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Restrictions of economic theory in nonparametric methods

In: Handbook of Econometrics

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  • Matzkin, Rosa L.

Abstract

This chapter describes several nonparametric estimation and testing methods for econometric models. Instead of using parametric assumptions on the functions and distributions in an economic model, the methods use the restrictions that can be derived from the model. Examples of such restrictions are the concavity and monotonicity of functions, equality conditions, and exclusion restrictions.The chapter shows, first, how economic restrictions can guarantee the identification of nonparametric functions in several structural models. It then describes how shape restrictions can be used to estimate nonparametric functions using popular methods for nonparametric estimation. Finally, the chapter describes how to test nonparametrically the hypothesis that an economic model is correct and the hypothesis that a nonparametric function satisfies some specified shape properties.

Suggested Citation

  • Matzkin, Rosa L., 1986. "Restrictions of economic theory in nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 42, pages 2523-2558, Elsevier.
    • Handle: RePEc:eee:ecochp:4-42
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    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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