Semiparametric Regression for the Applied Econometrician

ISBN-13: 9780521812832 / Angielski / Twarda / 2003 / 234 str.

Adonis Yatchew; Peter C. B. Phillips; Christian Gourieroux

Opis

Adonis Yatchew provides simple and flexible (nonparametric) techniques for analyzing regression data. He includes a series of empirical examples with the estimation of Engel curves and equivalence scales, scale economies, household gasoline consumption, housing prices, option prices and state price density estimation. The book is of interest to a broad range of economists including those working in industrial organization, labor, development, and urban, energy and financial economics.

Recenzje

"A concise self-contained treatment of nonparametric and seminonparametric regression models and their applications in econometrics. It is written in an accessible style and provides key intuition for nonparametric and seminonparametric regression methods in a cross-sectional, essentially independently distributed, setting. Well-explained theoretical ideas are illustrated by many real-data examples and exercises, mainly from the field of applied microeconometrics."
Fabio Trojani, University of St. Gallen, Journal of the American Statistician

Spis treści

List of figures and tables; Preface; 1. Introduction to differencing; 2. Background and overview; 3. Introduction to smoothing; 4. Higher-order differencing procedures; 5. Nonparametric functions of several variables; 6. Constrained estimation and hypothesis testing; 7. Index models and other semiparametric specifications; 8. Bootstrap procedures; Appendixes; References; Index.