Lecture notes by Victor Chernozhukov (MIT) and Ivan Fernandez-Val (BU).
| LEC # | TOPIC |
|---|---|
| 1 | Least Squares, Adaptive Partialling-Out, Simultaneous Inference (PDF) |
| 2 | Structural Equations Models and IV, Take 1 (PDF) |
| 3 | Structural Equations Models and GMM (PDF) |
| 4 | Euler Equations, Nonlinear GMM, and Other Adventures (PDF) |
| 5 | Bootstrapping (PDF) |
| 6 | Nonlinear and Binary Regression, Predictive Effects, and M-Estimation (PDF) |
| 7 | Distribution Regression and Counterfactual Analysis |
| 8 | Linear Panel Data Models Under Strict and Weak Exogeneity (PDF) |
| 9 | GMM Under Moderately High Dimensions (PDF) |
| 10 | |
| 11 |
Inference for High-Dimensional Sparse Econometric Models (PDF) Below are the data and codes for this lecture, in case you want to apply this one day. |
| 12 |
Below are the data and codes for this lecture, in case you want to apply this one day. |
| Data and Codes |
R-code and data for lectures 11–12 |