Advanced Econometrics: Nonlinear Models

This is half of the second-year sequence in econometric methodology (ECO 513 is the other). The course covers nonlinear and high-dimensional statistical models for the analysis of cross-sectional and panel data. It is intended both for students specializing in econometric theory and for students interested in applying statistical methods to economic data. Topics covered include large-sample theory for nonlinear estimators, partial identification, statistical decision theory, shrinkage estimation, semiparametric estimation and machine learning, and weak identification.