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1. Maximum Likelihood Estimation (MLE)
Jerry A. Hausman (1975). An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models. Econometrica, 43(4), 727-738.
https://doi.org/10.2307/1913081
Working paper (MIT. Dept. of Economics) ; no. 127
Jerry A. Hausman and William E. Taylor (1983). Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation. Econometrica, 51(5), 1527-1549.
https://doi.org/10.2307/1912288
Working paper (MIT. Dept. of Economics) ; no. 280
Jerry A. Hausman, Whitney K. Newey and William E. Taylor (1987). Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions. Econometrica, 55(4), 849–874.
https://doi.org/10.2307/1911032
Working paper (MIT. Dept. of Economics) ; no. 369
2. Vector Autoregressive (VAR) model
Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357–384.
4. References
Takeshi Amemiya (1985). Advanced Econometrics. Harvard University Press
Machine Learning vs. Econometrics
1. Supervised Learning : Parametric estimation
2. Unsupervised Learning : Nonparametirc estimation
3. Reinforcement Learning : Simulation
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The frequentist approach includes nonparametric methods
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