Francis X. Diebold (UPenn) and
Kamil Yılmaz (Koç)
In E. Mendoza, D. Saravia and E. Pasten (eds.),
Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures. Santiago: Bank
of Chile Central Banking Series, 2018, vol. 25, pp. 97-136.
Working Paper Version
Joint with Holt Dwyer (UCSD) and
Molin Zhong (Fed Board)
Johns Hopkins University, Ph.D. level, Fall 2018
This is an advanced graduate course on major econometric techniques and models that are used in empirical microeconomics. We first introduce econometric theories of nonlinear extremal estimation, nonparametric estimation, and semiparametric estimation. Then, we discuss applications of these theories to limited dependent variable models, selection models, panel data models, and endogenous treatment models with unobserved heterogeneity.