Nonparametric Econometrics
Contributors: Ullah, Aman.
Series: Themes in Modern Econometrics
Publisher: Cambridge University Press
Published: 1999
Place of publication: Cambridge, U.K.; New York
Language: eng
Format: Paperback
Number of pages: 424
ISBN-13: 9780521586115
Copyright date: 1999
Subjects: Econometrics.; Mathematical statistics.
Description: This book systematically and thoroughly covers a vast literature on the nonparametric and semiparametric statistics and econometrics that has evolved over the past five decades. Within this framework, this is the first book to discuss the principles of the nonparametric approach to the topics covered in a first year graduate course in econometrics, e.g., regression function, heteroskedasticity, simultaneous equations models, logit-probit and censored models. Professors Pagan and Ullah provide intuitive explanations of difficult concepts, heuristic developments of theory, and empirical examples emphasizing the usefulness of modern nonparametric approach.
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Notes: Includes bibliographical references (p.383-418) and index.
Table of contents: title: 1. Introduction; title: 2. Methods of density estimation; title: 3. Conditional moment estimation; title: 4. Nonparametric estimation of derivatives; title: 5. Semiparametric estimation of single equation models; title: 6. Semi and nonparametric estimation of simultaneous equation models; title: 7. Semiparametric estimation of discrete choice models; title: 8. Semiparametric estimation of selectivity models; title: 9. Semiparametric estimation of censored regression models; title: 10. Retrospect and prospect.