Advanced Econometric Methods: A Guide to Estimation and Inference for Nonlinear Dynamic Models

This graduate textbook covers the theory and practice of econometrics and data science in complex nonlinear dynamic settings. The reader is guided through a range of modern topics in statistics and data science for nonlinear models, including, (i) estimation theory for analytically intractable estimators, (ii) econometric analysis of misspecified models, (iii) optimal model and estimator selection, and (iv) structural and causal modeling. The methods and techniques covered in this textbook are applied extensively to nonlinear dynamic models, time-series filtering techniques, and dynamic non-parametric methods. Read more