Disequilibrium Econometrics on Micro Data

Econometrics: Panel Data Methods

The Econometrics of High Frequency Data

There has in recent years been a vast increase in the amount of high frequency data available. There has also been an explosion in the literature on the subject. In this course, we start from scratch, introducing the probabilistic model for such data, and then turn to the estimation question in this model. We shall be focused on the (for this area) emblematic problem of estimating volatility. S...

A micro-meso-macro perspective on the metholdology of evolutionary economics: integrating history, simulation and econometrics

Applied economics has long been dominated by multiple regression techniques. In this regard, econometrics has tended to have a narrower focus than, for example, psychometrics in psychology. Over the last two decades, the simulation and calibration approach to modeling has become more popular as an alternative to traditional econometric strategies. However, in contrast to the well-developed meth...

Econometrics on Gpus

A graphical processing unit (GPU) is a hardware device normally used to manipulate computer memory for the display of images. GPU computing, also known as general purpose GPU computing, is the practice of using a GPU device for scienti c or general purpose computations that are not necessarily related to the display of images. The ability of a GPU to render rapidly changing complex images depen...

Three Essays on Econometrics

This thesis consists of three chapters that cover separate topics in econometrics. The first chapter demonstrate a negative result on the asymptotic sizes of subset AndersonRubin tests with weakly identified nuisance parameters and general covariance structure. The result of Guggenberger et al (2012) in case of homoskedasticity is shown to break down when general covariance structure is allowed...