Semiparametric and Nonparametric Econometrics

Over the last three decades much research in empirical and theoretical economics has been carried on under various assumptions. For example a parametric functional form of the regression model, the heteroskedasticity, and the auorrelation is always as­ sumed, usually linear. Also, the errors are assumed to follow certain parametric distri­ butions, often normal. A disadvantage of parametric econometrics based on these assumptions is that it may not be robust to the slight data inconsistency...