STRUCTURAL ECONOMETRICS

LECTURES AND ASSIGNMENTS

 

All Sessions Run from 10 am to midday Pittsburgh time

 

Robert A. Miller  ramiller@cmu.edu

 

SCHEDULE & VIDEO

 

INTRODUCTION TO STRUCTURAL MODELS

ASSIGNMENT MATERIAL

Saturday October 16

Sunday October 17

Saturday October 23

Sunday October 24

1 Overview

2 Job Matching and Turnover

3 Continuous Choices in Competitive Equilibrium

4. Human Capital and Durable Goods

 

2 Baysian Learning

3 Consumption Smoothing

 

 

SUMMARIZING THE DATA

 

 

Saturday October 30

Sunday October 31

Saturday November 6

Sunday November 7

5 Linear

6 Nonlinear but Parametric

7 Nonparametric

8 Semipametric

5 Linear Estimators

 

 

 

PROBABILITY

 

 

Saturday November 13

Sunday  November 14

9   Probability and Convergence

10 Law of Large Numbers and Central Limit Theorems

9 Probability and Convergence

 

 

ASYMPTOTIC THEORY FOR NONLINEAR MODELS

 

 

Saturday November 20

Sunday  November 21

Saturday November 27

Sunday  November 28

11 Asymptotic Distribution of Nonlinear Parametric Estimators

12 Efficient Parametric Estimaton

13 Hypothesis Tests for Parametric Models

14 Extensions to Nonparametric and Semiparametric Models

 

 

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DYNAMIC DISCRETE CHOICE

 

 

Saturday January 15

Sunday  January 16

Saturday January 22

Sunday January 23

Saturday January 29

Sunday January 30

Saturday February 5

1 Conditional Independence

2 Value Function Representation and Identification

3 CCP Estimators

4 Finite Dependence

5 Unobserved Heterogeneity

6 Empirical Applications in Industrial Organization

7 Product Lifecycle

 

 

3 CCP Estimators

 

5 Unobserved Heterogeneity

 

 

 

MARKET MICROSTRUCTURE

 

 

Sunday February 6

Saturday  February 12

Sunday February 13

8 Sealed Bid Auctions

9 Auction Dynamics

10 Limit Order Markets

 

9 Bidding Friction

 

 

OPTIMAL CONTRACTING

 

 

Saturday  February 19

Sunday February 20

Saturday  February 26

Sunday February 27

11 Procurement

12 Pure Moral Hazard

13 Moral Hazard and Hidden Information

14 Life Cycle Career Concerns