Course material for ECON 31740 / PPHA 48403 : Optimization-Conscious Econometrics
Winter 2024, University of Chicago
Monday-Wednesday, 11:00-12:20, Saieh 247 [subject to change]
This course studies the core optimization concepts underlying econometric estimation and inference. The objective is to both develop a deep understanding of how estimators are computed, and to get a better theoretical and geometrical understanding of classical econometric estimators through the prism of optimization theory.
Each optimization concept or method is studied using a well established econometric estimator as the working example: linear programming is taught through the example of quantile regression, duality is taught via nonparametric inference, numerical linear algebra is taught via partial identification questions in OLS, integer programming is taught as a solution method for instrumental variables quantile regression, and so on.
Click here for the current version of the Optimization-Conscious Econometrics Textbook.