Department of Economics Econ 212.

707
Seoul National University Spring 2010

SPECIAL STUDIES IN ECONOMETRICS

Instructor : Yoon-Jae Whang

Office: 16-608
Email: whang@snu.ac.kr
Phone: 880-6362
Office Hours: Wed., 14:00-15:00 or by appointment
Lectures: Mon., 15:30-18:15 in 16-216.

Course Description
This is a topics course on econometric methods. We shall be mainly concerned with nonparametric and
semiparametric models, bootstrap and empirical likelihood methods and their applications. We treat mainly
cross-sectional sampling schemes, although some discussion of time series will be made. Readings for the
course are given below. We will not be to able to cover all the topics given in the readings below in the same
depth but we will try to touch on each of these topics at some point in the course.

The course is taughted at an advanced level. Students are expected to have a solid background in statistics and
econometrics (at a first-year graduate level) and linear algebra. Grades will be determined from an in-class
presentation and a final examination.

General References
Please note that there is no set book for this course, although the following textbooks are useful:

Bierens, H. J. (1994), Topics in Advanced Econometrics, Cambridge University Press.

Fan, J. and I. Gijbels (1996), Local Polynomial Modelling and Its Applications, Chapman & Hall.

Haerdle, W. (1990), Applied Nonparametric Regression, Cambridge University Press.

Hall, P. (1992), The Bootstrap and Edgeworth Expansion, Springer-Verlag: New York.

Koenker, R. (2005), Quantile Regression, Cambridge University Press.

Li Q. and J. S. Racine (2007), Nonparametric Econometrics, Princeton University Press.

Mittelhammer, R. C., G. G. Judge and D. J. Miller (2000), Econometric Foundations, Cambridge University
Press.

Owen, A. B. (2001), Empirical Likelihood, Chapman and Hall.

Pagan, A. and A. Ullah (1999), Nonparametric Econometrics, Cambridge University Press.

Politis, D. N., J. R. Romano and M. Wolf (1999), Subsampling, Springer-Verlag: New York.

Shao, J. and Tu, D. (1995), The Jackknife and Bootstrap, Springer: New York.

Course Outline
The tentative course outline is as follows:

1. Introduction
2. Nonparametric Methods
A. Nonparametric Density Estimators
B. Nonparametric Regression Estimators
C. Choice of Smoothing Parameters
3. Semiparametric Methods
A. Models with Limited Dependent Variables
B. Examples of Semiparametric Models
C. Asymptotic Properties of Semiparametric Estimators
4. Bootstrap Methods
A. The Bootstrap Sampling Procedure and Its Consistency
B. Higher-Order Improvements of the Bootstrap
C. Alternatives to the Bootstrap
5. Empirical Likelihood Methods
A. Maximum Empirical Likelihood (MEL) Estimation
B. Hypothesis Tests and Confidence Regions
C. Further Topics
6. Nonparametric Tests
A. Consistent Model Specification Tests
B. Tests of Stochastic Dominance and Treatment Effects
C. Further Topics to be announced

References
Asterisked [*] references are more important for the course. Double-asterisked [**] references are principal
sources.

1. Review of Asymptotic Theory

Billingsley, P. (1995), Probability and Measure, 3rd ed., Wiley: New York.

Davidson, J. (1994), Stochastic Limit Theory, Cambridge University Press.

Serfling, R. J. (1980), Approximation Theorems of Mathematical Statistics, Wiley: New York.

Van der Vaart, A. W. (1998), Asymptotic Statistics, Cambridge University Press.

Van der Vaart, A. W. and J. A. Wellner (1996), Weak Convergence and Empirical Processes, Springer-
Verlag.

2. Nonparametric Methods

Andrews, D. W. K. (1991), “Asymptotic Normality of Series Estimators for Nonparametric and

Semiparametric Regression Models,” Econometrica 59, 307-345.

Andrews, D. W. K. (1991), “Asymptotic Optimality of Generalized CL , Cross-Validation, and Generalized

Cross-Validation,” Journal of Econometrics 47, 359-377.

Andrews, D. W. K. (1995), “Nonparametric Kernel Estimation for Semiparametric Models,” Econometric

Theory 11, 560-596.

Andrews, D. W. K. and Y. -J. Whang (1990), “Additive Interactive Regression Models: Circumvention of the
Curse of Dimensionality,” Econometric Theory 6, 466-479.

**Bierens, H. J. (1987), “Kernel Estimators of Regression Functions,” in Advances in Econometrics: Fifth

World Congress, Vol I, ed. by T.F. Bewley, Cambridge University Press.

Delgado, M. A. and P. M. Robinson (1992), “Nonparametric and Semiparametric Methods for Economic
Research,” Journal of Economic Surveys 6, 201-249.

DiNardo, J. and J. L. Tobias (2001), “Nonparametric Density and Regression Estimation,” Journal of
Economic Perspectives 15, 11-28.

Gyorfi, L, W. Haerdle, P. Sarda and P. Vieu (1989), Nonparametric Curve Estimation from Time Series,
Lecture Notes in Statistics 60, Springer-Verlag.

*Haerdle, W. (1990), Applied Nonparametric Regression, Cambridge University Press.

**Haerdle, W. and O. Linton (1994), “Applied Nonparametric Methods,” Ch. 38, Handbook of Econometrics
IV, ed. by R. F. Engle and D. L. McFadden, Elsevier Science.

* Li Q. and J. S. Racine (2007), Nonparametric Econometrics, Princeton University Press, Chapters 1-2, 14-
15.
Nadaraya, E.A. (1964), “On Estimating Regression,” Theory of Probability and Its Applications 9, 141-142.

Prakasa Rao, B.L.S. (1983), Nonparametric Function Estimation, Academic Press.

Watson, G.S. (1964), “Smooth Regression Analysis,” Sankhya A 26, 359-372.

Robinson, P.M. (1983), “Nonparametric Estimators for Time Series,” Journal of Time Series Analysis 4, 187-
207.

Silverman, B.W. (1986), Density Estimation for Statistics and Data Analysis, Chapman and Hall.

*Stone, C.J. (1982), “Optimal Global Rates of Convergence for Nonparametric Regression,” Annals of
Statistics 10, 1040-1053.

Wahba, G. (1989), Spline Models in Statistics, Regional Conference Series in Applied Mathematics, Society
for Industrial and Applied Mathematics.

Whang, Y.J. and O. Linton (1999), “The Asymptotic Distribution of Nonparametric Estimates of the
Lyapunov Exponent for Stochastic Time Series,” Journal of Econometrics 91. 1-42.

Yatchew, A. (1998), “Nonparametric Regression Techniques in Economics,” Journal of Economic Literature

36, 669-721.

3. Semiparametric Methods

Ai, C. and X. Chen (2003), “Efficient Estimation of Models with Conditional Moment Restrictions
Containing Unknown Functions,” Econometrica 71, 1795-1843.

**Andrews, D. W. K. (1994), “Asymptotics for Semiparametric Econometric Models via Stochastic

Equicontinutiy,” Econometrica 62, 43-72.

**Andrews, D. W. K. (1994), “Empirical Process Methods in Econometrics”, Ch. 37, Handbook of

Econometrics IV, ed. by R.F. Engle and D.L. McFadden, Elsevier Science.

Bickel, P. J., C. A. J. Klaasen, Y. Ritov, and J. A. Wellner (1993), Efficient and Adaptive Inference in
Semiparametric Models, Johns Hopkins University Press.

Buchinsky, M. (1994), “Changes in the U.S. Wage Structure 1963-1987: Application of Quantile
Regression,” Econometrica 62, 405-458.

Buchinsky, M. (2000), “Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical
Research,” Journal of Human Resources 33, 88-126.
Chamberlin, G. (1986), “Asymptotic Efficiency in Semiparametric Models with Censoring,” Journal of
Econometrics 32, 189-218.

Chamberlin, G. (1992), “Efficiency Bounds for Semiparametric Regression,” Econometrica 60, 567-596.

* Chen, X. (2005), “Large Sample Sieve Estimation of Semi-Nonparametric Models,” forthcoming in

Handbook of Econometrics, Vol. VII.

* Chen, X., O. B. Linton, and I. van Keilegom (2003), “Estimation of Semiparametric Models when the
Criterion Function is not Smooth, “ Econometrica 71, 1591-1608.

Engle, R. F., C. W. J. Granger, J. Rice, and A. Weiss (1986), “Semiparametric Estimates of the Relation
Between Weather and Electricity Sales,” Journal of the American Statistical Association 81, 310-320.

Heckman, J. J. (1979), “Sample Selection Bias as a Specification Error,” Econometrica 47, 153-161.

Horowitz, J. (1992), “A Smooth Maximum Score Estimator for the Binary Response Model,” Econometrica
61, 505-531.

Ichimura, H. and L. F. Lee (1988), “Semiparametric Estimation of Multiple Index Models,” in Nonparametric
and Semiparametric Methods in Econometrics and Statistics, ed. by W.A. Barnett, J.L. Powell, and G.
Tauchen, Cambridge University Press.

* Ichimura, H. and P. E. Todd (2006), “Implementing Nonparametric and Semiparametric Estimators,”

forthcoming in Handbook of Econometrics, Vol. VII.

Kim, J. and D. Pollard (1990), “Cube Root Asymptotics,” Annals of Statistics 18, 191-219.

Klein, R. W. and R. H. Spady (1993), “An Efficient Semiparametric Estimator for Binary Response Models,”
Econometrica 61, 387-421.

*Koenker, R. (1978), “Regression Quantiles,” Econometrica 46, 33-50.

Koenker, R. (2005), Quantile Regression, Cambridge University Press.

Koenker, R. and G. Bassett (1982), “Robust Tests for Heteroskedasticity Based on Regression Quantiles,”
Econometrica 50, 43-61.

* Li Q. and J. S. Racine (2007), Nonparametric Econometrics, Princeton University Press, Chapters 7-13

* Manski, C. F. (1975), “Maximum Score Estimation of the Stochastic Utility Model of Choice,” Journal of
Econometrics 3, 205-228.

Manski, C. F. (1985), “Semiparametric Analysis of Discrete Response: Asymptotic Properties of the

Maximum Score Estimator,” Journal of Econometrics 27, 313-333.

Newey, W.K. (1989), “Semiparametric Efficiency Bounds,” Journal of Applied Econometrics 5, 99-135.
Newey, W. K. (1985a), “Maximum Likelihood Specification Testing and Conditional Moment Testing,”
Econometrica 53, 1047-1070.

Newey, W. K. (1989), “Uniform Convergence in Probability and Stochastic Equicontinuity,” Econometrica

59, 1161-1167.

** Newey, W. K. and D. L. McFadden (1994), “Large Sample Estimation and Hypothesis Testing,”
Handbook of Econometrics IV, Ch. 36, North Holland.

Newey, W. K. and J. Powell (1990), “Efficient Estimation of Linear and Type I Censored Regression Models
Under Conditional Quantile Restrictions,” Econometric Theory 6, 295-317.

Pagan, A. and A. Ullah (1988), “The Econometric Analysis of Models with Risk Terms,” Journal of Applied
Econometrics 3, 87-105.

Powell, J. L. (1984), “Least Absolute Deviations Estimation for the Censored Regression Model,” Journal of
Econometrics 25, 303-325.

Powell, J. L. (1986), “Censored Regression Quantiles,” Journal of Econometrics 32, 143-155.

* Powell, J. L. (1994), “Estimation of Semiparametric Models,” , Ch. 41, Handbook of Econometrics IV, ed.
by R.F. Engle and D.L. McFadden, Elsevier Science.

Powell, J. L., J. H. Stock, and T. M. Stoker (1989), “Semiparametric Estimation of Weighted Average
Derivatives,” Econometrica 57, 1403-1430.

Robinson, P. M. (1987), “Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of

Unknown Form,” Econometrica 55, 875-891.

Robinson, P. M. (1988), “Semiparametric Econometrics,” Journal of Applied Econometrics 3, 35-51.

*Robinson, P. M. (1988), “Root-N-Consistent Semiparametric Regression,” Econometrica 56, 931-954.

**Whang, Y. -J. and D.W.K. Andrews (1993), “Tests of Specification for Parametric and Semiparametric
Models,” Journal of Econometrics 57, 277-318.

Whang, Y. -J. (1998), “A Test of Autocorrelation in the Presence of Heteroskedasticity of Unknown Form,”
Econometric Theory 14, 87-122.

4. Bootstrap Methods

Beran, R. (1988), “Previvoting Test Statistics: A Booststrap View of Asymptotic Refinements,” Journal of the
American Statistical Association 83, 687-697.
Bhattacharya, R. N. and J. K. Ghosh (1978), “On the Validity of the Formal Edgeworth Expansion,” Annals of
Statistics 6, 434-451.

Bickel, P. J. and D. A. Freedman (1981), “Some Asymptotic Theory for the Bootstrap,” Annals of Statistics 9,
1196-1217.

Davidson, A. C. and D. V. Hinkley (1997), Bootstrap Methods and Their Application, Cambridge University
Press.

Efron, B. and R. J. Tibshirani (1993), An Introduction to the Bootstrap, Chapman and Hall: New York.

* Hall, P. (1992), The Bootstrap and Edgeworth Expansion, Springer-Verlag: New York.

Hall, P. and Horowitz (1996), “Bootstrap Critical Value for Tests Based on Generalized-Method-Of-Moments
Estimators,” Econometrica 64, 891-916.

* Horowitz, J. (1997), “Bootstrap Methods in Econometrics: Theory and Numerical Performance,” Ch.7,
Advances in Econometrics: Seventh World Congress, Vol. 3, ed. By Kreps, D.M. and K. F. Wallis, Cambrige
University Press.

** Horowitz, J. (2001), “The Bootstrap,” Ch. 52, Handbook of Econometrics V, ed. By Heckman, J.J. and E.
Leamer, North-Holland.

Lahiri, S. N. (2003), Resampling Methods for Dependent Data, Springer-Verlag.

Politis, D. N. and J. R. Romano (1994), “The Stationary Bootstrap,” Journal of the American Statistical
Association 89, 1303-1313.

5. Empirical Likelihood Methods

DiCiccio, T., P. Hall and J. Romano (1991), “Empirical Likelihood is Bartlett-Correctable,” Annals of
Statistics 19, 1053-1061.

Kiefer, J. and J. Wolfowitz (1956), “Consistency of the Maximum Likelihood Estimator in the Presence
of Infinitely Many Incidental Parameters,” Annals of Mathematical Statistics 27, 887-906.

Kitamura, Y. (1997), “Empirical Likelihood Methods with Weakly Dependent Processes,” Annals of
Statistics 25, 2084-2102.

Kitamura, Y. (2001), “Asymptotic Optimality of Empirical Likelihood for Testing Moment Restrictions,”
Econometrica 69.

** Kitamura, Y. (2006), “Empirical Likelihood Methods in Econometrics: Theory and Practice,” Cowles
Foundation Discussion Paper No. 1569, Yale University.
Otsu, T. and Y. –J. Whang (2007), “Testing for Non-Nested Conditional Moment Restrictions via
Conditional Empirical Likelihoods,” forthcoming in Econometric Theory.

* Owen, A. B. (1990), “Empirical Likelihood Confidence Regions,” Annals of Statistics 18, 90-120.

Owen, A. B. (1991), “Empirical Likelihood for Linear Models,” Annals of Statistics 19, 1725-1747.

* Owen, A. B. (2001), Empirical Likelihood, Chapman and Hall.

Mittelhammer, R. C., G. G. Judge and D. J. Miller (2000), Ch.12, op. cit.

** Qin, J. and J. Lawless (1994), “Empirical Likelihood and General Estimating Equations,” Annals of
Statistics 22, 300-325.

Whang, Y. –J. (2006), “Smoothed Empirical Likelihood Methods for Quantile Regression Models,”
Econometric Theory 22, 173-205.

6. Nonparametric Tests

Abadie, A. (2002), "Bootstrap Tests for Distributional Treatment Effects in Instrumental Variables Models,"
Journal of the American Statistical Association, Vol. 97, No. 457, pp. 284-292.

* Andrews, D. W. K. (1997), “A Conditional Kolmogorov Test,” Econometrica 65, 1097-1128.

Barrett, G. and S. Donald (2003), "Consistent tests for stochastic dominance," Econometrica, 71,71-104.

Bierens, H. J. (1990), “A Consistent Conditional Moment Test of Functional Form,” Econometrica 58, 1443-
1458.

Bierens, H. J. and W. Ploberger (1997), “Asymptotic Theory of Integrated Conditional Moment Tests,”
Econometrica 65, 1129-1151.

Fan, Y. and Q. Li (1996), “Consistent Model Specification Tests: Omitted Variables and Semiparametric
Functional Forms,” Econometrica 64, 865-890

* Giné, E., D. M. Mason, and A. Y. Zaitsev (2003), The L1-Norm Density Estimator Process, Annals of
Probability 31, 719-768.

Haerdle, W. and E. Mammen (1993), “Comparing Nonparametric versus Parametric Regression Fits,” Annals
of Statistics 21, 1926-1947.

Horowitz, J. L. and V. G. Spokoiny (2001), “An Adaptive, Rate Optimal Test of a Parametric Mean
Regression Model against a Nonparametric Alternative,” Econometrica 69, 599-631.

Imbens, G. W. (2004), "Nonparametric Estimation of Average Treatment Effects Under Exogeneity: A

Review," Review of Economics and Statistics 86, 4-29.
Imbens, G. and J. Wooldridge (2009): Recent developments in the econometrics of program evaluation,
Journal of Economic Literature, 47:1, 5-86.

Lee, S., O. Linton, and Y. -J. Whang (2009), "Testing for Stochastic Monotonicity," Econometrica 77, 585-
602.

* Lee, S. and Y. -J. Whang (2009), "Nonparametric Tests of Conditional Treatment Effects," Working Paper.

** Linton, O., E. Maasoumi, and Y-J. Whang (2005), Consistent testing for stochastic dominance under
general sampling schemes, Review of Economic Studies, 72, 735-765.

Linton, O., K. Song, and Y-J. Whang (2008), "An Improved Bootstrap Test of Stochastic Dominance, "
Journal of Econometrics 154, 186-202.

Whang, Y. -J. (2000), “Consistent Bootstrap Tests of Parametric Regression Functions,” Journal of
Econometrics 98, 27-46.