Universität Wien

390035 UK PhD-VGSE: Asymptotic Properties of M-Estimators (2010W)

5.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften
Continuous assessment of course work

Details

max. 24 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Monday 04.10. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 11.10. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 18.10. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 25.10. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 08.11. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 15.11. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 22.11. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 29.11. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 06.12. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 13.12. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 10.01. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 17.01. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 24.01. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
  • Monday 31.01. 13:15 - 15:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)

Information

Aims, contents and method of the course

We shall discuss in detail the standard methods that underly consistency
and asymptotic normality proofs for estimators de.ned 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

Assessment and permitted materials

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

Minimum requirements and assessment criteria

Examination topics

Reading list

Reading material:
Pötscher and Prucha (1997), Chapter 12,
Newey and McFadden (1994), Section 4,
Wooldridge (1994), Section 4.5.

References:
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.

Association in the course directory

Last modified: Mo 07.09.2020 15:46