Hansen, University of Wisconsin, Madison. Toggle navigation. New to eBooks. How many copies would you like to buy? So my question is which book would you recommend for someone to have both a good overview and a logical presentation of this domain?
Applied Nonparametric Econometrics
I would like to have a good background for these techniques. I precise that I have a graduate level in econometrics and applied statistics, so some maths are fine, but with some intuition is very good too!
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The first is much slimmer, a bit more introductory, with lots of examples and illustrations. It covers histograms, nonparametric density estimation, nonparametric regression, semiparametric and generalized regression models, single index models, generalized partial linear models, additive models and their marginal effects and generalized additive models. The second tome covers nonparametric kernel methods, semiparametric methods, consistent model specification tests, nonparametric nearest neighbor and series methods, and some time series, simultaneous equations, and panel data models at the end.
There is not too much about QR in this book. Koenker's QR would make a nice supplement.
It is also worth mentioning some other books. While comprehensive and worth reading later, I found Pagan and Ullah to be a difficult first introductions to this material.
Nonparametric Econometrics | Abi Adams-Prassl
I have heard good things about Yatchew's Semiparametric Regression book , but I have not read it myself. As the name suggests, its focus is more applied than that of Li and Racine, although it does devote quite some attention to theoretical underpinnings, too.
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Compared to the titles mentioned by Dimitriy, it unsurprisingly given its more recent date surveys many of the recent developments in for example the area of nonparametric instrumental variables or panel data estimation. What I additionally like a lot probably in line with many CVers is its usage of R as well as The online StatSoft textbook is a good place to start.
An Introduction to the Advanced Theory and Practice of Nonparametric Econometrics
Sign up to join this community. The semiparametric approach considers econometric models where one component has a parametric and the other, which is unknown, a nonparametric specification Manski and Horowitz and Neumann , among others. The main ingredient of this approach is the data based estimation of the unknown joint density due to Rosenblatt Since then, especially in the last decade, a vast amount of literature has appeared on nonparametric estimation in statistics journals. However, this literature is mostly highly technical and this may partly be the reason why very little is known about it in econometrics, although see Bierens and Ullah The Role of Fiscal Policy in the St.