This is the official website to accompany the Cambridge University Press book, Applied Nonparametric Econometrics by Daniel J. Henderson and Christopher F. Parmeter
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The
majority of empirical research in economics ignores the potential
benefits of nonparametric methods, while the majority of advances in
nonparametric theory ignores the problems faced in applied econometrics.
This book helps bridge this gap between applied economists and
theoretical nonparametric econometricians. It discusses in depth, and in
terms that someone with one year of graduate econometrics can
understand, basic to advanced nonparametric methods. The analysis starts
with density estimation and motivates the procedures through methods
with which the reader should be well familiar. It then moves on to
kernel regression, estimation with discrete data, and advanced methods
such as estimation with panel data and instrumental variables models.
The book pays close attention to the issues that arise with programming,
computing speed and application. In each chapter, the methods discussed
are applied to actual data, paying attention to presentation of results
and potential pitfalls.