STRUCTURAL ECONOMETRICS

LECTURES AND ASSIGNMENTS

All Sessions Run from Midday to 2:00 pm EST Pittsburgh time

 

 

Robert A. Miller  ramiller@cmu.edu       List of Participants

 

 

 

 

SCHEDULE

 

 

INTRODUCTION TO STRUCTURAL MODELS

 

 

VIDEO

 

 

ASSIGNMENT MATERIAL

 

Saturday October 24

Sunday October 25

Saturday October 31

Sunday November 1

Saturday November 7

 

 

1 Dynamic Discrete Choice Models

2 Bayesian Learning

3 Complete Markets

4 Limit Order Markets

5 Pure Moral Hazard

 

 

Lecture 1

Lecture 2 – part 1,  Lecture 2 – part 2

Lecture 3

Lecture 4 - 1(11/01/20), Lecture 4 - 2 (11/07/20)

Lecture 5 (11/08/20)

 

 

1 Learning

2 Consumption Smoothing

 

 

ESTIMATORS

 

 

Sunday November 8

Saturday November 14

Sunday November 15

Saturday November 21

 

6 Linear Estimators

7 Nonlinear Parametric Estimators

8 Nonparametric & Semipametric Estimators

 

 

Lecture 6 (11/14/20)

Lecture 7 (11/15/20)

Lecture 8 (11/21/20)

 

6 Linear Estimators

 

 

 

ASYMPTOTIC THEORY FOR NONLINEAR MODELS

 

 

Sunday November 22

Saturday December 5

Sunday  December 6

Saturday December 12

Sunday  December 13

9   Probability and Convergence

10 Law of Large Numbers and Central Limit Theorems

11 Large Sample Properties of Extremum Estimators

12 Asymptotic Efficiency

13 Testing Parametric Models

Lecture 9 (11/22/20)

Lecture 10 (12/05/20)

Lecture 11 (12/06/20)

Lecture 12 (12/12/20)

Lecture 13 (12/13/20)

9 Probability and Convergence

 

 

 

Saturday January 30

Sunday  January 31

Saturday February 6

Sunday February 7

Saturday February 13

Sunday February 14

 

 

DYNAMIC DISCRETE CHOICE

 

15 Conditional Independence

16 Representation

17 Identification

18 CCP Estimators

19 Finite Dependence

20 Unobserved Heterogeneity

 

 

 

 

Lecture 15(01/30/21)

Lecture 16(01/31/21)

Lecture 17(02/06/21)

Lecture 18-1(02/07/21)

Lecture 18-2(02/13/21), Lecture19-1(02/14/21)

Lecture 19-2(02/20/21), Lecture20(02/21/21)

 

 

 

 

 

 

18 CCP Estimators

 

20 Unobserved Heterogeneity

 

 

 

Saturday February 27

Sunday  February 28

Saturday  March 6

 

AUCTIONS AND MARKET MICROSTRUCTURE

 

22 Sealed Bid Auctions

23 Auction Dynamics

24 Auction Dynamics Continued  

 

 

 

 

Lecture 22(02/27/21)

Lecture 23(02/28/21)

Lecture 24(03/06/21)

 

 

 

 

23 Bidding Friction

 

 

Sunday March 7

Saturday  March 13

Sunday  March 14

 

LIFE CYCLE BEHAVIOR

 

No Lecture

25 Life Cycle Career Concerns

 

 

 

 

 

 

Lecture 25(03/13/21)

Lecture 25(03/14/21)