Nonparametric econometrics

Author: Ye Azhong
Publisher:
Publish Date: 2003-07-01
Features: This book comprehensively and systematically introduces the main research achievements in nonparametric econometrics over the past 30 years, particularly the research findings in nonparametric regression models, semiparametric regression models, and nonparametric simultaneous equation models. It covers the kernel estimation, local linear estimation, nearest neighbor estimation, orthogonal series estimation, polynomial spline estimation, and penalty least squares estimation in nonparametric regression models, as well as the local linear instrumental variable estimation, local linear two-stage least squares estimation, and local linear generalized method of moments estimation in nonparametric econometric simultaneous equation models. Additionally, it includes estimations for semiparametric regression models such as semiparametric linear regression models, semiparametric nonlinear regression models, and semiparametric binary discrete choice models.
This book not only introduces various estimation methods for different models but also provides concrete examples for each estimation method. It also offers approaches for model estimation calculations—either through the software S-Plus2000, by providing Matlab computational programs, or by giving Gauss computational programs. This book can serve as a textbook for advanced econometrics for undergraduate, master's, and doctoral students in economics and management disciplines. It is also suitable for researchers, teachers, and students in the field of quantitative economics and management.