• Syllabus

• Empirical Project

• Cameron and Trivedi's  book 

• Racine's   book 

• Wooldridge's Econometrics book

• Bruce Hansen's Econometrics book

Slides

• Handout 0:

  Introduction: Overview of the Course. 

  Review of Basic Concepts 

    

Readings 

•  Refresh basic concepts reading the notes and/or any good econometrics/statistics book (Wooldridge or Greene, for instance)

Slides

• Handout 1: 

  Non-parametric estimation of the density function  

Readings 

•  Read Cameron and Trivedi (CT), sections 9.1-9.3

 Additional Materials 

• STATA example  

 Problemsets 

 Slides

•  Handout 2: 

  Nonparametric Kernel Regression (UPDATED VERSION) 

   

Readings:

• Cameron and Trivedi (CT), sections 9.4 and 9.5 

• For those who want to expand their knowledge, check out this interesting online course

Additional Materials 

•  STATA Example

Slides

Handout 3: 

Non parametric Series Regression

Handout 4: 

Semiparametric Regression 

Readings:

• Chapter 20, Hansen's book (relevant sections)   

• Section 9.7, CT 

• On stata and semiparametric methods 

• A new take on binscatter plots, Cattaneo et al (2024): check out the the paper  and an interesting website 

Additional Materials 

• STATA Example 

 Problemsets 

• Problem Set 2. 

 Slides:

•  Handout 5

  Introduction to Quantile Regression 

Readings:

•  Mostly Harmless Econometrics, Chapter 7

• Cameron and Trivedi, Microeconometrics using STATA, chapter 7 

•  An easy introductory summary by Koenker and Hallock (JEP 2001) 

• STATA example

 Handout 6:

Quantile Regression, II 

Readings:

Chapter 7, Mostly Harmless

Chapter 24, Hansen's book 

Cameron and Trivedi (Microeconomics using STATA), Chapter 7  

Abadie, Angrist and Imbens paper, 2002 Econometrica    

 Additional Materials

 Check out this interesting website.

It contains references to recent papers in QR and econometric packages to implement these techniques 

Readings: