Implementing Nonparametric and Semiparametric Estimators
AbstractThis chapter reviews recent advances in nonparametric and semiparametric estimation, with an emphasis on applicability to empirical research and on resolving issues that arise in implementation. It considers techniques for estimating densities, conditional mean functions, derivatives of functions and conditional quantiles in a flexible way that imposes minimal functional form assumptions. The chapter begins by illustrating how flexible modeling methods have been applied in empirical research, drawing on recent examples of applications from labor economics, consumer demand estimation and treatment effects models. Then, key concepts in semiparametric and nonparametric modeling are introduced that do not have counterparts in parametric modeling, such as the so-called curse of dimensionality, the notion of models with an infinite number of parameters, the criteria used to define optimal convergence rates, and "dimension-free" estimators. After defining these new concepts, a large literature on nonparametric estimation is reviewed and a unifying framework presented for thinking about how different approaches relate to one another. Local polynomial estimators are discussed in detail and their distribution theory is developed. The chapter then shows how nonparametric estimators form the building blocks for many semiparametric estimators, such as estimators for average derivatives, index models, partially linear models, and additively separable models. Semiparametric methods offer a middle ground between fully nonparametric and parametric approaches. Their main advantage is that they typically achieve faster rates of convergence than fully nonparametric approaches. In many cases, they converge at the parametric rate. The second part of the chapter considers in detail two issues that are central with regard to implementing flexible modeling methods: how to select the values of smoothing parameters in an optimal way and how to implement "trimming" procedures. It also reviews newly developed techniques for deriving the distribution theory of semiparametric estimators. The chapter concludes with an overview of approximation methods that speed up the computation of nonparametric estimates and make flexible estimation feasible even in very large size samples.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-452.
Length: 102 pages
Date of creation: Dec 2006
Date of revision:
Contact details of provider:
Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033
Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html
More information through EDIRC
Other versions of this item:
- Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74 Elsevier.
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-13 (All new papers)
- NEP-ECM-2007-01-13 (Econometrics)
- NEP-LTV-2007-01-13 (Unemployment, Inequality & Poverty)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Carlos A. Flores & Alfonso Flores-Lagunes & Arturo Gonzalez & Todd C. Neumann, 2009. "Estimating the Effects of Lenght of Exposure to Traning Program: The Case of Job Corps," Working Papers 2010-3, University of Miami, Department of Economics.
- Rothe, Christoph, 2009.
"Semiparametric estimation of binary response models with endogenous regressors,"
Journal of Econometrics,
Elsevier, vol. 153(1), pages 51-64, November.
- Rothe, Christoph, 2009. "Semiparametric Estimation of Binary Response Models with Endogenous Regressors," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
- Mogstad, Magne & Wiswall, Matthew, 2010.
"Instrumental Variables Estimation with Partially Missing Instruments,"
IZA Discussion Papers
4689, Institute for the Study of Labor (IZA).
- Mogstad, M. & Wiswall, M., 2012. "Instrumental variables estimation with partially missing instruments," Economics Letters, Elsevier, vol. 114(2), pages 186-189.
- James J. Heckman & Daniel A. Schmierer, 2010.
"Tests of Hypotheses Arising in the Correlated Random Coefficient Model,"
NBER Working Papers
16421, National Bureau of Economic Research, Inc.
- Heckman, James J. & Schmierer, Daniel, 2010. "Tests of hypotheses arising in the correlated random coefficient model," Economic Modelling, Elsevier, vol. 27(6), pages 1355-1367, November.
- Heckman, James J. & Schmierer, Daniel, 2010. "Tests of Hypotheses Arising in the Correlated Random Coefficient Model," IZA Discussion Papers 5205, Institute for the Study of Labor (IZA).
- James J Heckman & Daniel Schmierer, 2010. "Tests of Hypotheses Arising In the Correlated Random Coefficient Model," Working Papers 201045, Geary Institute, University College Dublin.
- Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010.
"Robust Data-Driven Inference for Density-Weighted Average Derivatives,"
Journal of the American Statistical Association,
American Statistical Association, vol. 105(491), pages 1070-1083.
- Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers 2009-46, School of Economics and Management, University of Aarhus.
- Paul Winters & Lina Salazar & Alessandro Maffioli, 2010.
"Designing Impact Evaluations for Agricultural Projects,"
8378, Inter-American Development Bank.
- Paul Winters & Lina Salazar & Alessandro Maffioli, 2010. "Designing Impact Evaluations for Agricultural Projects," SPD Working Papers 1007, Inter-American Development Bank, Office of Strategic Planning and Development Effectiveness (SPD).
- Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
- Pedro Cerqueira, 2013.
"A closer look at the world business cycle synchronization,"
International Economics and Economic Policy,
Springer, vol. 10(3), pages 349-363, September.
- Pedro André Cerqueira, 2010. "A Closer Look at the World Business Cycle Synchronization," GEMF Working Papers 2010-21, GEMF - Faculdade de Economia, Universidade de Coimbra, revised May 2012.
- James Heckman & Daniel Schmierer & Sergio Urzua, 2010.
"Testing the correlated random coefficient model,"
CeMMAP working papers
CWP10/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- James J. Heckman & Daniel A. Schmierer & Sergio S. Urzua, 2009. "Testing the Correlated Random Coefficient Model," NBER Working Papers 15463, National Bureau of Economic Research, Inc.
- Heckman, James J. & Schmierer, Daniel & Urzua, Sergio, 2009. "Testing the Correlated Random Coefficient Model," IZA Discussion Papers 4525, Institute for the Study of Labor (IZA).
- James J. Heckman & Daniel Schmierer, 2009. "Testing the Correlated Random Coefficient Model," Working Papers 200937, Geary Institute, University College Dublin.
- Kristensen, Dennis, 2010.
"Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models,"
Journal of Econometrics,
Elsevier, vol. 156(2), pages 239-259, June.
- Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, School of Economics and Management, University of Aarhus.
- Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, School of Economics and Management, University of Aarhus.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CIRJE administrative office).
If references are entirely missing, you can add them using this form.