Universität Wien

390035 UK PhD-VGSE: Asymptotic Properties of M-Estimators (2011W)

5.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung

The level of this course requires knowledge of advanced macroeconomics, advanced microeconomics, and advanced econometrics. ;Students may apply for this course by sending an email to info@vgse.at including their CV, transcript (Sammelzeugnis) and optionally a recommendation of their thesis advisor. ; More information at www.vgse.at

Compulsory reading of 'Basic Elements of Asymptitoc Theory' (30 pages) as a preparation for this class. Please contact Verena Konrad (verena.konrad@univie.ac.at) for the file.

Details

max. 24 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

  • Montag 03.10. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 10.10. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 17.10. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 24.10. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 31.10. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 07.11. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 14.11. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 21.11. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 28.11. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 05.12. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 12.12. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 23.01. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Montag 30.01. 13:15 - 14:45 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

We shall discuss in detail the standard methods that underly consistency
and asymptotic normality proofs for estimators defined through an optimization
problem (e.g., nonlinear least squares, quasi maximum likelihood, GMM, etc.).
You should be familiar with the various convergence concepts for sequences
of random vectors and their interrelations as, e.g., presented in Pötscher and
Prucha (2001).
1. Introduction and Overview: Models, Estimators, Asymptotic Concepts
(Consistency and Asymptotic Normality).
Reading material: Pötscher and Prucha (1997), Chapter 2,
Newey and McFadden (1994), Section 1.
2. Consistency of M-Estimators
Reading material: Pötscher and Prucha (1997), Chapters 3 and 4,
Newey and McFadden (1994), Section 2.
3. Asymptotic Normality of M-Estimators
Reading material: Pötscher and Prucha (1997), Chapters 8 and 9,
Newey and McFadden (1994), Sections 3 and 7.
4. (Uniform) Laws of Large Numbers and Central Limit Theorems
Reading material: Pötscher and Prucha (1997), Chapters 5, 6, and 10,
Wooldridge (1994), Sections 4.2, 4.3.
5. Estimating the Variance-Covariance Matrix of the Asymptotic Distribu-
tion
Reading material: Pötscher and Prucha (1997), Chapter 12,
Newey and McFadden (1994), Section 4,
Wooldridge (1994), Section 4.5.

Art der Leistungskontrolle und erlaubte Hilfsmittel

There will be a midterm and a final exam. Both exams carry equal weight.

Mindestanforderungen und Beurteilungsmaßstab

Prüfungsstoff

Literatur

Newey and McFadden (1994), Large Sample Estimation and Hypothesis
Testing, Handbook of Econometrics, Vol 4, Chapter 36.
Pötscher and Prucha (1997) Dynamic Nonlinear Econometric Models: As-
ymptotic Theory, Springer-Verlag.
Pötscher and Prucha (2001), Basic Elements of Asymptotic Theory, in: A
Companion to Theoretical Econometrics (B. Baltagi, ed.), Blackwell Publishers.
Wooldridge (1994), Estimation and Inference for Dependent Processes, Hand-
book of Econometrics, Vol 4, Chapter 45.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 07.09.2020 15:46