Final Remarks

Walter Sosa-Escudero
Econ 507. Econometric Analysis. Spring 2009

May 7, 2009

Walter Sosa-Escudero

Final Remarks

This course

Provides background for other courses in the econometrics

sequence.
Motivates the optimal use of econometric tools for applied
analysis.
Emphasizes econometric theory as a way of thinking about
the appropiate use of econometric tools.
Presents some relevant applications.

Walter Sosa-Escudero

Final Remarks

More specifically
Stresses the distinctions between models (the linear model,
non-linear models, interactive, log linear, probits, etc.) and its
estimation strategies (OLS, GLS, IVs, GMM, MLE, NLS,
etc.).
Serves as an introduction to the paradigm of asymptotic
properties: consistency as a basic-crude property, asymptotic
normality as a way to performe inference and obtain a
measure of imprecision (the asymptotic variance).
Efficiency as a relative concept: efficiency statements are
made relative to a probabilistic structure (the classical
assumptions for the linear model, the GMM assumptions for
Hansens Theorem, the ML framework for the Cramer-Rao
bound, the MM approach to NLS optimality).
Introduces similar discussions for the problem of testing: valid
asymptotic size and consistency.
Walter Sosa-Escudero

Final Remarks

A list of methods

OLS
GLS
t, F, Wald tests
IV for linear models, GMM, TSLS.
MLE
Robust asymptotic variance (sandwich) estimators.
The testing trilogy
Non linear GMM
NLS
Extremum estimators

Walter Sosa-Escudero

Final Remarks

A toolkit of technicalities

Projections and the geometric structure of OLS

Idempotencies behind efficiency proofs.
Consistency and LLN and CLT and AN.
Sandwich-type variances.
Delta Method: Mean value expansions for non-linear FOCs
Consistency through convergence of objective functions.
Chi-square forms from quadratic forms of normals behind
hypothesis tests.
Cramer Wold device, uniform convergence, moment existence,
etc.

Walter Sosa-Escudero

Final Remarks

A list of applications

Pollution and the value of houses to measure free riding.

Educational production functions.
Returns to scale in electricity supply.
Schooling effects.
The Challenger disaster.
Estimating the size of the black economy.
Assets and intertemporal consumption.

Walter Sosa-Escudero

Final Remarks

Summer activities

Lateral moves: Davidson and MacKinnon (2004) or Wooldridge (2002)

Modern discussions on the uses of econometrics: Angrist and Pischke (2009).
Advanced moves: Newey and McFadden (1994, Handbook of Econometrics).
A good book on inference: Knight (1999)
A good introduction to analysis: Rudin (1976)
Linear algebra: Axler (2004)
Learn R (The R book, or any on-line resource)
History of statistics and rarities: Stigler (2002)
A good novel: One Hundred Years of Solitude (G.Garcia Marquez)
A glorious short story about infinite samples and infinity: The Garden of Forking
Paths (J.L. Borges)
A good CD: Guitar Music of Argentina, Victor Villadangos.
A good trip: Ubatuba, Brazil.

Walter Sosa-Escudero

Final Remarks

Have a relaxing and productive summer!

Contact Information
Walter Sosa-Escudero
Associate Professor and Chairman,
Department of Economics
Universidad de San Andres
wsosa@udesa.edu.ar

Walter Sosa-Escudero

Final Remarks