Schedule. This module of the MPhil Econometrics course will run for MT weeks 7--8. All six lectures are pre-recorded, and available through Panopto (in the "Duffy Lectures" subfolder). In-person Q&A sessions will be held on Mon, Wed and Fri in the Manor Rd Common Room, separately for each of the three groups, at the times indicated in the lecture list.
Outline. I will cover the follow topics:
MT7: Generalised method of moments
MT8: Maximum likelihood estimation
In advance of the Q&A sessions, please view the relevant pre-recorded lectures on Panopto, and read (at least) the relevant parts of the accompanying lecture notes. The Q&A sessions are principally an opportunity for you to ask me questions on the lecture material, to compensate for the fact that this year's lectures are pre-recorded. In addition, if time permits and there is sufficient interest, we can discuss some of the following problems on GMM (in MT7) and on MLE (in MT8).
Lecture notes. Uploaded at: 28/11/20 9:50. Substantive corrections to parts of the notes previously released will be marked with margin notes in the pdf. (These will not appear when the notes are printed, and may not display in all pdf reader software.) Please email me if you find any errors.
The notes contain a lengthy section on instrumental variables (IV) estimation (Section 1), which was previously taught as part of this module (which ran over three weeks). This year Steve is covering IV in his lectures, and so I will only cover the material in Sections 2 and 3 of the notes. I've nevertheless retained Section 1 of the notes, in case you find it helpful to see a slightly different treatment of that material, but you should not feel obliged to review it.
Reading. The primary reference for this module is the course notes. In addition to these, I strongly recommend reading the relevant parts (as indicated in the course notes) of:
BH: Hansen (2017) Econometrics, available freely online here [note that references are to the 2017 edition]; and
JW: Wooldridge (2010) Econometric Analysis of Cross Section and Panel Data
For those of you who feel you would benefit from additional readings, my notes also give references to the relevant sections of
DM: Davidson & MacKinnon (2009) Econometric Theory and Methods
FH: Hayashi (2000) Econometrics
Those of you interested in seeing a rigorous derivation of the consistency and asymptotic normality of these estimators may wish to consult these notes from a course that I have previously taught to second-year MPhils.
Problem sets. Solutions to these must be submitted to your class teachers by usual deadline; a subset of your answers these will be marked and returned to you. Worked solutions will be posted here after the submission deadline.