CREST - GENES

Cours de Formation par la Recherche 2008-2009

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Lectures on Recent Developments in Econometrics

Victor CHERNOZHUKOV
(Massachussetts Institute of Technology, USA et Invit CREST, LMI )

--------------------This course will focus on several recent developments in econometrics. We will begin with an
introduction to empirical process methods, and then discuss the following three recent research
directions: (1) quantile regression, (2) quasi-Bayesian estimation of nonlinear models, and (3)
estimation and inference in partially identified models.
Quantile regression is a collection of methods for studying the impact of explanatory variables on
quantiles of response variables, with many applications ranging from risk management to demand
analysis. Quasi-Bayesian estimation applies the computational machinery from Bayesian statistics
to non-Bayesian problems, offering a computationally tractable alternative to the conventional
extremum-based estimation; the method is particularly useful for estimation of highly complex nonlinear econometric models. Estimation in partially identified models deals with situations where
sampling and model conditions only provide bounds on the true parameter value rather than pin
down this value exactly.
Bibliographie
Andrews, D.W.K. (1994), Empirical Process Methods in Econometrics , Handbook of Econometrics, Vol.
IV, 2247-2294, North-Holland, Amsterdam.
van der Vaart, A.W. (1998), Asymptotic Statistics, Cambridge Series in Statistical and Probabilistic
Mathematics, 3, Cambridge University Press, Cambridge.
Koenker, R. (2005), Quantile Regression, Econometric Society Monographs, 38, Cambridge University
Press, Cambridge.
Chesher, A. (2003), Identification in Non-Separable Models , Econometrica 71, 1405-1441.
Imbens, G. et W. Newey (2002), Identification in Triangular Models without Additivity , forthcoming in
Econometrica.
Chernozhukov, V. et C. Hansen (2006), Instrumental Quantile Regression Inference for Structural and
Treatment Effect Models , J. Econometrics 132, 491-525.
Liu, J.S., Tian, L. et L.J. Wei (2007), Implementation of Estimating Function Based Inference Procedures
with MCMC Samplers , Journal of American Statistical Association.
Chernozhukov, V. et H. Hong (2003), An MCMC Approach to Classical Estimation , J. Econometrics 115,
293-346.
Beresteanu, A. et F. Molinari (2008), Asymptotic Properties for a Class of Partially Identified Models ,
Econometrica.
Bontemps, C., Magnac, T. et E. Maurin (2007), Set Identified Linear Models , Working Paper, Toulouse
School of Economics.
Galichon, A., Ekeland, I. et M. Henry (2007), Optimal Transportation and The Falsifiability of Incompletely
Specified Economic Models , forthcoming in Economic Theory.
Chernozhukov, V., Hong, H. et E. Tamer (2007), Estimation and Confidence Regions for Parameter Sets
in Econometric Models , Econometrica 75, 1243-1284

Cours
Les :

Lundi
Jeudi
Lundi
Jeudi

lENSAE

4
7
11
14

Mai 2009
Mai 2009
Mai 2009
Mai 2009

De 14h 16h 10
De 9h 12h 15
De 9h 12h 15
De 14h 16h 10

3, Avenue Pierre Larousse, Malakoff

Salle
Salle
Salle
Salle

19
18
19
19

(Mtro : Malakoff/Plateau de Vanves)

Ces cours sont proposs aux tudiants de 3me anne de lENSAE, de lENSAI se prparant la recherche et ouverts
aux tudiants de M2 ou inscrits en thse. Une inscription pralable est demande imprativement pour tous les
tudiants de lENSAE, de lENSAI, ou extrieurs, par courriel guedj@ensae.fr ou par tl. au 01 41 17 35 50, afin
de pouvoir tre admis dans les locaux de lENSAE. Les renseignements supplmentaires sur le contenu et les
dates de ces cours peuvent tre obtenus au 01 41 17 35 50.
CREST-OFPR, Bureau 2107, 15 Boulevard Gabriel Pri, 92245 MALAKOFF Cdex.