Nonparametric and Semiparametric Methods in Econometrics and Statistics: Proceedings of the Fifth International Symposium in Economic Theory and ... Symposia in Economic Theory and Econometrics)
Cambridge University Press, 9/26/1991
EAN 9780521370905, ISBN10: 0521370906
Hardcover, 508 pages, 22.9 x 15.2 x 2.9 cm
Language: English
This collection of papers delivered at the Fifth International Symposium in Economic Theory and Econometrics in 1988 is devoted to the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data. Particularly in highly non-linear models, empirical results are very sensitive to the choice of the parametric form of the distribution of the observable variables, and often nonparametric and semiparametric models are a preferable alternative. Methods and applications that do not require string parametric assumptions for their validity, that are based on kernels and on series expansions, and methods for independent and dependent observations are investigated and developed in these essays by renowned econometricians.
Editors' preface
Part I. Methods and Applications Based on Kernels
1. Semiparametric last squares estimation of multiple index models
single equation estimation Hidehiko Ichimura and Lung-Fei Lee
2. Nonparametric estimation and the risk premium A. R. Pagan and Y. S. Hong
3. Nonparametric policy analysis
an application to estimating hazardous waste cleanup benefits James H. Stock
4. Equivalence of direct, indirect, and slope estimators of average derivatives Thomas M. Stoker
5. Equivalence of direct, indirect, and slope estimators of average derivatives
a comment T. Scott Thompson
Part II. Methods and Applications Based on Series Expansions
6. Seminonparametric Bayesian estimation of the asymptotically ideal model
the AIM consumer demand system William A. Barrett, John Geweke, and Piyu Yue
7. Semiparametric estimation of a regression model with sampling selectivity Stephen R. Cosslett
8. On fitting a recalcitrant series
the pound/dollar exchange rate, 1974–84 A. Ronald Gallant, David A. Hsieh and George E. Taucher
Part III. Methods for Independent Observations
9. A nonparametric method-of-moments estimator for the mixture-of-exponentials model and the mixture-of-geometrics model James J. Heckman
10. Nonparametric estimation of expectations in the analysis of discrete under uncertainty Charles F. Manski
11. A nonparametric maximum rank correlation estimator Rosa L. Matzkin
12. Efficient estimation of Tobit models under conditional symmetry Whitney K. Newey
13. Bracketing methods in statistics and econometrics David Pollard
14. Estimation of monotonic regression models under quantile restrictions James L. Powell
Part IV. Models for Dependent Observations
15. Computing semiparametric efficiency bounds for linear time series models Lars Peter Hansen and Kenneth J. Singleton
16. Spectral regression for cointegrated time series P. C. B. Phillips
17. Nonparametric function estimation for long memory time series Peter M. Robinson
18. Some results on sieve estimation with dependent observations Halbert White and Jeffrey M. Wooldridge.
"Nonparametric and Semiparametric Methods in Econometrics and Statistics gives a fairly thorough picture of recent advances in nonparametric and semiparametric analysis. It provides insight on recently solved problems in this area and also points towards some of the yet-unresolved issues." Journal of the American Statistical Association