Course Description
This course consists of two parts. In the first part we review basic concepts of stochastic processes and give an introduction to modern empirical processes theory. We cover concepts such as asymptotic tigthness, stochastic uniform equicontinuity, bracketing and covering numbers, Glivenko-Cantelli and Donsker theorems, the continuous mapping theorem and the functional delta method. In the second part, we consider applications to econometrics and use these theoretical results in problems such as model specification, estimation in semiparametric models and the bootstrap.
Instructor:
Professor of Economics, Indiana University. Ph. D. in Economics, Universidad Carlos III de Madrid (2004). Professor Escanciano’s areas of interest fall broadly into the area of econometric theory, with an emphasis on specification testing in econometric models for cross section and time series sequences. Most of his research has focused on the development of consistent specification tests using the modern theory of empirical processes for dependent data. He has published his work in top journals, including Journal of the American Statistical Society, Journal of Econometrics, Econometric Theory, Statistica Sinica, Computational Statistics and Data Analysis.
Dates
June 6, 7, 8, 9 and 10: 16:00 - 19:00
Venue
Universidad Carlos III de Madrid (Getafe Campus)
Calle Madrid, 126
Building 15, Room 15.0.15 (
Map)
Registration Fee
500 Euros*
*Fee covers the course and accompanying materials. The registration fee for students currently enrolled in a Ph.D. program is reduced to 300 Euros. Students may apply for scholarshipsby sending an application letter documenting the merits of their request to the Director of SSECO, Juan J. Dolado at instituto.economia@uc3m.es, indicating as subject “SSECO-scholarship”. Course attendees need to arrange and pay for their own lodging.
Scholarships Applications will not be considered after May 27, 2011.
Course Description
This course consists of two parts. In the first part we review basic concepts of stochastic processes and give an introduction to modern empirical processes theory. We cover concepts such as asymptotic tigthness, stochastic uniform equicontinuity, bracketing and covering numbers, Glivenko-Cantelli and Donsker theorems, the continuous mapping theorem and the functional delta method. In the second part, we consider applications to econometrics and use these theoretical results in problems such as model specification, estimation in semiparametric models and the bootstrap.
Instructor:
Professor of Economics, Indiana University. Ph. D. in Economics, Universidad Carlos III de Madrid (2004). Professor Escanciano’s areas of interest fall broadly into the area of econometric theory, with an emphasis on specification testing in econometric models for cross section and time series sequences. Most of his research has focused on the development of consistent specification tests using the modern theory of empirical processes for dependent data. He has published his work in top journals, including Journal of the American Statistical Society, Journal of Econometrics, Econometric Theory, Statistica Sinica, Computational Statistics and Data Analysis.
Dates
June 6, 7, 8, 9 and 10: 16:00 - 19:00
Venue
Universidad Carlos III de Madrid (Getafe Campus)
Calle Madrid, 126
Building 15, Room 15.0.15 (
Map)
Registration Fee
500 Euros*
*Fee covers the course and accompanying materials. The registration fee for students currently enrolled in a Ph.D. program is reduced to 300 Euros. Students may apply for scholarshipsby sending an application letter documenting the merits of their request to the Director of SSECO, Juan J. Dolado at instituto.economia@uc3m.es, indicating as subject “SSECO-scholarship”. Course attendees need to arrange and pay for their own lodging.
Scholarships Applications will not be considered after May 27, 2011.