ECON 589: Advanced Econometric Theory --- Herman J. Bierens

ECON 589 (Fall 2004)

Advanced Econometric Theory

Instructor: Prof. Herman J. Bierens (Tel.: 865-4921, email: hbierens@psu.edu).
Office hours: Monday 10-12 AM, or by appointment.
T.A.: None
Time: Wednesday 3:35-6:35 PM
Place: 413 Kern

Prerequisite level:

ECON 501 and ECON 510 (the sections for Ph.D. students in economics), and ECON 511.

Textbooks:

I will not use a specific text book. Instead I will issue lecture notes, and copies of papers to be discussed. However, the following books will be useful as reference:

Bierens, Herman J. (1994): Topics in Advanced Econometrics, Cambridge University Press (paperback version)
Bierens, Herman J. (2004): Introduction to the Mathematical and Statistical Foundations of Econometrics, Cambridge University Press (Chapters 7 and 8)
Billingsley, P. (1968), Convergence of Probability Measures, John Wiley. (A new upgraded edition is available)
Davidson, James (1994): Stochastic Limit Theory, Oxford University Press

Objective

This course and its sequel in the next semester are intended for Ph.D. students in economics who want to specialize in econometrics and be placed as an econometrician at a research university.

The focus of this course is on functional specification and testing and on advanced time series econometrics

The grade will be based on the term paper, your presentation in class, and the homework assignements. The term paper acts as final (take home) exam.

Topics (tentative):

Semi-nonparametric model specification

Hilbert spaces of functions.
Characterization of functions by their Fourier transforms

(Chapter 3 in 1)

Hermite polynomials.

Orthogonal polynomials on the unit interval, with applications to density estimation. (Lecture notes)

Semi-nonparametric duration models: The mixed proportional hazard model. (Working paper)

Neural net approximations.

Specification testing.

The integrated conditional moment test.

Time series

Hilbert spaces, with applications to time series. (Chapter 7 in 2)
Weak convergence to the matrix stochastic integral òBdB'. (Lecture notes)
Asymptotic theory of cointegration. (Lecture notes)

Term paper

The article about which you have to write a term paper is:

Hahn, J. (1994), "The Efficiency Bound of the Mixed Proportional Hazard Model", The Review of Economic Studies 61, 607-629.

You may skip Section 3 on the multi-spell hazard model. A recent related paper is:

Ridder, G. and T. M. Woutersen (2003), "The Singularity of the Information Matrix of the Mixed Proportional Hazard Model", Econometrica 71, 1579-1589.

This paper is helpfull in understanding the Hahn paper.

In your term paper you have to:

Explain the notion of efficiency bound.
State the main results in Hahn's paper.
Explain in your own words how Hahn derives his results, and give the intuition behind these derivations. Thus, do not copy Hahn's text!

Your term paper should be no more than 10 pages long, and should be easier to read and to understand than Hahn's paper.

Your paper is due on the official final exam date, Wednesday December 15 in the morning.