuller, W. 1975 “Regression Analysis for Sample Survey” Sankhya Series C 37, 117-132.
Campbell, C. 1977 “Properties of Ordinary and Weighted Least Squares Estimators of Regression Coefficients
for Two-Stage Samples” Proceedings of the Social Statistics Section, American Statistical
Association, 800-805.
Harville, D. 1977 “Maximum Likelihood Approaches to Variance Component Estimation and to Related
Problems” Journal of the American Statistical Association 72, 320-338.
Harrison, D. and D. Rubinfeld 1978 “Hedonic Housing Prices and the Demand for Clean Air” Journal of
Environmental Economics and Management 5, 81-102.
Syllabus: Economics 245A
Page 14
Data Available from: Belsley, D., E. Kuh and R. Welsch, 1980 Regression Diagnostics: Identifying Influential Data and
Sources of Collinearity, Wiley New York, page 239.
Kiefer, N. 1980 “Estimation of Fixed Effect Models for Time Series of Cross-Sections with Arbitrary
Intertemporal Covariance” Journal of Econometrics 14, 195-202.
Taylor, W. 1980 “Small Sample Considerations in Estimation from Panel Data” Journal of Econometrics 13,
203-223.
Holt, D. and A. Scott 1981 “Regression Analysis Using Survey Data” Statistician 30, 169-178.
Krewski, D. and J. Rao 1981 “Inference from Stratified Samples: Properties of the Linearization, Jackknife
and Balanced Repeated Replication Methods” Annals of Statistics 9, 1010-1019.
Nickell, S. 1981 “Biases in Dynamic Models with Fixed Effects” Econometrica 49, 1417-1426.
MaCurdy, T. 1982 “The Use of Time Series Processes to Model the Error Structure of Earnings in a
Longitudinal Data Analysis” Journal of Econometrics 18, 83-114.
Scott, A. and D. Holt 1982 “The Effect of Two-Stage Sampling on Ordinary Least Squares Methods” Journal
of the American Statistical Association 77, 848-854.
Dielman, T. 1983 “Pooled Cross-Sectional and Time Series Data: A Survey of Current Statistical
Methodology” American Statistician 37, 111-122.
Greenwald, B. 1983 “A General Analysis of Bias in the Estimated Standard Errors of Least Squares
Coefficients” Journal of Econometrics 22, 323-338.
Pakes, A. 1983 “On Group Effects and Errors in Variables in Aggregation” Review of Economics and Statistics
65, 168-173.
Chow, G. 1984 “Maximum Likelihood Estimation of Misspecified Models” Economic Modeling 1, 134-138.
Greenlees, J. and K. Zieschang 1984 “Grouping Tests for Misspecification: An Application to Housing
Demand” Journal of Business and Economic Statistics 2, 159-169.
Kackar, R. and D. Harville 1984 “Approximations for Standard Errors of Estimators of Fixed and Random
Effects in Mixed Linear Models” Journal of the American Statistical Association 79, 853-862.
Rothenberg, T. 1984 “Approximate Normality of Generalized Least Squares Estimates” Econometrica 52, 811825.
Rothenberg, T. 1984 “Hypothesis Testing in Linear Models When the Error Covariance Matrix is Nonscalar”
Econometrica 52, 827-842.
Pfeffermann, D. and T. Smith 1985 “Regression Models for Grouped Populations in Cross-Section Surveys”
International Statistical Review 53, 37-59.
Liang, K. and S. Zeger 1986 “Longitudinal Data Analysis Using Generalized Linear Models” Biometrika 73,
13-22.
Arellano, M. 1987 “Computing Robust Standard Errors for Within-Group Estimators” Oxford Bulletin of
Economics and Statistics 49, 431-434.
Chesher, A. and I. Jewitt 1987 “The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator”
Econometrica 55, 1217-1222.
Rao, J. and C. Wu 1988 “Resampling Inference with Complex Survey Data” Journal of the American
Statistical Association 83, 231-241.
Chesher, A. 1989 “Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald
Tests” Econometrica 57, 971-977.
Moulton, B. and W. Randolph 1989 “Alternative Tests of the Error Component Model” Econometrica 57, 685693.
Dickens, W. 1990 “Error Components in Grouped Data: Is It Ever Worth Weighting” Review of Economics
and Statistics 72, 328-333.
Syllabus: Economics 245A
Page 15
Moulton, B. 1990 “An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units”
Review of Economics and Statistics 72, 334-338.
Gruber, J. and J. Poterba 1994 “Tax Incentives and the Decision to Purchase Health Insurance: Evidence from
the Self-Employed” Quarterly Journal of Economics 108, 701-733.
Kauermann, G. and R. Carroll 2001 “A Note on the Efficiency of Sandwich Covariance Matrix Estimation”
Journal of the American Statistical Association 96, 1387-1396.
Mancl, L. and T. DeRouen 2001 “A Covariance Estimator for GEE with Improved Finite-Sample Properties”
Biometrics 57, 126-134.
Angrist, J. and V. Lavy 2002 “New Evidence on Classroom Computers and Pupil Learning” Economic Journal
112, 735-765.
Bell, R. and D. McCaffrey 2002 “Bias Reduction in Standard Errors for Linear Regressions with Multi-Stage
Samples” Survey Methodology 28, 169-179.
Hahn, J. and G. Kuersteiner 2002 “Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed
Effects when both N and T are Large” Econometrica 70, 1639-1657.
Lancaster, T. 2002 “Orthogonal Parameters and Panel Data” Review of Economic Studies 69, 647-666.
Pan, W. and M. Wall 2002 “Small-Sample Adjustments in Using the Sandwich Variance Estimator in
Generalized Estimating Equations” Statistics in Medicine 21, 1429-1441.
Pepper, J. 2002 “Robust Inferences from Random Clustered Samples: An Application Using Data from the
Panel Study of Income Dynamics” Economics Letters 75, 341-345.
Wooldridge, J. 2003 “Cluster-Sample Methods in Applied Econometrics” American Economic Review 93, 133138.
Bertrand, M., E. Duflo and S. Mullainathan 2004 “How Much Should We Trust Differences-in-Differences
Estimates?” Quarterly Journal of Economics 119, 249-275.
Kezdi, G. 2004 “Robust Standard Error Estimation in Fixed-Effects Panel Models” Hungarian Statistical
Review special number 9, 95-116. Kezdi
Bhattacharya, D. 2005 “Asymptotic Inference from Multi-Stage Samples” Journal of Econometrics 126, 145171.
Cameron, A., J. Gelbach and D. Miller 2006 “Robust Inference with Multi-Way Clustering” NBER Working
Paper Series. Cameron, Gelbach and Miller 2006
Miglioretti, D. and P. Heagerty 2006 “Marginal Modeling of Nonnested Multilevel Data using Standard
Software” American Journal of Epidemiology 165, 453-463. Miglioretti and Heagerty
Wooldridge, J. 2006 “Cluster-Sample Methods in Applied Econometrics: An Extended Analysis” Economics
Department Working Paper Series, Michigan State. Wooldridge 2006
Donald, S. and K. Lang 2007 “Inference with Difference-in-Differences and Other Panel Data” Review of
Economics and Statistics 89, 221-233.
Hansen, C. 2007 “Generalized Least Squares Inference in Panel and Multilevel Models with Serial Correlation
and Fixed Effects” Journal of Econometrics 140, 670-694.
Angrist, J. and A. Kugler 2008 “Rural Windfall or a New Resource Curse? Cocoa, Income, and Civil Conflict
in Colombia” Review of Economics and Statistics 90, 191-215.
Garcia, L., A. Gordaliza, C. Matran and A. Mayo 2008 “A General Trimming Approach to Robust Cluster
Analysis” Annals of Statistics 36, 1324-1345.
Hausman, J. and G. Kuersteiner 2008 “Difference in Difference Meets Generalized Least Squares: Higher
Order Properties of Hypothesis Tests” Journal of Econometrics 144, p 371-391.
Bester, C., T. Conley, C. Hansen and T. Vogelsang 2009 “Fixed b Asymptotics for Spatially Dependent Robust
Nonparametric Covariance Matrix Estimators” Economics Department Working Paper Series,
Chicago. Bester, Conley, Hansen and Vogelsang
Syllabus: Economics 245A
Page 16
Finlay, K. and L. Magnusson 2009 “Implementing Weak-Instrument Robust Tests for a General Class of
Instrumental-Variables Models” Stata Journal 9(3), 1-26. Finlay and Magnusson
Petersen, M. 2009 “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches” Review of
Financial Studies 22, 435-480.
Thompson, S. 2009 “Simple Formulas for Standard Errors that Cluster by Both Firm and Time” Finance
Group Working Paper Series, Arrowstreet Capital. Thompson
Abadie, A., A. Diamond, and J. Hainmuller 2010 “Synthetic Control Methods for Comparative Case Studies:
Estimating the Effect of California’s Tobacco Control Program” Journal of the American Statistical
Association 105, 493-505.
Algan, Y. and P. Cahuc 2010 “Inherited Trust and Growth” American Economic Review 100, 2060-2092.
Ellul, A., M. Pagano and F. Panunzi 2010 “Inheritance Law and Investment in Family Firms” American
Economic Review 100, 2414-2450.
Ibragimov, R. and U. Mueller 2010 “t-Statistic Based Correlation and Heterogeneity Robust Inference” Journal
of Business and Economic Statistics 28, 453-468.
Rose, H. and J. Sonstelie 2010 “School Board Politics, School District Size and the Bargaining Power of
Teachers’ Unions” Journal of Urban Economics 67, 438-450.
Acemoglu, D., D. Cantoni, S. Johnson and J. Robinson 2011 “The Consequences of Radical Reform: The
French Revolution” American Economic Review 101, 3286-3307.
Baum-Snow, N. and B. Lutz 2011 “School Desegregation, School Choice, and Changes in Residential Location
Patterns by Race” American Economic Review 101, 3019-3046.
Bester, A., T. Conley and C. Hansen 2011 “Inference with Dependent Data Using Cluster Covariance
Estimators” Journal of Econometrics 165, 137-151.
Cameron, A., J. Gelbach and D. Miller 2011 “Robust Inference with Multi-Way Clustering” Journal of
Business and Economic Statistics 29, 238-249.
Cameron, A. and D. Miller 2011 “Robust Inference with Clustered Data” in Handbook of Empirical Economics
and Finance (A. Ullah and D. Giles eds.), CRC Press, 1-28.
Conley, C. and C. Taber 2011 “Inference with ‘Difference in Differences’ with a Small Number of Policy
Changes” Review of Economics and Statistics 93, 113-125.
Dinkelman, T. 2011 “The Effects of Rural Electrification on Employment: New Evidence from South Africa”
American Economic Review 101, 3078-3108.
Enikolopov, R., M. Petrova and E. Zhuravskaya 2011 “Media and Political Persuasion: Evidence from Russia”
American Economic Review 101, 3253-3285.
Erkal, N., L. Gangadharan and N. Nikiforakis 2011 “Relative Earnings and Giving in a Real-Effort
Experiment” American Economic Review 101, 3330-3348.
Gentzkow, M., J. Shapiro and M. Sinkinson 2011 “The Effect of Newspaper Entry and Exit on Electoral
Politics” American Economic Review 101, 2980-3018.
Knittel, C. 2011 “Automobiles on Steroids: Product Attribute Trade-Offs and Technological Progress in the
Automobile Sector” American Economic Review 101, 3368-3399.
Kuhn, P., P. Kooreman, A. Soetevent and A. Kapteyn 2011 “The Effects of Lottery Prizes on Winners and
Their Neighbors: Evidence from the Dutch Postcode Lottery” American Economic Review 101, 22262247.
Nunn, N. and L. Wantchekon 2011 “The Slave Trade and the Origins of Mistrust in Africa” American
Economic Review 101, 3221-3252.
Abadie, A., G. Imbens and F. Zheng 2012 “Robust Inference for Misspecified Models Conditional on
Covariates” Business School Working Paper Series, Stanford. Abadie Imbens and Zheng
Ambrus, A. and B. Greiner 2012 “Imperfect Public Monitoring with Costly Punishment: An Experimental
Study” American Economic Review 102, 3317-3332.
Syllabus: Economics 245A
Page 17
Andreoni, J. and C. Sprenger 2012 “Estimating Time Preferences from Convex Budgets” American Economic
Review 102, 3333-3356.
Bajari, P., J. Fruehwirth, K. Kim and C. Timmins 2012 “A Rational Expectations Approach to Hedonic Price
Regressions with Time-Varying Unobserved Product Attributes: The Price of Pollution” American
Economic Review 102, 1898-1926.
Brambilla, I., D. Lederman and G. Porto 2012 “Exports, Export Destinations and Skills” American Economic
Review 102, 3406-3438.
Blanes-Vidal, J., M. Draca and C. Fons-Rosen 2012 “Revolving Door Lobbyists” American Economic Review
102, 3731-3748.
Bombardini, M., G. Gallipoli and G. Pupato 2012 “Skill Dispersion and Trade Flows” American Economic
Review 102, 2327-2348.
Chaney, T., D. Sraer and D. Thesmar 2012 “The Collateral Channel: How Real Estate Shocks Affect
Corporate Investment” American Economic Review 102, 2381-2409.
Dahl, G. and L. Lochner 2012 “The Impact of Family Income on Child Achievement: Evidence from the
Earned Income Tax Credit” American Economic Review 102, 1927-1956.
Faye, M. and P. Niehaus 2012 “Political Aid Cycles” American Economic Review 102, 3516-3530.
Gine, X., J. Goldberg and D. Yang 2012 “Credit Market Consequences of Improved Personal Identification:
Field Experimental Evidence from Malawi” American Economic Review 102, 2923-2954.
Guadalupe, M., O. Kuzmina and C. Thomas 2012 “Innovation and Foreign Ownership” American Economic
Review 102, 3594-3627.
Hanson, S. and A. Sunderam 2012 “The Variance of Nonparametric Treatment Effect Estimators in the
Presence of Clustering” Review of Economics and Statistics forthcoming. Hanson and Sunderam
Houde, J. 2012 “Spatial Differentiation and Vertical Mergers in Retail Markets for Gasoline” American
Economic Review 102, 2147-2182.
Imberman, S., A. Kugler and B. Sacerdote 2012 “Katrina’s Children: Evidence on the Structure of Peer Effects
from Hurricane Evacuees” American Economic Review 102, 2048-2082.
Jimenez, G., S. Ongena, J. Peydro and J. Saurina 2012 “Credit Supply and Monetary Policy: Identifying the
Bank Balance-Sheet Channel with Loan Applications” American Economic Review 102, 2301-2326.
Kessler, J. and A. Roth 2012 “Organ Allocation Policy and the Decision to Donate” American Economic
Review 102, 2018-2047.
Kline, P. and A. Santos 2012 “A Score Based Approach to Wild Bootstrap Inference” Journal of Econometric
Methods 1, 23-41.
Kline, P. and A. Santos 2012 “Higher Order Properties of the Bootstrap under Misspecification” Journal of
Econometrics 171, 54-70.
Packalen, M. and T. Wirjanto 2012 “Inference about Clustering and Parametric Assumptions in Covariance
Matrix Estimation” Computational Statistics and Data Analysis 56, 1-14.
Pitt, M., M. Rosenzweig and M. Hassan 2012 “Human Capital Investment and the Gender Division of Labor in
a Brawn-Based Economy” American Economic Review 102, 3531-3560.
Taylor, E. and J. Tyler 2012 “The Effect of Evaluation on Teacher Performance” American Economic Review
102, 3628-3651.
Autor, D., D. Dorn and G. Hanson 2013 “The China Syndrome: Local Labor Market Effects of Import
Competition in the United States” American Economic Review 102, 2121-2168.
Brewer, M., T. Crossley and R. Joyce 2013 “Inference with Difference-in-Differences Revisited” Institute for
Fiscal Studies Working Paper Series. Brewer, Crossley, and Joyce
Busse, M., C. Knittel and F. Zettelmeyer 2013 “Are Consumers Myopic? Evidence from New and Used Car
Purchases” American Economic Review 103, 220-256.
Syllabus: Economics 245A
Page 18
Cameron, A. and D. Miller 2013 “A Practioner’s Guide to Cluster Robust Inference” Economics Department
Working Paper Series, Davis. Cameron and Miller
Carter, A., K. Schnepel and D. Steigerwald 2013 “Asymptotic Behavior of a t Test Robust to Cluster
Heterogeneity” Economics Department Working Paper Series, UC Santa Barbara. Carter Schnepel
and Steigerwald
Clark, D. and H. Royer 2013 “The Effect of Education on Adult Mortality and Health: Evidence from Britain”
American Economic Review 103, 2087-2120.
Dupas, P. and J. Robinson 2013 “Why Don’t the Poor Save More? Evidence from Health Savings
Experiments” American Economic Review 103, 1138-1171.
Einav, L., A. Finkelstein, S. Ryan, P. Schrimpf and M. Cullen 2013 “Selection on Moral Hazard in Health
Insurance” American Economic Review 103, 178-219.
Fehr, E., H. Herz and T. Wilkening 2013 “The Lure of Authority: Motivation and Incentive Effects of Power”
American Economic Review 103, 1325-1359.
Field, E., R. Pande, J. Papp and N. Rigol 2013 “Does the Classic Microfinance Model Discourage
Entrepreneurship Among the Poor? Experimental Evidence from India” American Economic Review
103, 2196-2226.
Grennan, M. 2013 “Price Discrimination and Bargaining: Empirical Evidence from Medical Devices”
American Economic Review 103, 145-177.
Keller, W. and S. Yeaple 2013 “The Gravity of Knowledge” American Economic Review 103, 1414-1444.
Khandelwal, A., P. Schott and S. Wei 2013 “Trade Liberalization and Embedded Institutional Reform:
Evidence from Chinese Exporters” American Economic Review 103, 2169-2195.
Naidu, S. and N. Yuchtman 2013 “Coercive Contract Enforcement: Law and the Labor Market in Nineteenth
Century Industrial Britain” American Economic Review 103, 107-144.
Parker, J., N. Souleles, D. Johnson and R. McClelland 2013 “Consumer Spending and the Economic Stimulus
Payments of 2008” American Economic Review 103, 2530-2553.
Pop-Eleches, C. and M. Urquiola 2013 “Going to a Better School: Effects and Behavioral Responses”
American Economic Review 103, 1289-1324.
Voigtlander, N. and H. Voth 2013 “How the West ‘Invented’ Fertility Restriction” American Economic Review
103, 2227-2264.
Hansen, B. 2014 “Model Averaging, Asymptotic Risk, and Regressor Groups” Quantitative Economics 5, 495530.
Sun, Y. 2014 “Fixed-Smoothing Asymptotics in Two-Step Generalized Method of Moments Framework”
Econometrica 82, 2327-2370.
Webb, M. 2014 “Reworking Wild Bootstrap Based Inference for Clustered Errors” Economics Department
Working Paper Series, Queens University. Webb
Bonhomme, S. and E. Manresa 2015 “Grouped Patterns of Heterogeneity in Panel Data” Econometrica 83,
1147-1184.
Topic 2-3
Independent, Double and Dependent Data Bootstrap
Efron, B. 1979 “Bootstrap Methods: Another Look at the Jackknife” Annals of Statistics 7, 1-26.
Bickel, P. and D. Freedman 1981 “Some Asymptotic Theory for the Bootstrap” Annals of Statistics 9, 11961217.
Efron, B. 1981 “Censored Data and the Bootstrap” Journal of the American Statistical Association 76, 312319.
Syllabus: Economics 245A
Page 19
Efron, B. 1981 “Nonparametric Standard Errors and Confidence Intervals” Canadian Journal of Statistics 9,
139-172.
Beran, R. 1984 “Bootstrap Methods in Statistics” Jahresbericht der Deutschen Mathematiker-Vereinigung 86,
14-30. Beran
Efron, B. and R. Tibshirani 1986 “Bootstrap Methods for Standard Errors, Confidence Intervals and Other
Measures of Statistical Accuracy” Statistical Science 1, 54-77.
Basawa, I., A. Mallik, W. McCormick and R. Taylor 1989 “Bootstrapping Explosive Autoregressive
Processes” Annals of Statistics 17, 1479-1486.
Basawa, I., A. Mallik, W. McCormick, J. Reeves and R. Taylor 1991 “Bootstrapping Unstable First-Order
Autoregressive Processes” Annals of Statistics 19, 1098-1101.
Gotze, F. and H. Kunsch 1996 “Second-Order Correctness of the Blockwise Bootstrap for Stationary
Observations” Annals of Statistics 24, 1914-1933.
Hall, P. and J. Horowitz 1996 “Bootstrap Estimators for Tests Based on Generalized Method of Moments
Estimators” Econometrica 64, 891-916.
Beran, R. 1997 “Diagnosing Bootstrap Success” Annals of the Institute of Statistical Mathematics 49, 1-24.
Davidson, R. and J. MacKinnon 1999 “The Size Distortion of Bootstrap Tests” Econometric Theory 15, 361376.
Andrews, D. and M. Buchinsky 2000 “A Three-Step Method for Choosing the Number of Bootstrap
Repetitions” Econometrica 68, 23-51.
Huitema, B., J. McKean and S. McKnight 2000 “A Double Bootstrap Method to Analyze Linear Models with
Autoregressive Error Terms” Psychological Methods 5, 87-101.
Andrews, D. and M. Buchinsky 2001 “Evaluation of a Three-Step Method for Choosing the Number of
Bootstrap Repetitions” Journal of Econometrics 103, 345-386.
Andrews, D. 2002 “Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for
Extremism Estimators” Econometrica 70, 119-162.
Andrews, D. and M. Buchinsky 2002 “On the Number of Bootstrap Repetitions for
BC a Confidence
Intervals” Econometric Theory 18, 962-984.
Nankervis, J. 2005 “Computational Algorithms for Double Bootstrap Confidence Intervals” Computational
Statistics and Data Analysis 49, 461-475.
Armstrong, T., M. Bertanha and H. Hong 2012 “A Fast Resample Method for Parametric and Semiparametric
Models” Economics Department Working Paper Series, Stanford. Armstrong Bertanha and Hong
Cavaliere, G., I. Georgiev and A. Taylor 2013 “Wild Bootstrap of the Sample Mean in the Infinite Variance
Case” Econometric Reviews 32, 204-219.
Topic 2-4
Subsampling
Background: Politis, D., J. Romano and M. Wolf Subsampling (1999: Springer-Verlag)
Politis, D. and J. Romano 1994 “Large Sample Confidence Regions Based on Subsamples under Minimal
Assumptions” Annals of Statistics 22, 2031-2050.
Politis, D, J. Romano and M. Wolf 2001 “On the Asymptotic Theory of Subsampling” Statistica Sinica 11,
1105-1124.
Bickel, P. and A. Sakov 2008 “On the Choice of m in the m out of n Bootstrap and its Application to
Confidence Bounds for Extreme Percentiles” Statistica Sinica 18, 967-985.
Andrews, D. and P. Guggenberger 2009 “Hybrid and Size-Corrected Subsampling Methods” Econometrica 77,
721-762.
Syllabus: Economics 245A
Page 20
Andrews, D. and P. Guggenberger 2009 “Incorrect Asymptotic Size of Subsampling Procedures Based on PostConsistent Model Selection Estimators” Journal of Econometrics 152, 19-27. Earlier version Andrews
and Guggenberger 2007b
Andrews, D. and P. Guggenberger 2009 “Validity of Subsampling and 'Plug-In Asymptotic' Inference for
Parameters defined by Moment Inequalities” Econometric Theory 25, 669-709. some results drawn
from Andrews, D. and P. Guggenberger 2007 “Applications of Subsampling, Hybrid and SizeCorrection Methods” Cowles Foundation Working Paper Series, Yale. Andrews and Guggenberger
2007a
Andrews, D. and P. Guggenberger 2010 “Applications of Subsampling, Hybrid and Size-Correction Methods”
Journal of Econometrics 158, 285-305.
Andrews, D. and P. Guggenberger 2010 “Asymptotic Size and a Problem with Subsampling and with the m Out
of n Bootstrap” Econometric Theory 26, 426-468.
Romano, J. and A. Shaikh 2010 “On the Uniform Asymptotic Validity of Subsampling and the Bootstrap”
Economics Department Working Paper Series, Chicago. Romano and Shaikh
Phillips, P. 2012 “Folklore Theorems, Implicit Maps, and Indirect Inference” Econometrica 80, 425-454.
Woutersen, T. and J. Ham 2013 “Calculating Confidence Intervals for Continuous and Discontinuous Functions
of Parameters” Economics Department Working Paper Series, Arizona. Woutersen and Ham
Area 3: Broadening the Linear Model
Topic 3-1
Bivariate and Multivariate Response Models
Background: Train, K. Discrete Choice Models with Simulation (2003: Cambridge University)
Background: Imbens, G. and J. Wooldridge 2007 “Discrete Choice Models” Lecture Notes, NBER. Imbens and
Wooldridge Lecture 11 IW Lecture 11 Slides
Tobin, J. 1958 “Estimation of Relationships for Limited Dependent Variables” Econometrica 26, 24-36.
Amemiya, T. 1973 “Regression Analysis when the Dependent Variable is Truncated Normal” Econometrica
41, 997-1016.
Manski, C. 1975 “Maximum Score Estimation of the Stochastic Utility Model of Choice” Journal of
Econometrics 3, 205-228.
Heckman, J. 1976 “The Common Structure of Statistical Models of Truncation, Sample Selection and Limited
Dependent Variables and a Simple Estimator for Such Models” Annals of Economic and Social
Measurement 5, 475-492. Heckman 1976
Manski, C. and S. Lerman 1977 “The Estimation of Choice Probabilities from Choice Based Samples”
Econometrica 45, 1977-1988.
Bergstrom, T., D. Rubinfeld and P. Shapiro 1982 “Micro-Based Estimates of Demand Functions for Local
School Expenditures” Econometrica 50, 1183-1206.
Amemiya, T. 1984 “Tobit Models: A Survey” Journal of Econometrics 24, 3-61.
Ruud, P. 1986 “Consistent Estimation of Limited Dependent Variable Models Despite Misspecification of
Distribution” Journal of Econometrics 32, 157-187.
Smith, R. and R. Blundell 1986 “An Exogeneity Test for a Simultaneous Equation Tobit Model with an
Application to Labor Supply” Econometrica 54, 679-685.
Stoker, T. 1986 “Consistent Estimation of Scaled Coefficients” Econometrica 54, 1461-1481.
Newey, W. 1987 “Specification Tests for Distributional Assumptions in the Tobit Model” Journal of
Econometrics 34, 125-145.
Syllabus: Economics 245A
Page 21
Manski, C. 1988 “Identification of Binary Response Models” Journal of the American Statistical Association
83, 729-738.
Horowitz, J. 1988 “A Smoothed Maximum Score Estimator for the Binary Response Model” Econometrica 60,
505-531.
Chen, S. and S. Khan 2000 “Estimating Censored Regression Models in the Presence of Nonparametric
Multiplicative Heteroskedasticity” Journal of Econometrics 98, 283-316.
Manski, C. and E. Tamer 2002 “Inference on Regressions with Interval Data on a Regressor or Outcome”
Econometrica 70, 519-546.
Klein, R. and R. Sherman 2002 “Shift Restrictions and Semiparametric Estimation in Ordered Models”
Econometrica 70, 663-691.
Vytlacil, E. 2002 “Independence, Monotonicity and Latent Index Models: An Equivalence Result”
Econometrica 70, 331-341.
Ai, C. and E. Norton 2003 “Interaction Terms in Logit and Probit Models” Economics Letters 80, 123-129.
Ahn, H., H. Ichimura and J. Powell 2004 “Simple Estimators for Monotone Single Index Models” Economics
Department Working Paper Series, UC Berkeley. Ahn, Ichimura and Powell
Norton, E., H. Wang and C. Ai 2004 “Computing Interaction Effects and Standard Errors in Logit and Probit
Models” Stata Journal 4, 154-167.
Carson, R. and Y. Sun 2007 “The Tobit Model with a Non-Zero Threshold” Econometrics Journal 10, 488502.
Bierlaire, M., D. Bolduc and D. McFadden 2008 “The Estimation of Generalized Extreme Value Models from
Choice-Based Samples” Transportation Research Part B 42, 381-394.
Powell, J. and P. Ruud 2008 “Simple Estimators for Semiparametric Multinomial Choice Models” Economics
Department Working Paper Series, UC Berkeley. Powell and Ruud
Kuhn, P. and C. Riddell 2009 “The Long-Term Effects of Unemployment Insurance: Evidence from New
Brunswick and Maine, 1940-1991” Economics Department Working Paper Series, UC Santa
Barbara. Kuhn and Riddell
Klein, R., C. Shen and F. Vella 2009 “Triangular Semiparametric Models Featuring 2 Dependent Binary
Outcomes” Economics Department Working Paper Series, Rutgers.
Rigobon, R. and T. Stoker 2009 “Bias from Censored Regressors” Journal of Business and Economic Statistics
27, 340-353.
Cattaneo, M., R. Crump and M. Jansson 2010 “Robust Data-Driven Inference for Density-Weighted Average
Derivatives” Journal of the American Statistical Association 105, 1070-1083.
Chamberlain, G. 2010 “Binary Response Models for Panel Data: Identification and Information” Econometrica
78, 159-168.
Loken, K., K. Lommerud and S. Lundberg 2011 “Your Place or Mine? On the Residence Choice of Young
Couples in Norway” Economics Department Working Paper Series, UC Santa Barbara. Loken,
Lommerud and Lundberg
Drichoutis, A. and R. Nayga 2011 “Marginal Changes in Random Parameters Ordered Response Models with
Interaction Terms” Econometric Reviews 30, 565-576.
Altonji, J., H. Ichimura and T. Otsu 2012 “Estimating Derivatives in Nonseparable Models with Limited
Dependent Variables” Econometrica 80, 1701-1719.
Gautier, E. and Y. Kitamura 2013 “Nonparametric Estimation in Random Coefficients Binary Choice Models”
Econometrica 81, 581-607.
Syllabus: Economics 245A
Topic 3-2
Page 22
Econometrics of Geography and Spatial Demography
Background: Cressie, N. Statistics for Spatial Data
Kelejian, H. and I. Prucha 1998 “A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a
Spatial Autoregressive Model with Autoregressive Disturbances” Journal of Real Estate Finance and
Economics 17, 99-121.
Conley, T. 1999 “GMM Estimation with Cross Sectional Dependence” Journal of Econometrics 92, 1-45.
Kelejian, H. and I. Prucha 1999 “A Generalized Moments Estimator for the Autoregressive Parameter in a
Spatial Model” International Economic Review 40, 509-533.
Chen, X. and T. Conley 2001 “A New Semiparametric Spatial Model for Panel Time Series” Journal of
Econometrics 105, 59-83.
Anselin, L. 2002 “Under the Hood: Issues in the Specification and Interpretation of Spatial Regression Models”
Agricultural Economics 27, 247-267.
Irwin, E. and N. Bockstael 2002 “Interacting Agents, Spatial Externalities and the Evolution of Residential
Land Use Patterns” Journal of Economic Geography 2, 31-54.
Pinske, J., M. Slade and C. Brett 2002 “Spatial Price Competition: A Semiparametric Approach” Econometrica
70, 1111-1153.
Elhorst, J. 2003 “Specification and Estimation of Spatial Panel Data Models” International Regional Science
Review 26, 244-268.
Druska, V. and W. Horrace 2004 “Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice
Farming” American Journal of Agricultural Economics 86, 185-198.
Anselin, L. 2007 “Spatial Econometrics in RSUE: Retrospect and Prospect” Regional Science and Urban
Economics 37, 450-456.
Baltagi, B., H. Kelejian and I. Prucha 2007 “Analysis of Spatially Dependent Data” Journal of Econometrics
140, 1-4.
Baltagi, B., S. Song, B. Jung and W. Koh 2007 “Testing Panel Data Regression Models with Spatial and Serial
Error Correlation” Journal of Econometrics 140, 5-51.
Conley, T. and F. Molinari 2007 “Spatial Correlation Robust Inference with Errors in Location or Distance”
Journal of Econometrics 140, 76-96.
Conley, T. and G. Topa 2007 “Estimating Dynamic Local Interactions Models” Journal of Econometrics 140,
282-303.
Holloway, G., D. Lacombe and J. LeSage 2007 “Spatial Econometric Issues for Bio-Economic and Land-Use
Modeling” Journal of Agricultural Economics 50, 549-588.
Kapoor, M., H. Kelejian and I. Prucha 2007 “Panel Data Models with Spatially Correlated Error Components”
Journal of Econometrics 140, 97-130.
Kelejian, H. and I. Prucha 2007 “HAC Estimation in a Spatial Framework” Journal of Econometrics 140, 131154.
LeSage, J. and R. Pace 2007 “A Matrix Exponential Spatially Specification” Journal of Econometrics 140,
190-214.
Overman, H., P. Rice and A. Venables 2007 “Economic Linkages Across Space” Center for Economic
Performance Working Paper Series, London School of Economics. Overman, Rice and Venables
Bivand, R. 2008 “Implementing Representations of Space in Economic Geography” Journal of Regional
Science 48, 1-27.
Fingleton, B. and J. Le Gallo 2008 “Estimating Spatial Models with Endogenous Variables, a Spatial Lag and
Spatially Dependent Disturbances: Finite Sample Properties” Papers in Regional Science 87, 319339.
Syllabus: Economics 245A
Page 23
Kato, T. 2008 “A Further Exploration into the Robustness of Spatial Autocorrelation Specifications” Journal of
Regional Science 48, 615-639. (comment and response follow article)
Lee, L. and J. Yu 2008 “Estimation of Spatial Autoregressive Panel Data Models with Fixed Effects”
Economics Department Working Paper Series, Ohio State. Lee and Yu
LeSage, J. and R. Pace 2008 “Spatial Econometric Modeling of Origin-Destination Flows” Journal of Regional
Science 48, 941-967.
Parent, O. and J. LeSage 2008 “Using the Variance Structure of the Conditional Autoregressive Specification
to Model Knowledge Spillovers” Journal of Applied Econometrics 23, 235-256.
Brockmann, D. 2009 “Follow the Money” School of Engineering Data Visualization, Northwestern. Brockman
Data Visualization
Corcoran, J., P. Chhetri and R. Stimson 2009 “Using Circular Statistics to Explore the Geography of the
Journey to Work” Papers in Regional Science 88, 119-132.
Kelejian, H. 2009 “Notes on Spatial Models in Econometrics” Spatial Econometrics Workshop. Kelejian
Kuethe, T., T. Hubbs and B. Waldorf 2009 “Copula Models for Spatial Point Patterns and Processes”
Agricultural Economics Department Working Paper Series, Purdue. Kuethe, Hubbs and Waldorf
Lee, L. and J. Yu 2009 “Spatial Nonstationarity and Spurious Regression: The Case with a Row-Normalized
Spatial Weights Matrix” Spatial Economic Analysis 4, 301-327.
Nagle, N. 2009 “Spatial Linear Regression from Census Microdata: Combining Microdata and Small Area
Data” Environment and Planning A 41, 2215-2231.
Robertson, R., G. Nelson and A. De Pinto 2009 “Investigating the Predictive Capabilities of Discrete Choice
Models in the Presence of Spatial Effects” Papers in Regional Science 88, 367-388.
Yoo, E. and P. Kyriakidis 2009 “Area-to-Point Kriging in Spatial Hedonic Pricing Models” Geographical
Systems 11, 381-406.
Lee, L. and J. Yu 2010 “Spatial Panel Models: Random Components vs. Fixed Effects” Economics Department
Working Paper Series, Ohio State. Lee and Yu 2010
Kim, M. and Y. Sun 2011 “Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance
Matrix” Journal of Econometrics 160, 349-371.
Nagle, N., S. Sweeney and P. Kyriakidis 2011 “A Geostatistical Linear Regression Model for Small Area Data”
Geographical Analysis 43, 38-60.
Gibbons, S. and H. Overman 2012 “Mostly Pointless Spatial Econometrics” Journal of Regional Science 52,
172-191.
Kim, M. and Y. Sun 2012 “Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear
Panel Models with Fixed Effects” Economics Department Working Paper Series, Ryerson University.
Kim and Sun
Partridge, M., M. Boarnet, S. Brakman and G. Ottaviano 2012 “Whither Spatial Econometrics?” Journal of
Regional Science 52, 167-171.
Research Presentations: Spatial Econometrics Association Meetings
Topic 3-3
Missing Data
Background: Imbens, G. and J. Wooldridge 2007 “Missing Data” Lecture Notes, NBER. Imbens and
Wooldridge Lecture 12
Reiersol, O. 1950 “Identifiability of a Linear Relation Between Variables which are Subject to Error”
Econometrica 18, 375-389.
Kaplan, E. and P. Meier 1958 “Non-Parametric Estimation from Incomplete Observations” Journal of the
American Statistical Association 53, 457-481.
Syllabus: Economics 245A
Page 24
Heckman, J. 1974 “Shadow Wages, Market Wages and Labor Supply” Econometrica 42, 679-693.
Rubin, D. 1976 “Inference and Missing Data” Biometrika 63, 581-592.
Koul, H., V. Susarla and J. Van Ryzin 1981 “Regression Analysis with Randomly Right-Censored Data”
Annals of Statistics 9, 1276-1288.
Imbens, G. 1992 “An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based
Sampling” Econometrica 60, 1187-1214.
Robins, J., A. Rotnitzky and L. Zhao 1994 “Estimation of Regression Coefficients when Some Regressors are
not Always Observed” Journal of the American Statistical Association 89, 846-866.
Robins, J., F. Hsieh and W. Newey 1995 “Semiparametric Efficient Estimation of a Conditional Density
Function with Missing or Mismeasured Covariates” Journal of the Royal Statistical Society, Series B
57, 409-424.
Robins, J. and A. Rotnitzky 1995 “Semiparametric Efficiency in Multivariate Regression Models” Journal of
the American Statistical Association 90, 122-129.
Robins, J., A. Rotnitzky and L. Zhao 1995 “Analysis of Semiparametric Regression Models for Repeated
Outcomes in the Presence of Missing Data” Journal of the American Statistical Association 90, 106121.
Rotnitzky, A. and J. Robins 1995 “Semiparametric Regression Estimation in the Presence of Dependent
Censoring” Biometrika 82, 805-820.
Freedman, D. 1999 “Adjusting for Nonignorable Drop-Out Using Semiparametric Nonresponse Models:
Comment” Journal of the American Statistical Association 94, 1121-1122.
Scharfstein, D., A. Rotnitzky and J. Robins 1999 “Adjusting for Nonignorable Drop-Out Using Semiparametric
Nonresponse Models” Journal of the American Statistical Association 94, 1096-1120.
Wooldridge, J. 2003 “Inverse Probability Weighted Estimation for General Missing Data Problems”
Economics Department Working Paper Series, Michigan State University. Wooldridge 2003 Inverse
Aucejo, E., F. Bugni and V. Hotz 2010 “Identification on Regressions with Missing Covariate Data”
Economics Department Working Paper Series, Duke. Aucejo, Bugni and Hotz
Bugni, F. 2010 “Specification Test for Missing Functional Data” Economics Department Working Paper
Series, Duke. Bugni
Graham, B. 2011 “Efficiency Bounds for Missing Data Models with Semiparametric Restrictions”
Econometrica 79, 437-452.
Kline, P. and A. Santos 2013 “Sensitivity to Missing Data Assumptions: Theory and an Evaluation of the U.S.
Wage Structure” Quantitative Economics 4, 231-268.
Multiple Imputation
Rubin, D. and N. Schenker 1986 “Multiple Imputation for Interval Estimation from Simple Random Samples
with Ignorable Nonresponse” Journal of the American Statistical Association 81 366-374.
Rubin, D. 1996 “Multiple Imputation After 18+ Years” Journal of the American Statistical Association 91 473489.
Brownstone, D. 1997 “Multiple Imputation Methodology for Missing Data, Non-Random Response and Panel
Attrition” Economics Department Working Paper Series, UC Irvine. Brownstone
Topic 3-4
Bounds and Partial Identification
Background: Imbens, G. and J. Wooldridge 2007 “Partial Identification” Lecture Notes, NBER. Imbens and
Wooldridge Lecture 9
Sims, C. 1980 “Macroeconomics and Reality” Econometrica 48, 1-48.
Syllabus: Economics 245A
Page 25
Manski, C. 1990 “Nonparametric Bounds on Treatment Effects” American Economic Review Papers and
Proceedings 80, 319-323.
DeLong, J. and K. Lang 1992 “Are All Economic Hypotheses False?” Journal of Political Economy 100,
1257-1272.
Poirier, D. 1998 “Revising Beliefs in Nonidentified Models” Econometric Theory 14, 483-509.
Magnac, T. and D. Thesmar 2002 “Identifying Dynamic Discrete Decision Processes” Econometrica 70, 801816.
Tamer, E. 2003 “Incomplete Simultaneous Discrete Response Model with Multiple Equilibria” Review of
Economic Studies 70, 147-165.
Imbens, G. and C. Manski 2004 “Confidence Intervals for Partially Identified Parameters” Econometrica 72,
1845-1857.
Honore, B. and A. Lleras-Muney 2006 “Bounds in Competing Risks Models and the War on Cancer”
Econometrica 74, 1675-1698.
Khan, S. and E. Tamer 2006 “Inference on Randomly Censored Regression Models Using Conditional Moment
Inequalities” Economics Department Working Paper Series, Duke. Khan and Tamer
Blundell, R., A. Gosling, H. Ichimura and C. Meghir 2007 “Changes in the Distribution of Male and Female
Wages Accounting for Employment Composition Using Bounds” Econometrica 75, 323-363.
Chernozhukov, V., H. Hong and E. Tamer 2007 “Estimation and Confidence Regions for Parameter Sets in
Econometric Models” Econometrica 75, 1243-1284.
Beresteanu, A. and F. Molinari 2008 “Asymptotic Properties for a Class of Partially Identified Models”
Econometrica 76, 763-814.
Romano, J. and A. Shaikh 2008 “Inference for Identifiable Parameters in Partially Identified Econometric
Models” Journal of Statistical Planning and Inference 138, 2786-2807.
Rosen, A. 2008 “Confidence Sets for Partially Identified Parameters that Satisfy a Finite Number of Moment
Inequalities” Journal of Econometrics 146, 107-117.
Ciliberto, F. and E. Tamer 2009 “Market Structure and Multiple Equilibria in Airline Markets” Econometrica
77, 1791-1828.
Moon, R., F. Schorfeide, E. Granziera and M. Lee 2009 “Inference for VARs Identified with Sign Restrictions”
Economics Department Working Paper Series, USC. Moon et al
Andrews, D. and G. Soares 2010 “Inference for Parameters Defined by Moment Inequalities Using Generalized
Moment Selection” Econometrica 78, 119-157.
Bugni, F. 2010 “Bootstrap Inference in Partially Identified Models Defined by Moment Inequalities: Coverage
of the Identified Set” Econometrica 78, 735-753.
Chernozhukov, V., R. Rigobon and T. Stoker 2010 “Set Identification and Sensitivity Analysis with Tobin
Regressors” Quantitative Economics 1, 255-277.
Reinhold, S. and T. Woutersen 2010 “Endogeneity and Imperfect Instruments: Estimating Bounds for the
Effect of Early Childbearing on High School Completion” Department of Economics Working Paper
Series, Johns Hopkins. Reinhold and Woutersen
Romano, J. and A. Shaikh 2010 “Inference for the Identified Set in Partially Identified Econometric Models”
Econometrica 78, 169-211.
Stoye, J. 2010 “Partial Identification of Spread Parameters” Quantitative Economics 1, 323-357.
Tamer, E. 2010 “Partial Identification in Econometrics” Annual Review of Economics 2, 167-195. Tamer
Andrews, D. 2011 “Similar-on-the-Boundary Tests for Moment Inequalities Exist, But Have Poor Power”
Economics Department Working Paper Series, Yale. Andrews 2011
Berestenau, A., I. Molchanov and F. Molinari 2011 “Sharp Identification Regions in Models with Convex
Moment Predictions” Econometrica 79, 1785-1821.
Syllabus: Economics 245A
Page 26
Pakes, A., J. Porter, K. Ho, and J. Ishii 2011 “Moment Inequalities and Their Application” Economics
Department Working Paper Series, Harvard. Pakes, Porter, Ho and Ishii
Shaikh, A. and E. Vytlacil 2011 “Partial Identification in Triangular Systems of Equations with Binary
Dependent Variables” Econometrica 79, 949-955.
Aaronson, D., S. Agarwal and E. French 2012 “The Spending and Debt Response to Minimum Wage Hikes”
American Economic Review 102, 3111-3139.
Andrews, D. and P. Barwick 2012 “Inference for Parameters Defined by Moment Inequalities: A
Recommended Moment Selection Procedure” Econometrica 80, 2805-2826.
Baccara, M., A. Imrohoroglu, A. Wilson and L. Yariv 2012 “A Field Study on Matching with Network
Externalities” American Economic Review 102, 1773-1804.
Blundell, R., D. Kristensen and R. Matzkin 2012 “Bounding Quantile Demand Functions using Revealed
Preference Inequalities” Economics Department Working Paper Series, University College London.
Blundell, Kristensn and Matzkin
Bontemps, C., T. Magnac and E. Maurin 2012 “Set Identified Linear Models” Econometrica 80, 1129-1155.
Bugni, F., I. Canay and P. Guggenberger 2012 “Distortions of Asymptotic Confidence Size in Locally
Misspecified Moment Inequality Models” Econometrica 80, 1741-1768.
Hirano, K. and J. Porter 2012 “Impossibility Results for Nondifferentiable Functionals” Econometrica 80,
1769-1768.
Nevo, A. and A. Rosen 2012 “Identification with Imperfect Instruments” Review of Economics and Statistics
93, 659-671.
Rockoff, J., D. Staiger, T. Kane and E. Taylor 2012 “Information and Employee Evaluation: Evidence from a
Randomized Intervention in Public Schools” American Economic Review 102, 3184-3213.
Rosen, A. 2012 “Set Identification via Quantile Restrictions in Short Panels” Journal of Econometrics 166,
127-137.
Andrews, D. and X. Shi 2013 “Inference Based on Conditional Moment Inequalities” Econometrica 81, 609666.
Chernozhukov, V., S. Lee and A. Rosen 2013 “Intersection Bounds: Estimation and Inference” Econometrica
81, 667-737.
Chesher, A., A. Rosen and K. Smolinski 2013 “An Instrumental Variable Model of Multiple Discrete Choice”
Quantitative Economics 4, 157-196.
Manski, C. 2014 “Identification of Income-Leisure Preferences and Evaluation of Income Tax Policy”
Quantitative Economics 5, 145-174.
Topic 3-5
Quantile Estimation
Background: Koenker, R. Quantile Regression (2005: Cambridge University)
Background: Imbens, G. and J. Wooldridge 2007 “Weak Instruments and Many Instruments” Lecture Notes,
NBER. Imbens and Wooldridge Lecture 14
Koenker, R. and G. Bassett 1978 “Regression Quantiles” Econometrica 46, 33-50.
Ruppert, D. and R. Carroll 1980 “Trimmed Least Squares Estimation in the Linear Model” Journal of the
American Statistical Association 75, 828-838.
Amemiya, T. 1982 “Two Stage Least Absolute Deviations Estimators” Econometrica 50, 689-711.
Powell, J. 1984 “Least Absolute Deviations Estimation for the Censored Regression Model” Journal of
Econometrics 25, 303-325.
Syllabus: Economics 245A
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Newey, W. and J. Powell 1987 “Asymmetric Least Squares Estimation and Testing” Econometrica 55, 819847.
Newey, W. and J. Powell 1990 “Efficient Estimation of Linear and Type I Censored Regression Models under
Conditional Quantile Restrictions” Econometric Theory 6, 295-317.
Pollard, D. 1991 “Asymptotics for Least Absolute Deviation Regression Estimators” Econometric Theory 7,
186-199.
Hahn, J. 1995 “Bootstrapping Quantile Regression Estimators” Econometric Theory 11, 105-121.
Abadie, A., J. Angrist and G. Imbens 2002 “Instrumental Variables Estimates of the Effect of Subsidized
Training on the Quantiles of Trainee Earnings” Econometrica 70, 91-117.
Chernozhukov, V. and H. Hong 2002 “Three-Step Censored Quantile Regression and Extramarital Affairs”
Journal of the American Statistical Association 97, 872-882.
Koenker, R. 2004 “Quantile Regression for Longitudinal Data” Journal of Multivariate Analysis 91, 74-89.
Chernozhukov, V. and C. Hansen 2004 “The Impact of 401(k) Participation on the Wealth Distribution: An
Instrumental Quantile Regression Analysis” Econometrica 73, 245-261.
Chernozhukov, V. 2005 “Extremal Quantile Regression” Annals of Statistics 33, 806-839.
Chernozhukov, V. and C. Hansen 2005 “An IV Model of Quantile Treatment Effects” Econometrica 73, 245261.
Chernozhukov, V. and C. Hansen 2006 “Instrumental Quantile Regression Inference for Structural and
Treatment Effect Models” Journal of Econometrics 132, 491-525.
Blundell, R. and J. Powell 2007 “Censored Quantile Regression with Endogenous Regressors” Journal of
Econometrics 141, 65-83.
Chernozhukov, V. and C. Hansen 2008 “Instrumental Variable Quantile Regression: A Robust Inference
Approach” Journal of Econometrics 142, 379-398.
Chernozhukov, V., C. Hansen and M. Jansson 2009 “Finite Sample Inference for Quantile Regression Models”
Journal of Econometrics 152, 93-103.
Firpo, S., N. Fortin and T. Lemieux 2009 “Unconditional Quantile Regressions” Econometrica 77, 953-973.
Chernozhukov, V., I. Fernandez-Val and A. Galichon 2010 “Quantile and Probability Curves Without
Crossing” Econometrica 78, 1093-1125.
Harding, M. and C. Lamarche 2010 “Quantile Regression Estimation of a Model with Interactive Effects”
Economics Department Working Paper Series, Stanford. Harding and Lamarche
Kato, K. and A. Galvao 2010 “Smoothed Quantile Regression for Panel Data” Mathematics Department
Working Paper Series, Hiroshima University. Kato and Galvao
Gagliardini, P. and O. Scaillet 2012 “Nonparametric Instrumental Variable Estimation of Structural Quantile
Effects” Econometrica 80, 1533-1562.
Chernozhukov, V., I. Fernandez-Val and B. Melly 2014 “Inference on Counterfactual Distributions”
Econometrica 81, 2205-2268.
Topic 3-6
Regime Switching: Background and Testing
Background: Lindsay, B. Mixture Models: Theory, Geometry, and Applications (1995: Institute for
Mathematical Statistics).
Quandt, R. 1958 “The Estimation of the Parameters of a Linear Regression System Obeying Two Separate
Regimes” Journal of the American Statistical Association 53, 873-880.
Syllabus: Economics 245A
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Neyman, J. and E. Scott 1966 “On the Use of C(α) Optimal Tests of Composite Hypotheses Distribution of the
Log Likelihood Ratio Test Statistic when the True Parameter is Near the Boundaries of the Hypothesis
Region” Bulletin of the Institute of International Statistics 41, 477-497.
Feder, P. 1968 “On the Distribution of the Log Likelihood Ratio Test Statistic when the True Parameter is Near
the Boundaries of the Hypothesis Region” Annals of Mathematical Statistics 39, 2044-2055.
Wallace, C. and D. Boulton 1968 “An Information Measure for Classification” Computer Journal 11, 185-194.
Quandt, R. 1972 “A New Approach to Estimating Switching Regressions” Journal of the American Statistical
Association 67, 306-310.
Goldfeld, S. and R. Quandt 1973 “A Markov Model for Switching Regressions” Journal of Econometrics 1, 316.
Kiefer, N. 1978 “Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model”
Econometrica 46, 427-434.
Lindgren, G. 1978 “Markov Regime Model for Mixed Distributions and Switching Regressions” Scandinavian
Journal of Statistics 5, 81-91.
Baum, L., T. Petrie, G. Soules and N. Weiss 1980 “A Maximization Technique Occurring in the Statistical
Analysis of Probabilistic Functions of Markov Chains” Annals of Mathematical Statistics 41, 164-171.
Kiefer, N. 1980 “A Note on Regime Classification in Disequilibrium Models” Review of Economic Studies 47,
637-639.
Kiefer, N. 1980 “A Note on Switching Regressions and Logistic Discrimination” Econometrica 48, 1065-1069.
Porter, R. 1983 “A Study of Cartel Stability: The Joint Executive Committee, 1880-1886” Bell Journal of
Economics 14, 301-314.
Chesher, A. 1984 “Testing for Neglected Heterogeneity” Econometrica 52, 865-872.
Lancaster, T. 1984 “The Covariance Matrix of the Information Matrix Test” Econometrica 52, 1051-1053.
Cosslett, S. and L. Lee 1985 “Serial Correlation in Discrete Variable Models” Journal of Econometrics 27, 7997.
Dickens, W. and K. Lang 1985 “A Test of Dual Labor Market Theory” American Economic Review 75, 792805.
Hartigan, J. 1985 “A Failure of Likelihood Asymptotics for Normal Mixtures” in Proceedings of the Berkeley
Conference in Honor of Jerzy Neyman and Jack Kiefer Volume 2 (L. LeCam and R. Olshen eds.),
University of California Press, 807-810.
Lee, L. and A. Chesher 1986 “Specification Testing When Score Test Statistics are Identically Zero” Journal of
Econometrics 31, 121-149.
Maddala, G. 1986 “Disequilibrium, Self-Selection and Switching Models” in Handbook of Econometrics
Volume 3 (Z. Grilliches and M. Intrilligator eds.), North-Holland, Chapter 28.
Tjostheim, D. 1986 “Some Doubly Stochastic Time Series Models” Journal of Time Series Analysis 7, 51-72.
McLachlan, G. 1987 “On Bootstrapping the Likelihood Ratio Test Statistic for the Number of Components in a
Normal Mixture” Applied Statistics 36, 318-324.
Self, S. and K. Liang 1987 “Asymptotic Properties of Maximum Likelihood Estimation and Likelihood Ratio
Tests Under Nonstandard Conditions” Journal of the American Statistical Association 82, 605-610.
Andrews, D. 1989 “Power in Econometric Applications” Econometrica 57, 1059-1090.
Hamilton, J. 1989 “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business
Cycle” Econometrica 57, 357-384.
Turner, C., R. Startz and C. Nelson 1989 “A Markov Model of Heteroskedasticity, Risk and Learning in the
Stock Market” Journal of Financial Economics 25, 3-22.
Engle, C. and J. Hamilton 1990 “Long Swings in the Dollar: Are They in the Data and Do Markets Know It?”
American Economic Review 80, 689-713.
Syllabus: Economics 245A
Page 29
Lam, P. 1990 “The Hamilton Model with a General Autoregressive Component: Estimation and Comparison
with other Models of Economic Time Series” Journal of Monetary Economics 26, 409-432.
Andrews, D. 1991 “An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed
Random Variables” Journal of Multivariate Analysis 38, 187-203.
Albert, J. and S. Chibb 1993 “Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to
Markov Mean and Variance Shifts” Journal of Business and Economic Statistics 11, 1-15.
Andrews, D. 1993 “An Introduction to Econometric Applications of Functional Limit Theory for Dependent
Random Variables” Econometric Reviews 12, 183-216.
Andrews, D. 1993 “Tests for Parameter Instability and Structural Change with Unknown Change Point”
Econometrica 61, 821-856.
Cecchetti, S., P. Lam and N. Mark 1993 “Mean Reversion in Equilibrium Asset Prices” Journal of Monetary
Economics 31, 21-45.
Andrews, D. 1994 “Empirical Process Methods in Econometrics” in Handbook of Econometrics: Volume 4 (R.
Engle and D. McFadden eds.), North-Holland, New York. Andrews
Andrews, D. and W. Ploberger 1994 “Optimal Tests when a Nuisance Parameter is Present Only under the
Alternative” Econometrica 62, 1383-1414.
Feng, Z. and C. McCulloch 1994 “On the Likelihood Ratio Test Statistic for the Number of Components in a
Normal Mixture with Unequal Variances” Biometrics 50, 1158-1162.
Filardo, A. 1994 “Business-Cycle Phases and their Transitional Dynamics” Journal of Business and Economic
Statistics 12, 299-308.
Kim, C. 1994 “Dynamic Linear Models with Markov Switching” Journal of Econometrics 60, 1-22.
Andrews, D. and W. Ploberger 1995 “Admissibility of the Likelihood Ratio Test when a Nuisance Parameter is
Present Only under the Alternative” Annals of Statistics 23, 1609-1629.
Ruge-Murcia, F. 1995 “Credibility and Changes in Policy Regime” Journal of Political Economy 103, 176208.
Feng, Z. and C. McCulloch 1996 “Using Bootstrap Likelihood Ratios in Finite Mixture Models” Journal of the
Royal Statistical Society Series B 58, 609-617.
Garcia, R. and P. Perron 1996 “An Analysis of the Real Interest Rate under Regime Shifts” Review of
Economics and Statistics 78, 111-125.
Hamilton, J. 1996 “Specification Testing in Makov-Switching Time-Series Models” Journal of Econometrics
70, 127-157.
Hamilton, J. and G. Perez-Quiros 1996 “What do the Leading Indicators Lead?” Journal of Business 69, 27-49.
Hansen, B. 1996 “Inference when a Nuisance Parameter is not Identified under the Null Hypothesis”
Econometrica 64, 413-430.
Acemoglu, D. and A. Scott 1997 “Asymmetric Business Cycles: Theory and Time-Series Evidence” Journal of
Monetary Economics 40, 501-533.
Bianchi, M. 1997 “Testing for Convergence: Evidence from Nonparametric Mulitmodality Tests” Journal of
Applied Econometrics 12, 393-409.
Dueker, M. 1997 “Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility”
Journal of Business and Economic Statistics 15, 26-34.
Asea, P. and B. Blomberg 1998 “Lending Cycles” Journal of Econometrics 83, 89-128.
Bai, J. and P. Perron 1998 “Testing for and Estimation of Multiple Structural Changes” Econometrica 66, 4778.
Startz, R. 1998 “Growth States and Shocks” Journal of Economic Growth 3, 203-215.
Andrews, D. 1999 “Estimation When a Parameter is on a Boundary” Econometrica 67, 1341-1383.
Chamley, C. 1999 “Coordinating Regime Switches” Quarterly Journal of Economics 114, 869-905.
Syllabus: Economics 245A
Page 30
Kim, C. and C. Nelson 1999 “Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a
Markov-Switching Model of the Business Cycle” Review of Economics and Statistics 81, 608-616.
Potter, S. 1999 “Nonlinear Time Series Modeling: An Introduction” Journal of Economic Surveys 13, 505528.
Celeux, G., M. Hurn and C. Robert 2000 “Computational and Inferential Difficulties with Mixture Posterior
Distributions” Journal of the American Statistical Association 95, 957-970.
Timmermann, A. 2000 “Moments of Markov Switching Models” Journal of Time Series Analysis 7, 51-72.
Yang, M. 2000 “Some Properties of Vector Autoregressive Processes with Markov-Switching Coefficients”
Econometric Theory 16, 23-43.
Andrews, D. 2001 “Testing When a Parameter is on the Boundary of the Maintained Hypothesis”
Econometrica 69, 683-734.
Diebold, F. and A. Inoue 2001 “Long Memory and Regime Switching” Journal of Econometrics 105, 131-159.
Francq, C. and J. Zakoian 2001 “Stationarity of Multivariate Markov-Switching ARMA Models” Journal of
Econometrics 102, 339-364.
Ang, A. and G. Bekaert 2002 “International Asset Allocation with Regime Shifts” Review of Financial Studies
15, 1137-1187.
Ang, A. and G. Bekaert 2002 “Regime Switches in Interest Rates” Journal of Business and Economic Statistics
20, 163-182.
Bansal, R. and H. Zhou 2002 “Term Structure of Interest Rates with Regime Shifts” Journal of Finance 57,
1997-2042.
Cooper, R. 2002 “Estimation and Identification of Structural Parameters in the Presence of Multiple Equilibria”
Annales d’Economie et de Statistique 66, 1-26.
Bai, J. and P. Perron 2003 “Computation and Analysis of Multiple Structural Change Models” Journal of
Applied Econometrics 18, 1-22.
Knittel, C. and V. Stango 2003 “Price Ceilings as Focal Points for Tacit Collusion: Evidence from the Credit
Card Market” American Economic Review 93, 1703-1729.
Liu, X. and Y. Shao 2003 “Asymptotics for Likelihood Ratio Tests under Loss of Identifiability” Annals of
Statistics 31, 807-832.
Psaradakis, Z. and N. Spagnolo 2003 “On the Determination of the Number of Regimes in Markov-Switching
Autoregressive Models” Journal of Time Series Analysis 24, 237-252.
Calvet, L. and A. Fisher 2004 “How to Forecast Long-Run Volatility: Regime-Switching and the Estimation of
Multifractal Processes” Journal of Financial Econometrics 2, 49-83.
Davig, T. 2004 “Regime-Switching Debt and Taxation” Journal of Monetary Economics 51, 837-859.
Kim, C., J. Morley and C. Nelson 2004 “Is There a Positive Relationship between Stock Market Volatility and
the Equity Premium?” Journal of Money, Credit and Banking 36, 339-360.
Azais, J., E. Gassiat and C. Mercadier 2004 “Asymptotic Distribution and Power of the Likelihood Ratio Test
for Mixtures: Bounded and Unbounded Cases” Bernoulli 5, 775-799.
Cerra, V. and S. Saxena 2005 “Did Output Recover from the Asian Crisis?” IMF Staff Papers 52, 1-23. Cerra
and Saxena
Hamilton, J. 2005 “Regime-Switching Models” Economics Department Working Paper Series, UC San Diego.
Hamilton
Barro R. 2006 “Rare Disasters and Asset and Asset Markets in the Twentieth Century” Quarterly Journal of
Economics 121, 823-866.
Graham, B. and J. Temple 2006 “Rich Nations, Poor Nations: How Much can Multiple Equilibria Explain?”
Journal of Economic Growth 11, 5-41.
Syllabus: Economics 245A
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Sims, C. and T. Zha 2006 “Were There Regime Switches in U.S. Monetary Policy?” American Economic
Review 96, 54-81.
Smith, A., P. Naik and C. Tsai 2006 “Markov-Switching Model Selection using Kullback-Leibler Divergence”
Journal of Econometrics 134, 553-577.
Cho, J. and H. White 2007 “Testing for Regime Switching” Econometrica 75, 1671-1720.
Dai, Q., K. Singleton and W. Yang 2007 “Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury
Bonds” Review of Financial Studies 20, 1669-1706.
Cho, J. and R. Davies 2008 “Testing for Hidden Markov Switching” Economics Department Working Paper
Series, Victoria University of Wellington. Cho and Davies
Guidolin, M. and A. Timmerman 2008 “International Asset Allocation under Regime Switching, Skew, and
Kurtosis Preferences” Review of Financial Studies 21, 889-935.
Kasahara, H., T. Okimoto and K. Shimotsu 2008 “Modified Likelihood Ratio Test for Regime Switching”
Economics Department Working Paper Series, University of Western Ontario. Kasahara Okimoto and
Shimotsu
Kasahara, H. and K. Shimotsu 2008 “Pseudo-Likelihood Estimation and Bootstrap Inference for Structural
Discrete Markov Decision Models” Journal of Econometrics 146, 92-106.
Kim, C. 2008 “Dealing with Endogeneity in Regression Models with Dynamic Coefficients” Foundations and
Trends in Econometrics 3, 165-266. Kim
Carrasco, M., L. Hu and W. Ploberger 2009 “Optimal Test for Markov Switching Parameters” Business School
Working Paper Series, University of Leeds. Carrasco, Hu and Ploberger
Drton, M. 2009 “Likelihood Ratio Tests and Singularities” Annals of Statistics 37, 979-1012.
Kasahara, H. and K. Shimotsu 2009 “Nonparametric Identification of Finite Mixture Models of Dynamic
Discrete Choices” Econometrica 77, 135-175.
Cho, J. and H. White 2010 “Testing for Unobserved Heterogeneity in Exponential and Weibull Duration
Models” Journal of Econometrics 157, 458-480.
Cho, J. and H. White 2011 “Testing for Regime Switching: Rejoinder” School of Economics Working Paper
Series, Yonsei University. Cho and White
Hamilton, J. 2011 “Calling Recessions in Real Time” International Journal of Forecasting 27, 1006-1026.
Mueller, U. 2011 “Efficient Tests under a Weak Convergence Assumption” Econometrica 79, 395-435.
Ang, A. and A. Timmermann 2012 “Regime Changes and Financial Markets” Annual Review of Financial
Economics 4, 313-337.
Bostwick, V. and D. Steigerwald 2012 “Obtaining Critical Values for Test of Markov Regime Switching”
Economics Department Working Paper Series, UC Santa Barbara. Bostwick and Steigerwald
Carter, A. and D. Steigerwald 2012 “Testing for Regime Switching: A Comment” Econometrica 80, 18091812.
Kasahara, H. and K. Shimotsu 2012 “Testing the Number of Components in Finite Mixture Models”
Economics Department Working Paper Series, University of British Columbia. Kasahara and
Shimotsu
Bianchi, F. 2013 “Regime Switches, Agents’ Beliefs and Post-World War II U.S. Macroeconomic Dynamics”
Review of Economic Studies 80, 463-490.
Carter, A. and D. Steigerwald 2013 “Markov-Regime Switching Tests: Asymptotic Critical Values” Journal of
Econometric Methods 2, 25-34.
Candelon, B., N. Metiu and S. Straetmans 2013 “Disentangling Economic Recessions and Depressions”
Department of Economics Working Paper Series, Maastricht University. Candelon, Metiu and
Straetmans
Holzmann, H. and F. Schwaiger 2013 “Testing for the Number of States in Regime-Switching Models”
Mathematics Department Working Paper Series, University of Marburg. Holzmann and Schwaiger
Syllabus: Economics 245A
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Camacho, M., G. Perez-Quiros and P. Poncela 2014 “Green Shoots and Double Dips in the Euro Area: A Real
Time Measure” International Journal of Forecasting 30, 520-535.
Henry, M., Y. Kitamura and B. Salanie 2014 “Partial Identification of Finite Mixtures in Econometric Models”
Quantitative Economics 5, 123-144.
Lind, N. 2014 “Regime-Switching Perturbation for Non-Linear Equilibrium Models” Economics Staff Papers,
UC San Diego. Lind
Elliott, G., U. Mueller and M. Watson 2015 “Nearly Optimal Tests when a Nuisance Parameter is Present
Under the Null Hypothesis” Econometrica 83, 771-812.
Topic 3-7
Instruments: Weak and Many
Background: Imbens, G. and J. Wooldridge 2007 “Weak Instruments and Many Instruments” Lecture Notes,
NBER. Imbens and Wooldridge Lecture 13
Hausman, J. 1978 “Specification Tests in Econometrics” Econometrica 46, 1251-1271.
Caner, M. 2008 “Exponential Tilting with Weak Instruments: Estimation and Testing” Economics Department
Working Paper Series, North Carolina State. Caner
Topic 3-8
Generalized Method of Moments and Empirical Likelihood
Background: Imbens, G. and J. Wooldridge 2007 “Generalized Method of Moments and Empirical Likelihood”
Lecture Notes, NBER. Imbens and Wooldridge Lecture 15
Geyer, C. 1994 “On the Asymptotics of Constrained M-Estimation” Annals of Statistics 22, 1993-2.
Kitamura, Y. and M. Stutzer 1997 “An Information-Theoretic Alternative to Generalized Method of Moments
Estimation” Econometrica 65, 861-874.
Gallant, A. and G. Tauchen 1999 “The Relative Efficiency of Method of Moments Estimators” Journal of
Econometrics 92, 149-172.
Brown, B. and W. Newey 2002 “Generalized Method of Moments, Efficient Bootstrapping and Improved
Inference” Journal of Business and Economic Statistics 20, 507-517.
Antoine, B. and E. Renault 2008 “Efficient Minimum Distance Estimation with Multiple Rates of
Convergence” Economics Department Working Paper Series, University of North Carolina. Antoine
and Renault
Topic 3-9
Bayesian Inference and Markov Chain Monte Carlo Simulation
Background: Gilks, W., S. Richardson and D. Spiegelhalter Markov Chain Monte Carlo in Practice (1996:
Chapman and Hall)
Background: Koop, G. Bayesian Econometrics (2003: John Wiley)
Background: Jaynes, E. and G. Bretthorst Probability Theory: The Logic of Science (2003: Cambridge) Jaynes
Background: Lancaster, T. An Introduction to Modern Bayesian Econometrics (2004: Blackwell)
Background: Imbens, G. and J. Wooldridge 2007 “Bayesian Inference” Lecture Notes, NBER. Imbens and
Wooldridge Lecture 7 IW Lecture 7 Slides
Syllabus: Economics 245A
Page 33
Stein, C. 1956 “Inadmissibility of the Usual Estimator for the Mean of a Multivariate Normal Distribution”
Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, Volume 1,
197-206. Stein
Rubin, D. 1981 “The Bayesian Bootstrap” Annals of Statistics 9, 130-134.
Chibb, S. 1995 “Marginal Likelihood from Gibbs Output” Journal of the American Statistical Association 90,
1313-1321.
Chibb, S. and E. Greenberg 1996 “Markov Chain Monte Carlo Simulation Methods in Econometrics”
Econometric Theory 12, 409-431.
Chibb, S. and E. Greenberg 1998 “Analysis of Multivariate Probit Models” Biometrika 85, 347-361.
Chernozhukov, V. and H. Hong 2003 “An MCMC Approach to Classical Estimation” Journal of Econometrics
115, 293-346.
Geweke, J., G. Gowrisankaran and R. Town 2003 “Bayesian Inference for Hospital Quality in a Selection
Model” Econometrica 71, 1215-1238.
Efron, B. 2006 “Modern Science and the Bayesian-Frequentist Controversy” Statistics Department Working
Paper Series, Stanford. Efron
Jeliazkov, I. and E. Lee 2010 “MCMC Perspectives on Simulated Likelihood Estimation” Economics
Department Working Paper Series, UC Irvine. Jeliazkov and Lee
Poirier, D. 2011 “Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the
Informed Bayesian Bootstrap” Econometric Reviews 30, 457-468.
Creel, M. and D. Kristensen 2011 “Indirect Likelihood Inference” Manuscript. Creel and Kristensen
Topic 3-10
Nonparametric Estimation
Background: Pagan, A. and A. Ullah Nonparametric Econometrics (1999: Cambridge University)
Background: Prakasa Rao, B. Nonparametric Functional Estimation (1983: Academic Press)
Prakasa Rao Chapter 1 Prakasa Rao Chapter 2 Prakasa Rao Chapter 3 Prakasa Rao Chapter 4
Prakasa Rao Chapter 5 Prakasa Rao Chapter 6 Prakasa Rao Chapter 7
Heckman, J. and S. Polachek 1972 “Empirical Evidence on the Functional Form of the Earnings-Schooling
Relationship” Journal of the American Statistical Association 69, 350-354.
White, H. 1980 “Using Least Squares to Approximate Unknown Regression Functions” International
Economic Review 21, 149-170.
Gallant, A. and D. Nychka 1987 “Semi-Nonparametric Maximum Likelihood Estimation” Econometrica 55,
363-390.
Newey, W. 1990 “Semiparametric Efficiency Bounds” Journal of Applied Econometrics 5, 90-135.
Chamberlain, G. 1992 “Efficiency Bounds for Semiparametric Regression” Econometrica 60, 567-596.
Fan, J. and I. Gijbels 1992 “Variable Bandwidth and Local Linear Regression Smoothers” Annals of Statistics
20, 2008-2036.
Hahn, J. 1994 “The Efficiency Bound of the Mixed Proportional Hazard Model” Review of Economic Studies
61, 607-629.
Newey, W. 1994 “Kernel Estimation of Partial Means and a General Variance Estimator” Econometric Theory
10, 233-253.
Newey, W. 1994 “The Asymptotic Variance of Semiparametric Estimators” Econometrica 62, 1349-1382.
Robins, J. and Y. Ritov 1997 “Toward a Curse of Dimensionality Appropriate (CODA) Asymptotic Theory for
Semiparametric Models” Statistics in Medicine 16, 285-319.
Syllabus: Economics 245A
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Yatchew, A. 1997 “An Elementary Estimator of the Partial Linear Model” Economics Letters 57, 135-143.
Brown, B. and W. Newey 1998 “Efficient Semiparametric Estimation of Expectations” Econometrica 66, 453464.
Hall, P. and H. Huang 2001 “Nonparametric Kernel Regression Subject to Monotonicity Constraints” Annals of
Statistics 29, 624-647.
Severini, T. and G. Tripathi 2001 “A Simplified Approach to Computing Efficiency Bounds in Semiparametric
Models” Journal of Econometrics 102, 23-66.
Buhlmann, P. and B. Yu 2002 “Analyzing Bagging” Annals of Statistics 30, 927-961.
Ai, C. and X. Chen 2003 “Efficient Estimation of Models with Conditional Moment Restrictions Containing
Unknown Functions” Econometrica 71, 1795-1843.
Newey, W. and J. Powell 2003 “Instrumental Variable Estimation of Nonparametric Models” Econometrica
71, 1565-1578.
Ekeland, I., J. Heckman and L. Nesheim 2004 “Identification and Estimation of Hedonic Models” Journal of
Political Economy 112, S60-S109.
Hausman, J. and G. Sidak 2004 “Why do the Poor and the Less-Educated Pay More for Long-Distance Calls?”
Economics Department Working Paper Series, MIT. Hausman and Sidak
Blundell, R., X. Chen and D. Kristensen 2007 “Semi-Nonparametric IV Estimation of Shape-Invariant Engel
Curves” Econometrica 75, 1613-1669.
Matzkin, R. 2008 “Identification in Nonparametric Simultaneous Equations” Econometrica 76, 945-978.
Chernozhukov, V., I. Fernandez-Val and A. Galichon 2009 “Improving Point and Interval Estimates of
Monotone Functions by Rearrangement” Biometrika 96, 559-575.
Cunha, F., J. Heckman and S. Schennach 2010 “Estimating the Technology of Cognitive and Noncognitive
Skill Formation” Econometrica 78, 883-931.
Heckman, J., R. Matzkin and L. Nesheim 2010 “Nonparametric Identification and Estimation of Nonadditive
Hedonic Models” Econometrica 78, 1569-1591.
Darolles, S., Y. Fan, J. Florens and E. Renault 2011 “Nonparametric Instrumental Regression” Econometrica
79, 1541-1565.
Escanciano, J., D. Jacho-Chavez and A. Lewbel 2011 “Identification and Estimation of Semiparametric Two
Step Models” Economics Department Working Paper Series, Boston College. Escanciano, JachoChavez and Lewbel
Chen, B. and Y. Hong 2012 “Testing for Smooth Structural Changes in Time Series Models via Nonparametric
Regression” Econometrica 80, 1157-1183.
Chen, X. and D. Pouzo 2012 “Estimation of Nonparametric Conditional Moment Models with Possibly
Nonsmooth Generalized Residuals” Econometrica 80, 277-321.
Hahn, J. and G. Ridder 2013 “Asymptotic Variance of Semiparametric Estimators with Generated Regressors”
Econometrica 81, 315-340.
Blundell, R., D. Kristensen and R. Matzkin 2013 “Control Functions and Simultaneous Equations Methods”
American Economic Review 103(May), 563-569.
Chesher, A. and A. Rosen 2013 “What Do Instrumental Variables Deliver with Discrete Dependent Variables”
American Economic Review 103(May), 557-562.
Kitamura, Y., T. Otsu and K. Evdokimov 2013 “Robustness, Infinitesimal Neighborhoods, and Moment
Restrictions” Econometrica 81, 1185-1201.
Newey, W. 2013 “Nonparametric Instrumental Variables Estimation” American Economic Review 103(May),
550-556.
Rau, T. 2013 “Modeling Structural Equations with Endogenous Regressors and Heterogeneity through
Derivative Constraints” Quantitative Economics 4, 125-148.
Syllabus: Economics 245A
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Canay, I., A. Santos and A. Shaikh 2014 “On the Testability of Identification in Some Nonparametric Models
with Endogeneity” Econometrica 81, 2535-2560.
Topic 3-11
Econometrics of Computer Security
Ackerman, M. and D. Davis 2003 “Privacy and Security Issues in E-Commerce” in New Economy Handbook
(D. Jones ed.), Academic Press. Ackerman and Davis
Finjan Malicious Code Research Center 2009 Cybercrime Intelligence Report, Issue 3. Finjan
Moore, T., R. Clayton and R. Anderson 2009 “The Economics of Online Crime” Journal of Economic
Perspectives 23, 3-20.
Kemmerer, R. 2009 “How to Steal a Botnet and What Can Happen When You Do” Google Seminar Series.
Kemmerer Google Botnet Talk
Stone-Gross, B., M. Cova, L. Cavallaro, B. Gilbert, M. Szydlowski, R. Kemmerer, C. Kruegel and G. Vigna
2009 “Your Botnet is My Botnet: Analysis of a Botnet Takeover” in Proceedings of the ACM
Conference on Computer and Communications Security, CCS. Stone-Gross et al.
Scott, S. 2010 “A Modern Bayesian Look at the Multi-Armed Bandit” Statistics Department Working Paper
Series, Google. Scott
Topic 3-12
False Discovery
Background: Efron, B. Large-Scale Inference (2010: Cambridge University Press)
Chapters 1 and 4
Benjamini, Y. and Y. Hochberg 1995 “Controlling the False Discovery Rate: A Practical and Powerful
Approach to Multiple Testing” Journal of the Royal Statistical Society Series B (Methodology) 57,
289-300.
Basso, M. and P. Kline 2007 “Do Local Economic Development Programs Work? Evidence from the Federal
Empowerment Zone Program” Economics Department Working Paper Series, UC Berkeley. Basso
and Kline
Benjamini, Y. 2010 “Discovering the False Discovery Rate” Journal of the Royal Statistical Society Series B
(Statistical Methodology) 72, 405-416.
Topic 3-13
Maximum Likelihood, Sufficiency and Efficiency
Newey, W. and D. McFadden 1994 “Large Sample Estimation and Hypothesis Testing” in Handbook of
Econometrics Volume 4 (R. Engle and D. McFadden eds.), North-Holland, Chapter 36. Newey and
McFadden
Topic 3-14
Measure Theory (Notes) and Uniform Convergence
Rothenberg, T. 1984 “Approximating the Distributions of Econometric Estimators and Test Statistics” in
Handbook of Econometrics: Volume 2 (Z. Griliches and M. Intriligator eds.), North-Holland, New
York. Rothenberg
Syllabus: Economics 245A
Topic 3-15
Page 36
Correlated Random Coefficient Models
Heckman, J. and E. Vytlacil 1998 “Instrumental Variables Methods for the Correlated Random Coefficient
Model” Journal of Human Resources 33, 974-1002.
Chay, K. and M. Greenstone 2005 “Does Air Quality Matter? Evidence from the Housing Market” Journal of
Political Economy 113, 376-424.
Heckman, J., D. Schmierer and S. Urzua 2010 “Testing the Correlated Random Coefficient Model” Journal of
Econometrics 158, 177-203.
Powell, J. 2010 “A Quantile Correlated Random Coefficients Panel Data Model” Economics Department
Working Paper Series, UC Berkeley.
Fox, J., K. Kim, S. Ryan and P Bajari 2011 “A Simple Estimator for the Distribution of Random Coefficients”
Quantitative Economics 2, 381-418.
Graham, B. and J. Powell 2012 “Identification and Estimation of Average Partial Effects in "Irregular"
Correlated Random Coefficient Panel Data Models” Econometrica 80, 2105-2152.
Topic 3-16
Identification and Estimation of DSGE Models
Komunjer, I. and S. Ng 2009 “Dynamic Identification of DSGE Models” Economics Department Working
Paper Series, UC San Diego. Komunjer and Ng Presentation Slides Komunjer and Ng
Kormiltsina, A. and D. Nekipelov 2009 “Convergence of MCMC Algorithms in Finite Samples” Economics
Department Working Paper Series, UC Berkeley. Kormiltsina and Nekipelov Presentation Slides
Kormiltsina and Nekipelov
Mueller, U. 2013 “Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix”
Econometrica 81, 1805-1849.
Topic 3-17
High-Dimensional Inference
Simon, H. 1953 “Causal Ordering and Identifiability” in Studies in Econometric Method, Cowles Commission
Research Monograph 14. Simon
Granger, C. 1969 “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods”
Econometrica 37, 424-438.
LeRoy, S. 1995 “Causal Orderings” in Macroeconometrics: Developments, Tensions and Prospects (K.
Hoover ed.), Wiley, New York. LeRoy 1995
White, H. 2000 “A Reality Check for Data Snooping” Econometrica 68, 1097-1126.
Hahn, J. 2004 “Functional Restriction and Efficiency in Causal Inference” Review of Economics and Statistics
85, 73-76.
LeRoy, S. 2006 “Causality in Economics” Economics Department Working Paper Series, UC Santa Barbara.
LeRoy 2006
Efron, B. 2008 “Empirical Bayes Estimates for Large-Scale Prediction Problems” Statistics Department
Working Paper Series, Stanford. Efron
Heckman, J. 2008 “Econometric Causality” International Statistical Review 76, 1-27.
White, H. and K. Chalak 2008 “Settable Systems: An Extension of Pearl's Causal Model with Optimization,
Equilibirum and Learning” Economics Department Working Paper Series, UC San Diego. White and
Chalak
Syllabus: Economics 245A
Page 37
Antoine, B. and E. Renault 2009 “Specification Tests for Strong Identification” Economics Department
Working Paper Series, University of North Carolina. Antoine and Renault
Belloni, A., V. Chernozhukov and C. Hansen 2010 “LASSO Methods for Gaussian Instrumental Variables
Models” Economics Department Working Paper Series, Cornell. Belloni, Chernozhukov and Hansen
White, H. and X. Lu 2010 “Robustness Checks and Robustness Tests in Applied Economics” Economics
Department Working Paper Series, UC San Diego. White and Lu
Granziera, E., K. Hubrich and R. Moon 2011 “A Predictability Test for a Small Number of Nested Models”
Economics Department Working Paper Series, USC. Granziera Hubrich and Moon
Song, S. and P. Bickel 2011 “Large Vector Auto Regressions” Statistics Department Working Paper Series,
American Univeristy. Song and Bickel
Belloni, A., D. Chen, V. Chernozhukov and C. Hansen 2012 “Sparse Models and Methods for Optimal
Instruments with an Application to Eminent Domain” Econometrica 80, 2369-2429.
Durlauf, S., C. Fu and S. Navarro 2012 “Assumptions Matter: Model Uncertainty and the Deterrent Effect of
Capital Punishment” American Economic Review 102 (May), 487-492.
Geweke, J. and G. Amisano 2012 “Prediction with Misspecified Models” American Economic Review 102
(May), 482-486.
Hansen, P. and A. Timmermann 2012 “Choice of Sample Split in Out-of-Sample Forecast Evaluation”
Economics Department Working Paper Series, European University Institute. Hansen and
Timmermann
Schorfheide, F. and K. Wolpin 2012 “On the Use of Holdout Samples for Model Selection” American
Economic Review 102 (May), 477-481.
David Card’s website for new research on large scale data sets involving employer-employee level data
Topic 3-18
Structural Estimation Methods
Random Coefficient Models in Industrial Organization
Dubin, J. and D. McFadden 1984 “An Econometric Analysis of Residential Electric Appliance Holdings and
Consumption” Econometrica 52, 345-362.
Berry, S. 1994 “Estimating Discrete-Choice Models of Product Differentiation” RAND Journal of Economics
25, 242-262.
Berry, S., J. Levinsohn and A. Pakes 1995 “Automobile Prices in Market Equilibrium” Econometrica 63, 841890.
Olley, S. and A. Pakes 1996 “The Dynamics of Productivity in the Telecommunications Equipment Industry”
Econometrica 64, 1263-1298.
Nevo, A. 2000 “A Practioner's Guide to Estimation of Random Coefficients Logit Models of Demand” Journal
of Economics and Management Strategy 9, 513-548.
Harding, M. and J. Hausman 2008 “Using a Laplace Approximation to Estimate the Random Coefficients Logit
Model by Non-Linear Least Squares” Economics Department Working Paper Series, Stanford.
Harding and Hausman
Knittel, C. and K. Metaxoglou 2008 “Estimation of Random Coefficient Demand Models: Challenges,
Difficulties and Warnings” Economics Department Working Paper Series, UC Davis. Knittel and
Metaxoglou
Imai, S., N. Jain and A. Ching 2009 “Bayesian Estimation of Dynamic Discrete Choice Models” Econometrica
77, 1865-1899.
Pakes, A. 2010 “Alternative Models for Moment Inequalities” Econometrica 78, 1783-1822.
Syllabus: Economics 245A
Page 38
De Loecker, J. 2011 “Product Differentiation, Multiproduct Firms, and Estimating the Impact of Trade
Liberalization on Productivity” Econometrica 79, 1407-1451.
Simulated Method of Moments
McFadden, D. 1989 “A Method of Simulated Moments for Estimation of Discrete Response Models without
Numerical Integration” Econometrica 57, 995-1026.
Pakes, A. and D. Pollard 1989 “Simulation and the Asymptotics of Optimization Estimators” Econometrica 57,
1027-1057.
Gourieroux, C., A. Monfort and E. Renault 1993 “Indirect Inference” Journal of Applied Econometrics 8, S85S118.
Keane, M. and A. Smith 2003 “Generalized Indirect Inference for Discrete Choice Models” Economics
Department Working Paper Series, Yale. Keane and Smith
Bajari, P., C. Benkard and J. Levin 2007 “Estimating Dynamic Models of Imperfect Competition”
Econometrica 75, 1331-1370.
Berry, S. and P. Haile 2010 “Nonparametric Identification of Multinomial Choice Demand Models with
Heterogeneous Consumers” NBER Working Paper Series. Berry and Haile
Li, T. 2010 “Indirect Inference in Structural Econometric Models” Journal of Econometrics 157, 120-128.
Eaton, J., S. Kortum and F. Kramarz 2011 “An Anatomy of International Trade: Evidence from French Firms”
Econometrica 79, 1453-1498.
Kaboski, J. and R. Townsend 2011 “A Structural Evaluation of a Large-Scale Quasi-Experimental
Microfinance Initiative” Econometrica 79, 1407-1451.
Topic 3-19
Remote Sensing
Kumar, N., A. Chu and A. Foster 2008 “Remote Sensing of Ambient Particles in Delhi and its Environs:
Estimation and Validation” International Journal of Remote Sensing 29, 3383-3405.
Topic 3-20
Structural Models and Experiments
Chetty, R., A. Looney and K. Kroft 2008 “Salience and Taxation: Theory and Evidence” Economics
Department Working Paper Series, UC Berkeley. Chetty, Looney and Kroft
DellaVigna, S., J. List and U. Malmendier 2009 “Testing for Altruism and Social Pressure in Charitable
Giving” Economics Department Working Paper Series, UC Berkeley. DellaVigna, List and
Malmendier
Topic 3-21
Identification with Endogeneity
Newey, W., J. Powell and F. Vella 1999 “Nonparametric Estimation of Triangular Simultaneous Equations
Models” Econometrica 67, 565-603.
Blundell, R. and J. Powell 2003 “Endogeneity in Nonparametric and Semiparametric Regression Models” in
Advances in Economics and Econometrics M. Dewatripont, L. Hansen and S. Turnovsky editors.
Blundell and Powell
Hahn, J. and G. Ridder 2009 “Conditional Moment Restrictions and Triangular Simultaneous Equations”
Economics Department Working Paper Series, UCLA. Hahn and Ridder
Syllabus: Economics 245A
Page 39
Imbens, G. and W. Newey 2009 “Identification and Estimation of Triangular Simultaneous Equations Models
without Additivity” Econometrica 77, 1481-1512.
Kasy, M. 2011 “Identification in Triangular Systems using Control Functions” Econometric Theory
forthcoming.
Topic 3-22
Alternative Methods for Empirical Analysis
Wilcoxon, F. 1945 “Individual Comparisons by Ranking Methods” Biometrics Bulletin 1, 80-83.
Mann, H. and D. Whitney 1947 “On a Test of Whether One or Two Random Variables is Stochastically Larger
than the Other” Annals of Mathematical Statistics 18, 50-60.
Hanley, J. and B. McNeil 1982 “The Meaning and Use of the Area Under a Receiver Operating Characteristic
(ROC) Curve” Radiology 143, 29-36.
Mossman, D. 1999 “Three-Way ROCs” Medical Decision Making 19, 78-89.
Conte, M. and D. Steigerwald 2009 “Do Daylight-Saving Time Adjustments Impact Human Performance?”
Economics Department Working Paper Series, UC Santa Barbara. Conte and Steigerwald
Ma, J. and C. Nelson 2009 “Valid Inference for a Class of Models where Standard Inference Performs Poorly”
Economics Department Working Paper Series, University of Washington. Ma and Nelson
Receiver Operating Characteristics Curves: described in Jorda, O. and A. Taylor 2009 “Investment
Performance of Directional Trading Strategies” Economics Department Working Paper Series, UC
Davis. Jorda and Taylor Presentation Slides
Graphing Stability of Moments: described in Figure 2 from Politis, D. and D. Thomakos 2009 “NoVaS
Transformations: Flexible Inference for Volatility Forecasting” Economics Department Working
Paper Series, UC San Diego. Politis and Thomakos
Monte Carlo Presentation: in section on Monte Carlo Evidence from seminar slides by M. Harding, 2010.
Monte Carlo Presentation
Topic 3-23
Finite Sample Analysis
Background: Ullah, A. Finite Sample Econometrics (2004: Oxford University)
Topic 3-24
Symbolic Data Analysis
Background: Bock, H. and E. Diday Analysis of Symbolic Data: Exploratory Methods for Extracting Statistical
Information from Complex Data (2000: Springer-Verlag)
Moore, R. 1966 Interval Analysis Prentice-Hall.
Zellner, A. and J. Tobias 2000 “A Note on Aggregation, Disaggregation and Forecasting Performance” Journal
of Forecasting 19, 457-469.
Billard, L. and E. Diday 2003 “From the Statistics of Data to the Statistics of Knowledge: Symbolic Data
Analysis” Journal of the American Statistical Association 98, 470-487.
Billard, L. and E. Diday 2006 Symbolic Data Analysis: Conceptual Statistics and Data Mining Wiley.
Gonzalez-Rivera, G., T. Lee and S. Mishra 2008 “Jumps in Cross-Sectional Rank and Expected Returns: A
Mixture Model” Journal of Applied Econometrics 23, 585-606.
Syllabus: Economics 245A
Page 40
Lima Neto, E. and F. Carvalho 2008 “Center and Range Method for Fitting a Linear Regression to Symbolic
Interval Data” Computational Statistics and Data Analysis 52, 1500-1515.
Gonzalez-Rivera, G., Z. Senyuz and E. Yoldas 2009 “Autocontours: Dynamic Specification Testing”
Economics Department Working Paper Series, UC Riverside. Gonzalez-Rivera, Senyuz and Yoldas
Arroyo, J., G. Gonzalez-Rivera and C. Mate 2010 “Forecasting with Interval and Histogram Data” Economics
Department Working Paper Series, UC Riverside. Arroyo, Gonzalez-Rivera and Mate
Gonzalez-Rivera, G. and J. Arroyo 2010 “Autocorrelation Function of the Daily Historgram Time Series of
SP500 Intradaily Returns” Economics Department Working Paper Series, UC Riverside. GonzalezRivera and Arroyo
Lima Neto, E. and F. Carvalho 2010 “Constrained Linear Regression Models for Symbolic Interval-Valued
Variables” Computational Statistics and Data Analysis 54, 333-347.
Topic 3-25
Robust Comparative Statics
Echenique, E. and I. Komunjer 2008 “A Test for Monotone Comparative Statics” Economics Department
Working Paper Series, UC San Diego. Echenique and Komunjer
Topic 3-26 Time Series Analysis
Spurious Regression
Cointegration
Nonlinearities in Financial Data
Background: Hamilton, J. Time Series Analysis (1994: Princeton University)
Background: Watson, M. 2007 “Time Series Overview and Frequency Domain Descriptive Statistics” Lecture
Notes, NBER. TS Lecture 1 Slides
Background: Watson, M. 2007 “The Functional Central Limit Theorem and Testing for Time Varying
Parameters” Lecture Notes, NBER. TS Lecture 2 Slides
Background: Stock, J. 2007 “Weak Instruments, Weak Identification and Many Instruments: Part I” Lecture
Notes, NBER. TS Lecture 3 Slides
Background: Stock, J. 2007 “Weak Instruments, Weak Identification and Many Instruments: Part II” Lecture
Notes, NBER. TS Lecture 4 Slides
Background: Watson, M. 2007 “The Kalman Filter, Nonlinear Filtering and Markov Chain Monte Carlo”
Lecture Notes, NBER. TS Lecture 5 Slides
Background: Watson, M. 2007 “Specification and Estimation of Models with Stochastic Time Variation”
Lecture Notes, NBER. TS Lecture 6 Slides
Background: Stock, J. 2007 “Recent Developments in Structural VAR Modeling” Lecture Notes, NBER. TS
Lecture 7 Slides
Background: Stock, J. 2007 “Econometrics of DSGE Models” Lecture Notes, NBER. TS Lecture 8 Slides
Background: Watson, M. 2007 “Heteroskedasticity and Autocorrelation Consistent Standard Errors” Lecture
Notes, NBER. TS Lecture 9 Slides
Background: Watson, M. 2007 “Forecast Assessment” Lecture Notes, NBER. TS Lecture 10 Slides
Background: Stock, J. 2007 “Forecasting and Macro Modeling with Many Predictors, Part I” Lecture Notes,
NBER. TS Lecture 11 Slides
Syllabus: Economics 245A
Page 41
Background: Stock, J. 2007 “Forecasting and Macro Modeling with Many Predictors, Part II” Lecture Notes,
NBER. TS Lecture 12 Slides
Background: References for TS Lectures
Fry, R. and A. Pagan 2011 “Sign Restrictions in Structural Vector Autoregressions: A Critical Review” Journal
of Economic Literature 49, 938-960.
Topic 3-27
Econometric Analysis of Game Theory
Bajari, P., H. Hong and S. Ryan 2010 “Identification and Estimation of a Discrete Game of Complete
Information” Econometrica 78, 1529-1568.
Campo, S., E. Guerre, I. Perrigne and Q. Vuong 2011 “Semiparametric Estimation of First-Price Auctions with
Risk-Averse Bidders” Review of Economic Studies 78, 112-147.
Perrigne, I. and Q. Vuong 2011 “Nonparametric Identification of a Contract Model with Adverse Selection and
Moral Hazard” Econometrica 79, 1499-1539.
Topic 3-28
Empirical Likelihood
Owen, A. 1988 “Empirical Likelihood Ratio Confidence Intervals for a Single Functional” Biometrika 75, 237249.
Hall, P. and B. Scala 1990 “Methodology and Algorithms of Empirical Likelihood” International Statistical
Review 58, 109-127.
Owen, A. 1990 “Empirical Likelihood Ratio Confidence Regions” Annals of Statistics 18, 90-120.
Kitamura, Y. 2001 “Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions”
Econometrica 69, 1661-1672.
Newey, W. and R. Smith 2004 “Higher Order Properties of GMM and Generalized Empirical Likelihood
Estimators” Econometrica 72, 219-255.
Ragusa, G. 2011 “Minimum Divergence, Generalized Empirical Likelihoods and Higher-Order Expansions”
Econometric Reviews 30, 406-456.
Kitamura, Y., A. Santos and A. Shaikh 2012 “On the Asymptotic Optimality of Empirical Likelihood for
Testing Moment Restrictions” Econometrica 80, 413-423.
Topic 3-29
Survey Design
Background: Cochran, W. Sampling Techniques (1973: Wiley)
Background: American Statistical Association – Survey Research Methods Section
Rivers, D. and D. Bailey 2009 “Inference from Matched Samples in the 2008 U.S. National Elections”
Proceedings of the Survey Research Methods Section, ASA. Rivers and Bailey
Topic 3-30
Duration Models
Background: Lancaster, T. The Econometric Analysis of Transition Data (1990: Cambridge)
Syllabus: Economics 245A
Page 42
Cox, D. 1972 “Regression Models and Life Tables” Journal of the Royal Statistical Society: Series B
(Methodology) 34, 187-220.
Lancaster, T. 1979 “Econometric Methods for the Duration of Unemployment” Econometrica 47, 939-956.
Topic 4
Papers of Interest
Romano, J., A. Shaikh and M. Wolf 2014 “A Practical Two-Step Method for Testing Moment Inequalities”
Econometrica 82, 1979-2002.
Additional Research Topics
Binary Response Models
How does one test for conditional Heteroskedasticity of unknown form in a probit or logit
model?
Bootstrap
Improve on Huitema et al. paper where inference on coefficient in linear model with AR(1)
errors: key issue - dependence may not be AR(1) so their parametric correction would not
work well; could use modern HAC methods, could use block bootstrap - other issues - use
size-adjusted power to compare methods, could use studentized or percentile confidence
intervals
Cluster Samples
In constructing clustered standard errors, how large can the ratio, of group size to the number of
groups, be and still have accurate critical values from standard asymptotic theory? Two issues
here, constant group size that gets large relative to G and variable group size with the largest
dominating the sample.
For a cluster sample, if the regressor of interest varies within groups ( xig ), can we use group
averages to consistently estimate the coefficient on this regressor?
Does it make sense to cluster on time (such as years) rather than cross section (such as states)
given the assumption that clusters are uncorrelated?
Difference-in-Differences
If there are unequal numbers of observations before and after treatment, how should we best
collapse the data to estimate the treatment effect? (Should we remove observations, to have
the same number of observations before and after treatment?)
Heteroskedasticity-Consistent Standard Errors
Can we establish, analytically, that the expected value of the classic se estimator is lower than the
expected value of a heteroskedasticity-corrected standard error for mild heteroskedasticity?
Syllabus: Economics 245A
Page 43
Can we establish analytically that the variance of the classic se estimator is lower than the
variance of a heteroskedasticity-corrected standard error in general?
Peer Effects
David Card’s 2011 paper on risky behavior uses techniques from IO to estimate multiple
equilibria models and he estimates both correlated effects and peer effects. Why, when both
correlated and peer effects are in the model, do the peer effects have a positive estimate and
the correlated effects have a negative estimate? (See also Huang 2010 on cellphone use.)
Bryan Graham’s 2010 paper (with Imbens and Ridder) uses nonparametric analysis to obtain peer
effect measures. How accurate, in finite samples, are the standard error estimators they
propose?
Missing Data
Consider a panel observed for two periods with measurements x1 in period 1 and x2 in period 2.
We observe all individuals in the panel in period 1, which yields an estimate of the marginal
density of x1. Some individuals leave the panel in period 2, so we cannot directly estimate the
joint density of x1 and x2. If these individuals are replaced (via a refreshment sample), we
obtain x2* and can estimate the marginal density of x2*. How can the estimates of the
marginal density be used to inform the estimation of the joint density?
Bryan Graham’s 2010 paper (with Imbens and Ridder) uses nonparametric analysis to obtain peer
effect measures. How accurate, in finite samples, are the standard error estimators they
propose?
Regression Discontinuity
To avoid discrete jumps in covariates, especially at the threshold, can stratified random sampling
help?
What if the assignment rule, to treatment, is unknown? Could we use an estimated rule as an
instrument in fuzzy RD?
If covariates jump at the threshold, can we obtain reliable inference from RD?
In selecting bandwidth, Imbens and Kalyanaraman note that h may not tend to 0 for some
distributions. Are these distributions relevant for empirical work and, if they are, how do we
control bias?
How to test for a break-point in nonparametric regression discontinuity models? (see Ludwig
and Miller, 2007)
Treatment Effects
In treatment and control analysis, how does the analysis vary if the control group resembles the
post-treatment group rather than the pre-treatment group? (That is, what if the control group
consists of observations that have been treated by a different, earlier, treatment?)
How do we measure treatment effects for heterogeneous treatments?
Syllabus: Economics 245A
Page 44
How are the measurements of the effect of treatment impacted by some of the treatment groups
failing to complete treatment?
If an instrument should have only a local effect, such as the law governing the age of dropping
out of high school, could we test the validity of the instrument by checking for correlation
between the instrument and the education choices of those who do not drop out of high
school?
Symbolic Data Analysis
How to apply either the bootstrap or subsampling to get measures of uncertainty for interval data
or other forms of symbolic data.
Research Tools
Statistical Computing in R
1. The R Project for Statistical Computing: R manual, FAQs and many links
http://www.r-project.org/
2. Econometrics in R: 50 pages of pdf file. This pdf file covers basic
commands for regression.
http://cran.r-project.org/doc/contrib/Farnsworth-EconometricsInR.pdf
3. Using R to Teach Econometrics: 14 page pdf file.
http://robjhyndman.com/papers/R.pdf
Pros and cons about R