For nearly a decade, the National Bureau of Economic Research has been holding a day of econometrics "Methods Lectures" during the Summer Institute, with the speakers and sub-topic changing each year.
Evidently it's not widely known that the lecture videos and slides are available online -- just click on any of the links below.
[Warning: Certain of the links reveal that audio/video recording/delivery is not the NBER's strong suit, but all the videos are there if you take a few minutes to figure things out.]
[Warning: Certain of the links reveal that audio/video recording/delivery is not the NBER's strong suit, but all the videos are there if you take a few minutes to figure things out.]
Econometric Methods for High-Dimensional Data
Victor Chernozhukov, Massachusetts Institute of Technology, Matthew Gentzkow, University of Chicago and NBER, Christian Hansen, University of Chicago , Jesse Shapiro, University of Chicago and NBER, Matthew Taddy, University of Chicago
Summer Institute 2012
Econometric Methods for Demand Estimation
Ariel Pakes, Harvard University and NBER and Aviv Nevo, Northwestern University and NBER
Summer Institute 2011
Computational Tools & Macroeconomic Applications
Lawrence Christiano, Northwestern University and NBER and Jesus Fernandez-Villaverde, University of Pennsylvania and NBER
Summer Institute 2010
Financial Econometrics
Sydney Ludvigson, New York University and NBER , Yacine Ait-Sahalia, Princeton University and NBER, Michael Brandt, Duke University and NBER and Andrew Lo, MIT and NBER
Summer Institute 2009
Using Field Experiments in Economics: An Introduction, and Conducting Field Research in Developing Countries
John List, University of Chicago and NBER and Michael Kremer, Harvard University and NBER
Summer Institute 2008
Whats New in Econometrics Time Series
James H. Stock, Harvard University and NBER and Mark W. Watson, Princeton University and NBER
Summer Institute 2007
Whats New in Econometrics?
Guido Imbens, Harvard University and NBER and Jeffrey Wooldridge, Michigan State University
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