Notes

On research, scientific computing, and technology

Econometrics and Statistics

Probability Distributions • February 27, 2008
Uniform, Normal, Exponential, and Weibull distributions
The Accept-Reject Method • March 7, 2007
A simple sampling method which allows one to sample from a target density using draws from an instrumental density with a specific rejection rule.
Stochastic Processes • February 27, 2008
Definitions; Brownian Motion and the Ornstein-Uhlenbeck Process
Maximum Simulated Likelihood • August 29, 2007
Properties of the maximum simulated likelihood (MSL) estimator.
The Kalman Filter • February 27, 2007
Notes on the Kalman Filter based on Meinhold and Singpurwalla (1983).
Introduction to Sequential Monte Carlo Methods • May 9, 2007
Notes based on Doucet, de Freitas, and Gordon (2001).
Auxiliary Particle Filter • August 8, 2007
Notes on the Auxiliary Particle Filter based on Pitt and Shephard (1999, 2001).
Kotlarski's Theorem • March 29, 2009
A useful theorem for identification of econometric models.
Probit Model • March 8, 2007
A brief overview of the probit model, with references.
Duration Models • March 27, 2009
A brief summary of duration models with references.
Quantile Regression • March 26, 2007
Basic overview of quantile regression, with references.

Scientific Computing and Numerical Methods

Numerical Quadrature Rules for Common Distributions • August 16, 2011
Notes on Gauss-Laguerre and Gauss-Hermite quadrature.
Some Useful Bijections • January 18, 2008
A few transformations that are useful in constrained optimization.
Open Source Software Licenses • April 4, 2010
Notes on various open source software licenses.

Notes on Specific Books and Articles

Rothenberg (1971) • August 19, 2011
Identification in Parametric Models. Econometrica 39, 577-591.
Pesendorfer and Schmidt-Dengler (2008) • June 9, 2008
Asymptotic Least Squares Estimators for Dynamic Games. Review of Economic Studies 75, 901-928.
Aradillas-López and Tamer (2008) • December 4, 2007
The Identification Power of Equilibrium in Simple Games. Journal of Business and Economic Statistics 26, 261-283.
Crisan (2001) • August 30, 2007
Particle Filters—A Theoretical Perspective. In Sequential Monte Carlo Methods in Practice. Doucet, de Freitas, and Gordon (Eds.).
Graham, Imbens, and Ridder (2006) • March 1, 2007
Complementarity and Aggregate Implications of Assortative Matching.
Heckman and Honoré (1989) • March 5, 2008
The Identifiability of the Competing Risks Model, Biometrika 76, 325-330.
Melnikov (2001) • May 23, 2007
Demand for Differentiated Durable Products: The Case of the U.S. Computer Printer Market.
Pakes (1986) • February 21, 2007
Patents as Options: Some Estimates of the Value of Holding European Patent Stocks. Econometrica 54, 755-784.

Datasets

Airline Industry Datasets • April 5, 2010
A survey of publicly available datasets on the airline industry.

The Economics Profession

Economics Journal Rankings • February 2, 2009
Top journals in economics according to Kalaitzidakis, Mamuneas, and Stengos (2001).
Books and Lecture Notes • April 20, 2009
Links to free books and lecture notes on the internet.
Reproducibility in Economics • December 27, 2009
Notes on replication policy and practice in empirical economics.
Refereeing • December 27, 2009
Notes on peer review in economics and in general.
Writing, Publishing, and Presenting in Economics • June 23, 2015
Notes on communicating in the economics profession.

Miscellaneous

itex • September 19, 2007
A list of itex commands and corresponding rendered results.
Bookmarks • Continuously updated
Assorted links in reverse chronological order.
German Resources • June 5, 2004
Resources for learning German: books, short poems, and links.