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Nonparametric Econometrics

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Overview

This book systematically and thoroughly covers a vast literature on the non-parametric 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, for example, 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 the modern nonparametric approach.
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Editorial Reviews

From the Publisher
"This book contains nonparametric concepts for information recovery that will become an enduring element of every econometrician's tool kit." George Judge, University of California, Berkeley

"Pagan and Ullah have brought together a large set of research results in semi- and nonparametric estimation that greatly improves the accessibility of this important body of research to graduate students and professionals." Joel Horowitz, University of Iowa

"A valuable treatment of nonparametric and semiparametric methods in econometrics. This book will be a useful resource for years to come." Oliver Linton, Yale University

"This book covers an enormous amount of material in a succinct and user friendly fashion.... I strongly recommend it." Professor O.B. Linton, London School of Economics

"...thorough and elegant." Mathematics of Computing

"Pagan and Ullah's textbook, Nonparametric Econometrics, is not intended to be a 'cookbook' nor would it be confused with one. If, however, you are looking for the most comprehensive collection of nonparametirc and semiparametric methods dealing with those issues that are often encountered by applied economists, then this definitely is the book for you. This textbook deserves to be in the library of all economists who wish to keep abreast of less-than-fully parametric econometric techniques, and would serve readily as the cornerstone for a graduate course on the subject." JASA

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Product Details

  • ISBN-13: 9780521355643
  • Publisher: Cambridge University Press
  • Publication date: 6/28/1999
  • Series: Themes in Modern Econometrics Series
  • Pages: 444
  • Product dimensions: 5.98 (w) x 8.98 (h) x 1.14 (d)

Table of Contents

Preface
1 Introduction 1
2 Methods of Density Estimation 5
3 Conditional Moment Estimation 78
4 Nonparametric Estimation of Derivatives 160
5 Semiparametric Estimation of Single-Equation Models 196
6 Semiparametric and Nonparametric Estimation of Simultaneous Equation Models 254
7 Semiparametric Estimation of Discrete Choice Models 272
8 Semiparametric Estimation of Selectivity Models 300
9 Semiparametric Estimation of Censored Regression Models 317
10 Retrospect and Prospect 339
A Statistical Methods 342
References 383
Index 419
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