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.

Economics Job Market Resources • August 19, 2019: Advice about the Economics job market including application materials, interview skills, etc.

Miscellaneous

Bookmarks • Continuously updated: Assorted links in reverse chronological order.