IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this book

Nonparametric Econometrics: Theory and Practice

Listed author(s):
  • Qi Li

    (Texas A&M University)

  • Jeffrey Scott Racine

    (McMaster University)

Until recently, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data--nominal and ordinal--in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types--continuous, nominal, and ordinal--within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

as
in new window

This book is provided by Princeton University Press in its series Economics Books with number 8355 and published in 2006.
Edition: 1
Handle: RePEc:pup:pbooks:8355
Contact details of provider: Web page: http://press.princeton.edu

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Xiaohong Chen & Oliver Linton & Ingred van Keilegom, 2002. "Estimation of semiparametric models when the criterion function is not smooth," CeMMAP working papers CWP02/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Bo E. Honore & Ekaterini Kyriazidou & Christopher Udry, "undated". "Estimation of Type 3 Tobit Models using Symmetric Trimming and Pairwise Comparisons," Home Pages _001, Princeton University, Department of Economics.
  3. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
  4. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, December.
  5. Matthew Shum, 2000. "Nonparametric Tests for Common Values," Econometric Society World Congress 2000 Contributed Papers 1598, Econometric Society.
  6. Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series 386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  7. Zhenjuan Liu & Xuewen Lu & Zhenjuan Liu & Xuewen Lu, 1997. "Root-n-consistent semiparametric estimation of partially linear models based on k-nn method," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 411-420.
  8. Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
  9. Chung-Ming Kuan & Wei-Ming Lee, 2003. "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research 03-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  10. Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
  11. Peter C.B. Phillips & Joon Y. Park, 1998. "Nonstationary Density Estimation and Kernel Autoregression," Cowles Foundation Discussion Papers 1181, Cowles Foundation for Research in Economics, Yale University.
  12. Anderson, N. H. & Hall, P. & Titterington, D. M., 1994. "Two-Sample Test Statistics for Measuring Discrepancies Between Two Multivariate Probability Density Functions Using Kernel-Based Density Estimates," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 41-54, July.
  13. Qi Li & Thomas J. Kniesner, 2002. "Nonlinearity in dynamic adjustment: Semiparametric estimation of panel labor supply," Empirical Economics, Springer, vol. 27(1), pages 131-148.
  14. Azzalini,A. & Bowman,A.W. & Haerdle,W., 1988. "On the use of nonparametric regression for model checking," Discussion Paper Serie A 195, University of Bonn, Germany.
  15. Liu, Zhenjun & Stengos, Thanasis & Li, Qi, 2000. "Nonparametric model check based on local polynomial fitting," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 327-334, July.
  16. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
  17. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
  18. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
  19. Andrews, Donald W. K., 1987. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Working Papers 645, California Institute of Technology, Division of the Humanities and Social Sciences.
  20. Li, Qi & Racine, Jeffrey S, 2008. "Nonparametric Estimation of Conditional CDF and Quantile Functions With Mixed Categorical and Continuous Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 423-434.
  21. Wolfgang HÄRDLE & A. TSYBAKOV, 1995. "Local Polynomial Estimators of the Volatility Function in Nonparametric Autoregression," SFB 373 Discussion Papers 1995,42, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  22. N. Gregory Mankiw & David Romer & David N. Weil, 1990. "A Contribution to the Empirics of Economic Growth," NBER Working Papers 3541, National Bureau of Economic Research, Inc.
  23. Federico M. Bandi & Peter C. B. Phillips, 2003. "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, Econometric Society, vol. 71(1), pages 241-283, January.
  24. Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-137, January.
  25. Song Xi Chen & Wolfgang Härdle & Ming Li, 2003. "An empirical likelihood goodness-of-fit test for time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 663-678.
  26. Horowitz, J.L., 1992. "Testing a Parametric Model Against a Semiparametric Alternative," Papers 9219, Tilburg - Center for Economic Research.
  27. Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-596, May.
  28. Jiti Gao & Howell Tong, 2004. "Semiparametric non-linear time series model selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 321-336.
  29. John DiNardo & Justin L. Tobias, 2001. "Nonparametric Density and Regression Estimation," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 11-28, Fall.
  30. Ted Juhl, 2005. "Functional-coefficient models under unit root behaviour," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 197-213, 07.
  31. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
  32. Cai, Zongwu & Das, Mitali & Xiong, Huaiyu & Wu, Xizhi, 2006. "Functional coefficient instrumental variables models," Journal of Econometrics, Elsevier, vol. 133(1), pages 207-241, July.
  33. Yoon-Jae Whang, 2003. "Smoothed Empirical Likelihood Methods for Quantile Regression Models," Econometrics 0310005, EconWPA.
  34. Spokoiny, Vladimir & Sperlich, Stefan & Hardle, Wolfgang, 2000. "Structural tests in additive regression," DES - Working Papers. Statistics and Econometrics. WS 9863, Universidad Carlos III de Madrid. Departamento de Estadística.
  35. Hardle, W. & Hall, P. & Ichimura, H., 1991. "Optimal smoothing in single index models," CORE Discussion Papers 1991007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  36. Mitali Das & Whitney K. Newey & Francis Vella, 2003. "Nonparametric Estimation of Sample Selection Models," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 33-58.
  37. Henderson, Daniel J. & Carroll, Raymond J. & Li, Qi, 2008. "Nonparametric estimation and testing of fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 144(1), pages 257-275, May.
  38. O. Linton & E. Mammen, 2005. "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, vol. 73(3), pages 771-836, 05.
  39. Peter Hall & Jeff Racine & Qi Li, 2004. "Cross-Validation and the Estimation of Conditional Probability Densities," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1015-1026, December.
  40. Härdle, W.K. & Tsybakov, A.B., 1992. "How sensitive are average derivatives?," Discussion Paper 1992-8, Tilburg University, Center for Economic Research.
  41. James J. Heckman & Hidehiko Ichimura & Petra Todd, 1998. "Matching As An Econometric Evaluation Estimator," Review of Economic Studies, Oxford University Press, vol. 65(2), pages 261-294.
  42. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  43. Zongwu Cai & Jianqin Fan & Qiwei Yao, 2000. "Adaptive Varying-Coefficient Linear Models," STICERD - Econometrics Paper Series 388, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  44. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
  45. Philip A. Haile & Han Hong & Matthew Shum, 2003. "Nonparametric Tests for Common Values at First-Price Sealed-Bid Auctions," NBER Working Papers 10105, National Bureau of Economic Research, Inc.
  46. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
  47. Liang H. & Wang S. & Robins J.M. & Carroll R.J., 2004. "Estimation in Partially Linear Models With Missing Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 357-367, January.
  48. Delgado, Miguel A., 1993. "Testing the equality of nonparametric regression curves," Statistics & Probability Letters, Elsevier, vol. 17(3), pages 199-204, June.
  49. Richard Blundell & Alan Duncan & Krishna Pendakur, 1998. "Semiparametric estimation and consumer demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 435-461.
  50. Insik Min & Sheng jang Sheu & Zijun Wang, 2003. "A Monte Carlo Comparison of Various Semiparametric Type-3 Tobit Estimators," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 125-136, May.
  51. P. M. Robinson, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 437-453.
  52. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
  53. Ai, Chunrong & McFadden, Daniel, 1997. "Estimation of some partially specified nonlinear models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 1-37.
  54. Michiel Van Dijk & Adam Szirmai, 2006. "Technical efficiency and embodied technical change in the Indonesian pulp and paper industry," Journal of International Development, John Wiley & Sons, Ltd., vol. 18(2), pages 163-178.
  55. Opsomer, Jean D. & Ruppert, D., 1998. "A Fully Automated Bandwidth Selection Method for Fitting Additive Models," Staff General Research Papers Archive 1176, Iowa State University, Department of Economics.
  56. Donald, Stephen G. & Paarsch, Harry J., 1996. "Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm," Econometric Theory, Cambridge University Press, vol. 12(03), pages 517-567, August.
  57. Bandi, Federico & Moloche, Guillermo, 2008. "On the functional estimation of multivariate diffusion processes," MPRA Paper 43681, University Library of Munich, Germany.
  58. Miguel A. Delgado & Thanasis Stengos, 1994. "Semiparametric Specification Testing of Non-nested Econometric Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 291-303.
  59. Horowitz, Joel L., 1986. "A distribution-free least squares estimator for censored linear regression models," Journal of Econometrics, Elsevier, vol. 32(1), pages 59-84, June.
  60. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  61. Jianqing Fan, 2000. "Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(4), pages 715-731.
  62. Jing Wang & Lijian Yang, 2009. "Efficient and fast spline-backfitted kernel smoothing of additive models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 663-690, September.
  63. Jeff Racine & Qi Li & Xi Zhu, 2004. "Kernel Estimation of Multivariate Conditional Distributions," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 211-235, November.
  64. Charlier, G.W.P. & Melenberg, B. & van Soest, A.H.O., 1995. "A smoothed maximum score estimator for the binary choice panel data model with an application to labour force participation," Other publications TiSEM 93782c09-3feb-455f-bf00-0, Tilburg University, School of Economics and Management.
  65. Andrea Ichino & Rudolf Winter-Ebmer, 2004. "The Long-Run Educational Cost of World War II," Journal of Labor Economics, University of Chicago Press, vol. 22(1), pages 57-86, January.
  66. Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," STICERD - Econometrics Paper Series 389, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  67. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
  68. Lee, Lung-fei, 1995. "Semiparametric maximum likelihood estimation of polychotomous and sequential choice models," Journal of Econometrics, Elsevier, vol. 65(2), pages 381-428, February.
  69. Jeffery Racine & Jeffrey Hart & Qi Li, 2006. "Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models," Econometric Reviews, Taylor & Francis Journals, vol. 25(4), pages 523-544.
  70. Jianhua Z. Huang & Lijian Yang, 2004. "Identification of non-linear additive autoregressive models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 463-477.
  71. Xiao Z. & Linton O.B. & Carroll R.J. & Mammen E., 2003. "More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 980-992, January.
  72. Jushan Bai, 2003. "Testing Parametric Conditional Distributions of Dynamic Models," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 531-549, August.
  73. Fan, Yanqin & Li, Qi & Min, Insik, 2006. "A Nonparametric Bootstrap Test Of Conditional Distributions," Econometric Theory, Cambridge University Press, vol. 22(04), pages 587-613, August.
  74. Lavergne, Pascal & Vuong, Quang, 1998. "Nonparametric significance testing," SFB 373 Discussion Papers 1998,75, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  75. Abadie, Alberto, 2003. "Semiparametric instrumental variable estimation of treatment response models," Journal of Econometrics, Elsevier, vol. 113(2), pages 231-263, April.
  76. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  77. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
  78. Fan J. & Zhang C., 2003. "A Reexamination of Diffusion Estimators With Applications to Financial Model Validation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 118-134, January.
  79. Hardle, Wolfgang & Sperlich, Stefan & Yang, Lijian, 2000. "Derivative estimation and testing in generalized additive models," DES - Working Papers. Statistics and Econometrics. WS 10084, Universidad Carlos III de Madrid. Departamento de Estadística.
  80. Mack, Y. P. & Rosenblatt, M., 1979. "Multivariate k-nearest neighbor density estimates," Journal of Multivariate Analysis, Elsevier, vol. 9(1), pages 1-15, March.
  81. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
  82. Matzkin, Rosa L, 1992. "Nonparametric and Distribution-Free Estimation of the Binary Threshold Crossing and the Binary Choice Models," Econometrica, Econometric Society, vol. 60(2), pages 239-270, March.
  83. Das, M., 2005. "Instrumental variables estimators of nonparametric models with discrete endogenous regressors," Journal of Econometrics, Elsevier, vol. 124(2), pages 335-361, February.
  84. Donald W.K. Andrews, 1996. "A Conditional Kolmogorov Test," Cowles Foundation Discussion Papers 1111R, Cowles Foundation for Research in Economics, Yale University.
  85. Yatchew,Adonis, 2003. "Semiparametric Regression for the Applied Econometrician," Cambridge Books, Cambridge University Press, number 9780521812832, December.
  86. James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
  87. Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, vol. 124(1), pages 117-148, January.
  88. Rolf Tschernig & Lijian Yang, 2000. "Nonparametric Estimation of Generalized Impulse Response Functions," Econometric Society World Congress 2000 Contributed Papers 1417, Econometric Society.
  89. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, 07.
  90. de Jong, Robert M., 2002. "A note on "Convergence rates and asymptotic normality for series estimators": uniform convergence rates," Journal of Econometrics, Elsevier, vol. 111(1), pages 1-9, November.
  91. Jinyong Hahn, 1998. "On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average Treatment Effects," Econometrica, Econometric Society, vol. 66(2), pages 315-332, March.
  92. Ellison, G. & Ellison, F., 1993. "A Simple Framework for Non-Parametric Specification Testing," Harvard Institute of Economic Research Working Papers 1662, Harvard - Institute of Economic Research.
  93. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1999. "Multivariate Density Forecast Evaluation And Calibration In Financial Risk Management: High-Frequency Returns On Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 661-673, November.
  94. Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
  95. Manzan, Sebastiano & Zerom, Dawit, 2005. "Kernel estimation of a partially linear additive model," Statistics & Probability Letters, Elsevier, vol. 72(4), pages 313-322, May.
  96. Lee, L-F., 1990. "Semiparametric Two Stage Estimation of Sample Selection Models Subject to Tobit-Type Selection Rules," Papers 256, Minnesota - Center for Economic Research.
  97. Adams, Robert M & Berger, Allen N & Sickles, Robin C, 1999. "Semiparametric Approaches to Stochastic Panel Frontiers with Applications in the Banking Industry," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 349-358, July.
  98. Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
  99. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
  100. Songnian Chen, 2002. "Rank Estimation of Transformation Models," Econometrica, Econometric Society, vol. 70(4), pages 1683-1697, July.
  101. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
  102. Bierens, H.J. & Ploberger, W., 1995. "Asymptotic theory of integrated conditional moment tests," Discussion Paper 1995-124, Tilburg University, Center for Economic Research.
  103. Cai, Zongwu, 2001. "Estimating a Distribution Function for Censored Time Series Data," Journal of Multivariate Analysis, Elsevier, vol. 78(2), pages 299-318, August.
  104. Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December.
  105. Li, Qi & Wooldridge, Jeffrey M., 2002. "Semiparametric Estimation Of Partially Linear Models For Dependent Data With Generated Regressors," Econometric Theory, Cambridge University Press, vol. 18(03), pages 625-645, June.
  106. James J. Heckman & Hidehiko Ichimura & Petra E. Todd, 1997. "Matching As An Econometric Evaluation Estimator: Evidence from Evaluating a Job Training Programme," Review of Economic Studies, Oxford University Press, vol. 64(4), pages 605-654.
  107. Yatchew, Adonis & Sun, Yiguo & Deri, Catherine, 2003. "Efficient Estimation of Semiparametric Equivalence Scales with Evidence from South Africa," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 247-257, April.
  108. Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis, 2007. "Growth and convergence: A profile of distribution dynamics and mobility," Journal of Econometrics, Elsevier, vol. 136(2), pages 483-508, February.
  109. Maddala,G. S., 1986. "Limited-Dependent and Qualitative Variables in Econometrics," Cambridge Books, Cambridge University Press, number 9780521338257, December.
  110. Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
  111. CHEN, Rong & YANG, Lijian & HAFNER, Christian, "undated". "Nonparametric multistep-ahead prediction in time series analysis," CORE Discussion Papers RP 1783, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  112. Vella, Francis, 1993. "A Simple Estimator for Simultaneous Models with Censored Endogenous Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(2), pages 441-457, May.
  113. Jianqing Fan & Runze Li, 2004. "New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 710-723, January.
  114. Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
  115. Zimmer, David M. & Trivedi, Pravin K., 2006. "Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 63-76, January.
  116. Jens Perch Nielsen & Stefan Sperlich, 2005. "Smooth backfitting in practice," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(1), pages 43-61.
  117. Qinghua Zhang & Li Gan, 2004. "The thick market effect of local unemployment rate fluctuation," Econometric Society 2004 North American Winter Meetings 179, Econometric Society.
  118. Li, Qi, 2000. "Efficient Estimation of Additive Partially Linear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(4), pages 1073-1092, November.
  119. Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
  120. Donald W.K. Andrews & Moshe Y. Buchinsky, 2000. "On the Number of Bootstrap Repetitions for BC_a Confidence Intervals," Cowles Foundation Discussion Papers 1250, Cowles Foundation for Research in Economics, Yale University.
  121. Rilstone, Paul, 1991. "Nonparametric Hypothesis Testing with Parametric Rates of Convergence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(1), pages 209-227, February.
  122. Hardle, W. & Mammen, E., 1990. "Comparing nonparametric versus parametric regression fits," CORE Discussion Papers 1990065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  123. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
  124. ZINDE-WALSH, Victoria, 2005. "Kernel Estimation when Density Does Not Exist," Cahiers de recherche 09-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  125. Li, Q. & Hsiao, C., 1998. "Testing serial correlation in semiparametric panel data models," Journal of Econometrics, Elsevier, vol. 87(2), pages 207-237, September.
  126. Su, Liangjun & Ullah, Aman, 2006. "More Efficient Estimation In Nonparametric Regression With Nonparametric Autocorrelated Errors," Econometric Theory, Cambridge University Press, vol. 22(01), pages 98-126, February.
  127. Lin D Y & Ying Z, 2001. "Semiparametric and Nonparametric Regression Analysis of Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 103-126, March.
  128. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  129. Heckman, James J, 1990. "Varieties of Selection Bias," American Economic Review, American Economic Association, vol. 80(2), pages 313-318, May.
  130. Chinhui Juhn & Kevin M. Murphy, 1996. "Wage Inequality and Family Labor Supply," NBER Working Papers 5459, National Bureau of Economic Research, Inc.
  131. Hansen, Bruce E., 2005. "Exact Mean Integrated Squared Error Of Higher Order Kernel Estimators," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1031-1057, December.
  132. Fan, Yanqin, 1997. "Goodness-of-Fit Tests for a Multivariate Distribution by the Empirical Characteristic Function," Journal of Multivariate Analysis, Elsevier, vol. 62(1), pages 36-63, July.
  133. Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 29-59, Supplemen.
  134. Donald, S.G. & Paarsch, H.J., 1992. "Maximum Likelihood Estimation in Empirical Models of Auctions," UWO Department of Economics Working Papers 9211, University of Western Ontario, Department of Economics.
  135. Joseph G. Altonji & Rosa L. Matzkin, 2005. "Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 73(4), pages 1053-1102, 07.
  136. Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June.
  137. Sokbae Lee & Joel L. Horowitz, 2004. "Nonparametric Estimation of an Additive Quantile Regression Model," Econometric Society 2004 Far Eastern Meetings 721, Econometric Society.
  138. Vella, F, 1992. "Simple Tests for Sample Selection Bias in Censored and Discrete Choice Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 413-421, Oct.-Dec..
  139. Adonis Yatchew & Joungyeo Angela No, 2001. "Household Gasoline Demand in Canada," Econometrica, Econometric Society, vol. 69(6), pages 1697-1709, November.
  140. Chen, Songnian, 1997. "Semiparametric estimation of the Type-3 Tobit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 1-34, September.
  141. Bierens, Herman J., 1982. "Consistent model specification tests," Journal of Econometrics, Elsevier, vol. 20(1), pages 105-134, October.
  142. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(03), pages 295-325, June.
  143. Russell Davidson & James MacKinnon, 2000. "Bootstrap tests: how many bootstraps?," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 55-68.
  144. Opsomer, Jean D., 2000. "Asymptotic Properties of Backfitting Estimators," Journal of Multivariate Analysis, Elsevier, vol. 73(2), pages 166-179, May.
  145. QI Li & Jeff Racine, 2004. "Predictor relevance and extramarital affairs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(4), pages 533-535.
  146. R. CHEN & Wolfgang HÄRDLE & O. B. LINTON & E. SEVERANCE-LOSSIN, 1995. "Nonparametric Estimation of Additive Seperable Regression Models," SFB 373 Discussion Papers 1995,50, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  147. Bachmeier, Lance & Leelahanon, Sittisak & Li, Qi, 2007. "Money Growth And Inflation In The United States," Macroeconomic Dynamics, Cambridge University Press, vol. 11(01), pages 113-127, February.
  148. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-1382, November.
  149. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  150. Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
  151. Lee, Lung-Fei, 1983. "Generalized Econometric Models with Selectivity," Econometrica, Econometric Society, vol. 51(2), pages 507-512, March.
  152. HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  153. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
  154. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 129-137.
  155. Klein, R.W. & Spady, R.H., 1991. "An Efficient Semiparametric Estimator for Binary Response Models," Papers 70, Bell Communications - Economic Research Group.
  156. Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
  157. Hall, Peter, 1987. "On the use of compactly supported density estimates in problems of discrimination," Journal of Multivariate Analysis, Elsevier, vol. 23(1), pages 131-158, October.
  158. Songnian Chen & Gordon B. Dahl & Shakeeb Khan, 2005. "Nonparametric Identification and Estimation of a Censored Location-Scale Regression Model," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 212-221, March.
  159. Hsiao, Cheng & Li, Qi & Racine, Jeffrey S., 2007. "A consistent model specification test with mixed discrete and continuous data," Journal of Econometrics, Elsevier, vol. 140(2), pages 802-826, October.
  160. Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
  161. Horowitz, Joel L & Spokoiny, Vladimir G, 2001. "An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model against a Nonparametric Alternative," Econometrica, Econometric Society, vol. 69(3), pages 599-631, May.
  162. Ariel Pakes & Steven Olley, 1994. "A Limit Theorem for a Smooth Class of Semiparametric Estimators," Cowles Foundation Discussion Papers 1066, Cowles Foundation for Research in Economics, Yale University.
  163. Dan A. Black & Jeffrey A. Smith & Mark C. Berger & Brett J. Noel, 2003. "Is the Threat of Reemployment Services More Effective Than the Services Themselves? Evidence from Random Assignment in the UI System," American Economic Review, American Economic Association, vol. 93(4), pages 1313-1327, September.
  164. repec:eme:jespps:v:31:y:2004:i:6:p:509-523 is not listed on IDEAS
  165. Sun, Yun & Li, Qi, 2006. "An alternative series based consistent model specification test," Economics Letters, Elsevier, vol. 93(1), pages 37-44, October.
  166. L. Yang & R. Tschernig, 1999. "Multivariate bandwidth selection for local linear regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 793-815.
  167. C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, 09.
  168. Heckman, James J, 1974. "Shadow Prices, Market Wages, and Labor Supply," Econometrica, Econometric Society, vol. 42(4), pages 679-694, July.
  169. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
  170. Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
  171. Stephen G. Donald, 1997. "Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship," Econometrica, Econometric Society, vol. 65(1), pages 103-132, January.
  172. Stanton, Richard, 1997. " A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1973-2002, December.
  173. Dingding Li & Thanasis Stengos, 2003. "Testing Serial Correlation in Semiparametric Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 311-335, 05.
  174. Peter Hall & Joel Horowitz, 2003. "Nonparametric methods for inference in the presence of instrumental variables," CeMMAP working papers CWP02/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  175. Zheng, John Xu, 2000. "A Consistent Test Of Conditional Parametric Distributions," Econometric Theory, Cambridge University Press, vol. 16(05), pages 667-691, October.
  176. Serge Darolles & Jean-Pierre Florens & Yanqin Fan & Eric Renault, 2011. "Nonparametric Instrumental Regression," Post-Print halshs-00677716, HAL.
  177. Ahmad, Ibrahim A. & Li, Qi, 1997. "Testing independence by nonparametric kernel method," Statistics & Probability Letters, Elsevier, vol. 34(2), pages 201-210, June.
  178. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, vol. 71(5), pages 1565-1578, 09.
  179. Lechner, Michael, 1999. "Earnings and Employment Effects of Continuous Off-the-Job Training in East Germany after Unification," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 74-90, January.
  180. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
  181. Rilstone, Paul, 1993. "Calculating the (local) semiparametric efficiency bounds for the generated regressors problem," Journal of Econometrics, Elsevier, vol. 56(3), pages 357-370, April.
  182. Bo E. Honoré & Ekaterini Kyriazidou, 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 68(4), pages 839-874, July.
  183. Anglin, Paul M & Gencay, Ramazan, 1996. "Semiparametric Estimation of a Hedonic Price Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 633-648, Nov.-Dec..
  184. Rosa L. Matzkin, 1999. "Nonparametric Estimation of Nonadditive Random Functions," Working Papers 38, Universidad de San Andres, Departamento de Economia, revised Sep 2001.
  185. Fan, Yanqin & Li, Qi, 2000. "Consistent Model Specification Tests," Econometric Theory, Cambridge University Press, vol. 16(06), pages 1016-1041, December.
  186. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-152, Summer.
  187. Yongmiao Hong & Tae-Hwy Lee, 2003. "Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1048-1062, November.
  188. Jeremy Berkowitz & Ionel Biegean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.).
  189. Newey, W.K., 1992. "Kernel Estimation of Partial Means and a General Variance Estimator," Working papers 93-3, Massachusetts Institute of Technology (MIT), Department of Economics.
  190. Lavergne, Pascal, 1998. "An equality test across nonparametric regressions," SFB 373 Discussion Papers 1998,79, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  191. Newey, Whitney K. & Powell, James L., 1990. "Efficient Estimation of Linear and Type I Censored Regression Models Under Conditional Quantile Restrictions," Econometric Theory, Cambridge University Press, vol. 6(03), pages 295-317, September.
  192. Li, Qi, 1996. "On the root-N-consistent semiparametric estimation of partially linear models," Economics Letters, Elsevier, vol. 51(3), pages 277-285, June.
  193. Fair, Ray C, 1978. "A Theory of Extramarital Affairs," Journal of Political Economy, University of Chicago Press, vol. 86(1), pages 45-61, February.
  194. Maasoumi, Esfandiar & Racine, Jeff, 2002. "Entropy and predictability of stock market returns," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 291-312, March.
  195. Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
  196. Coppejans, Mark & Gallant, A. Ronald, 2002. "Cross-validated SNP density estimates," Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September.
  197. Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291.
  198. Maskin, Eric S & Riley, John G, 1984. "Optimal Auctions with Risk Averse Buyers," Econometrica, Econometric Society, vol. 52(6), pages 1473-1518, November.
  199. Abadir, Karim M. & Lawford, Steve, 2004. "Optimal asymmetric kernels," Economics Letters, Elsevier, vol. 83(1), pages 61-68, April.
  200. Raymond J. Carroll & Peter Hall, 2004. "Low order approximations in deconvolution and regression with errors in variables," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 31-46.
  201. Guido W. Imbens & Charles F. Manski, 2004. "Confidence Intervals for Partially Identified Parameters," Econometrica, Econometric Society, vol. 72(6), pages 1845-1857, November.
  202. Whitney K. Newey & James L. Powell & Francis Vella, 1998. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Working papers 98-6, Massachusetts Institute of Technology (MIT), Department of Economics.
  203. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  204. Lavergne, P. & Vuong, Q., 1992. "Nonparametric Selection of Regressors : the Nonnested Case," Papers 9204, Southern California - Department of Economics.
  205. Arabmazar, Abbas & Schmidt, Peter, 1981. "Further evidence on the robustness of the Tobit estimator to heteroskedasticity," Journal of Econometrics, Elsevier, vol. 17(2), pages 253-258, November.
  206. Jan Roelf Bult & Tom Wansbeek, 1995. "Optimal Selection for Direct Mail," Marketing Science, INFORMS, vol. 14(4), pages 378-394.
  207. Wooldridge, Jeffrey M., 1992. "A Test for Functional Form Against Nonparametric Alternatives," Econometric Theory, Cambridge University Press, vol. 8(04), pages 452-475, December.
  208. Andrews, Donald W.K. & Whang, Yoon-Jae, 1990. "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality," Econometric Theory, Cambridge University Press, vol. 6(04), pages 466-479, December.
  209. James J. Heckman & Edward Vytlacil, 2005. "Structural Equations, Treatment Effects, and Econometric Policy Evaluation," Econometrica, Econometric Society, vol. 73(3), pages 669-738, 05.
  210. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  211. Quah, Danny T., 1996. "Empirics for economic growth and convergence," European Economic Review, Elsevier, vol. 40(6), pages 1353-1375, June.
  212. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
  213. Haerdle,Wolfgang & Stoker,Thomas, 1987. "Investigations smooth multiple regression by the method of average derivatives," Discussion Paper Serie A 107, University of Bonn, Germany.
  214. Sperlich, Stefan & Tj stheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 197-251, April.
  215. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.
  216. Thanasis Stengos & Yiguo Sun, 2001. "A Consistent Model Specification Test For A Regression Function Based On Nonparametric Wavelet Estimation," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 41-60.
  217. Bo E. Honoré & Elie Tamer, 2006. "Bounds on Parameters in Panel Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 74(3), pages 611-629, 05.
  218. Whang, Yoon-Jae, 2000. "Consistent bootstrap tests of parametric regression functions," Journal of Econometrics, Elsevier, vol. 98(1), pages 27-46, September.
  219. Yanqin Fan & Qi Li, 2002. "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 337-352.
  220. Donald W. K. Andrews & Marcia M. A. Schafgans, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 497-517.
  221. Hall, Peter & Horowitz, Joel L., 1990. "Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 6(02), pages 123-150, June.
  222. Jensen, Helen H. & Yen, Steven, 1996. "U.S. Food Expenditures Away from Home by Type of Meal," Staff General Research Papers Archive 922, Iowa State University, Department of Economics.
  223. Pinkse, Joris, 1998. "A consistent nonparametric test for serial independence," Journal of Econometrics, Elsevier, vol. 84(2), pages 205-231, June.
  224. Ahn, Hyungtaik & Powell, James L., 1993. "Semiparametric estimation of censored selection models with a nonparametric selection mechanism," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 3-29, July.
  225. Newey, W.K., 1989. "Efficient Instrumental Variables Estimation Of Nonlinear Models," Papers 341, Princeton, Department of Economics - Econometric Research Program.
  226. Honore, Bo E. & Powell, James L., 1994. "Pairwise difference estimators of censored and truncated regression models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 241-278.
  227. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  228. Chen, Xiaoheng & Conley, Timothy G., 2001. "A new semiparametric spatial model for panel time series," Journal of Econometrics, Elsevier, vol. 105(1), pages 59-83, November.
  229. Charles F. Manski & Elie Tamer, 2002. "Inference on Regressions with Interval Data on a Regressor or Outcome," Econometrica, Econometric Society, vol. 70(2), pages 519-546, March.
  230. Peter Hall & Qi Li & Jeffrey S. Racine, 2007. "Nonparametric Estimation of Regression Functions in the Presence of Irrelevant Regressors," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 784-789, November.
  231. Michael Gerfin, 1993. "Parametric and Semiparametric Estimation of the Binary Response Model of Labor Market Participation," Diskussionsschriften dp9315, Universitaet Bern, Departement Volkswirtschaft.
  232. P. M. Robinson, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Oxford University Press, vol. 56(4), pages 511-534.
  233. Schick, Anton, 1996. "Root-n-consistent and efficient estimation in semiparametric additive regression models," Statistics & Probability Letters, Elsevier, vol. 30(1), pages 45-51, September.
  234. Han, Aaron K., 1987. "A non-parametric analysis of transformations," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 191-209, July.
  235. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
  236. Stute, W., 1993. "Consistent Estimation Under Random Censorship When Covariables Are Present," Journal of Multivariate Analysis, Elsevier, vol. 45(1), pages 89-103, April.
  237. Newey, Whitney K, 1990. "Semiparametric Efficiency Bounds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 99-135, April-Jun.
  238. Liang Peng & Qiwei Yao, 2004. "Nonparametric regression under dependent errors with infinite variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(1), pages 73-86, March.
  239. O. B. LINTON & Wolfgang HÄRDLE, 1995. "Estimation of Additive Regression Models with Links," SFB 373 Discussion Papers 1995,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  240. Severini, Thomas A. & Tripathi, Gautam, 2001. "A simplified approach to computing efficiency bounds in semiparametric models," Journal of Econometrics, Elsevier, vol. 102(1), pages 23-66, May.
  241. King, Eileen & Hart, Jeffrey D. & Wehrly, Thomas E., 1991. "Testing the equality of two regression curves using linear smoothers," Statistics & Probability Letters, Elsevier, vol. 12(3), pages 239-247, September.
  242. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  243. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, vol. 59(2), pages 307-345, March.
  244. Powell, James L, 1986. "Symmetrically Trimmed Least Squares Estimation for Tobit Models," Econometrica, Econometric Society, vol. 54(6), pages 1435-1460, November.
  245. Li, Q. & Wang, Suojin, 1998. "A simple consistent bootstrap test for a parametric regression function," Journal of Econometrics, Elsevier, vol. 87(1), pages 145-165, August.
  246. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
  247. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
  248. Cosslett, Stephen R, 1983. "Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model," Econometrica, Econometric Society, vol. 51(3), pages 765-782, May.
  249. Yu, Keming & Jones, M. C., 1997. "A comparison of local constant and local linear regression quantile estimators," Computational Statistics & Data Analysis, Elsevier, vol. 25(2), pages 159-166, July.
  250. Linton, Oliver B., 2000. "Efficient Estimation Of Generalized Additive Nonparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 16(04), pages 502-523, August.
  251. Huang, Jianhua Z., 1998. "Functional ANOVA Models for Generalized Regression," Journal of Multivariate Analysis, Elsevier, vol. 67(1), pages 49-71, October.
  252. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-390, March.
  253. J. FAN & Wolfgang HÄRDLE & Enno MAMMEN, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  254. Liu, Zhenjuan & Stengos, Thanasis, 1999. "Non-linearities in Cross-Country Growth Regressions: A Semiparametric Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 527-538, Sept.-Oct.
  255. Manski, Charles F. & Thompson, T. Scott, 1986. "Operational characteristics of maximum score estimation," Journal of Econometrics, Elsevier, vol. 32(1), pages 85-108, June.
  256. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-484, November.
  257. Chen, Xiaohong & White, Halbert, 1998. "Central Limit And Functional Central Limit Theorems For Hilbert-Valued Dependent Heterogeneous Arrays With Applications," Econometric Theory, Cambridge University Press, vol. 14(02), pages 260-284, April.
  258. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
  259. Ekaterini Kyriazidou, 1997. "Estimation of a Panel Data Sample Selection Model," Econometrica, Econometric Society, vol. 65(6), pages 1335-1364, November.
  260. Sun, Yiguo, 2006. "A Consistent Nonparametric Equality Test Of Conditional Quantile Functions," Econometric Theory, Cambridge University Press, vol. 22(04), pages 614-632, August.
  261. John G. Riley & William Samuelson, 1979. "Optimal Auctions," UCLA Economics Working Papers 152, UCLA Department of Economics.
  262. Joel Horowitz & Enno Mammen, 2002. "Nonparametric estimation of an additive model with a link function," CeMMAP working papers CWP19/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  263. Jiang, George J. & Knight, John L., 1997. "A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model," Econometric Theory, Cambridge University Press, vol. 13(05), pages 615-645, October.
  264. Naisyin Wang & Raymond J. Carroll & Xihong Lin, 2005. "Efficient Semiparametric Marginal Estimation for Longitudinal/Clustered Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 147-157, March.
  265. Ouyang, Desheng & Li, Qi & Racine, Jeffrey S., 2009. "Nonparametric Estimation Of Regression Functions With Discrete Regressors," Econometric Theory, Cambridge University Press, vol. 25(01), pages 1-42, February.
  266. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
  267. Christofides, Louis N, et al, 2003. "Recent Two-Stage Sample Selection Procedures with an Application to the Gender Wage Gap," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 396-405, July.
  268. Delgado, Miguel A. & Hidalgo, Javier, 2000. "Nonparametric inference on structural breaks," Journal of Econometrics, Elsevier, vol. 96(1), pages 113-144, May.
  269. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
  270. Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
  271. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics.
  272. L. Yang, 1996. "Root-n Convergent Transformation-Kernel Density Estimation," SFB 373 Discussion Papers 1996,94, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  273. Li, Qi & Racine, Jeff, 2003. "Nonparametric estimation of distributions with categorical and continuous data," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 266-292, August.
  274. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
  275. Baltagi, Badi H. & Hidalgo, Javier & Li, Qi, 1996. "A nonparametric test for poolability using panel data," Journal of Econometrics, Elsevier, vol. 75(2), pages 345-367, December.
  276. Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
  277. Oliver LINTON, "undated". "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  278. Brendstrup, Bjarne & Paarsch, Harry J., 2007. "Semiparametric identification and estimation in multi-object, English auctions," Journal of Econometrics, Elsevier, vol. 141(1), pages 84-108, November.
  279. Hong H. & Chernozhukov V., 2002. "Three-Step Censored Quantile Regression and Extramarital Affairs," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 872-882, September.
  280. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
  281. Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
  282. Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
  283. Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
  284. Naisyin Wang, 2003. "Marginal nonparametric kernel regression accounting for within-subject correlation," Biometrika, Biometrika Trust, vol. 90(1), pages 43-52, March.
  285. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
  286. Toshio Honda, 2000. "Nonparametric Estimation of a Conditional Quantile for α-Mixing Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 459-470, September.
  287. Baltagi, Badi H. & Li, Qi, 2002. "On instrumental variable estimation of semiparametric dynamic panel data models," Economics Letters, Elsevier, vol. 76(1), pages 1-9, June.
  288. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-137, January.
  289. Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(02), pages 316-356, June.
  290. Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(01), pages 169-192, February.
  291. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-362, March.
  292. Donald, S. G. & Newey, W. K., 1994. "Series Estimation of Semilinear Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 30-40, July.
  293. Nicholas M. Kiefer & Timothy J. Vogelsang, 2002. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation," Econometrica, Econometric Society, vol. 70(5), pages 2093-2095, September.
  294. Stephen R. Cosslett, 2004. "Efficient Semiparametric Estimation of Censored and Truncated Regressions via a Smoothed Self-Consistency Equation," Econometrica, Econometric Society, vol. 72(4), pages 1277-1293, 07.
  295. J. L. HOROWITZ & Wolfgang HÄRDLE, 1994. "Direct Semiparametric Estimation of Single - Index Models with Discrete Covariates," SFB 373 Discussion Papers 1994,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  296. Li, Qi & Zhou, Jianxin, 2005. "The Uniqueness Of Cross-Validation Selected Smoothing Parameters In Kernel Estimation Of Nonparametric Models," Econometric Theory, Cambridge University Press, vol. 21(05), pages 1017-1025, October.
  297. Joel L. Horowitz, 2006. "Testing a Parametric Model Against a Nonparametric Alternative with Identification Through Instrumental Variables," Econometrica, Econometric Society, vol. 74(2), pages 521-538, 03.
  298. Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November.
  299. Li, Tong & Perrigne, Isabelle & Vuong, Quang, 2000. "Conditionally independent private information in OCS wildcat auctions," Journal of Econometrics, Elsevier, vol. 98(1), pages 129-161, September.
  300. Luojia Hu, 2002. "Estimation of a Censored Dynamic Panel Data Model," Econometrica, Econometric Society, vol. 70(6), pages 2499-2517, November.
  301. Harry J. Paarsch & Han Hong, 2006. "An Introduction to the Structural Econometrics of Auction Data," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262162350, September.
  302. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
  303. Wansbeek, Tom & Kapteyn, Arie, 1982. "A Class of Decompositions of the Variance-Covariance Matrix of a Generalized Error Components Model," Econometrica, Econometric Society, vol. 50(3), pages 713-724, May.
  304. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, vol. 75(6), pages 1613-1669, November.
  305. Li, Qi, et al, 2002. "Semiparametric Smooth Coefficient Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 412-422, July.
  306. Lance Bachmeier, 2002. "Is the term structure nonlinear? A semiparametric investigation," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 151-153.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:pup:pbooks:8355. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Webmaster)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.