The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics

Jeffrey Racine, Liangjun Su, and Aman Ullah

Oxford Handbooks

The most up-to-date volume on the latest developments in the fields of nonparametric and semiparametric econometrics and statistics

The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics

Jeffrey Racine, Liangjun Su, and Aman Ullah

Description

This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. These data-driven models seek to replace the "classical " parametric models of the past, which were rigid and often linear. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures. They provide a balanced view of new developments in the analysis and modeling of applied sciences with cross-section, time series, panel, and spatial data sets. The major topics of the volume include: the methodology of semiparametric models and special regressor methods; inverse, ill-posed, and well-posed problems; different methodologies related to additive models; sieve regression estimators, nonparametric and semiparametric regression models, and the true error of competing approximate models; support vector machines and their modeling of default probability; series estimation of stochastic processes and some of their applications in Econometrics; identification, estimation, and specification problems in a class of semilinear time series models; nonparametric and semiparametric techniques applied to nonstationary or near nonstationary variables; the estimation of a set of regression equations; and a new approach to the analysis of nonparametric models with exogenous treatment assignment.

The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics

Jeffrey Racine, Liangjun Su, and Aman Ullah

Oxford Handbooks

Contents
List of Contributors
Preface
PART 1: METHODOLOGY
1. The Hilbert Space Theoretical Foundation of Semi-Nonparametric Modeling
Herman J. Bierens
2. An Overview of the Special Regressor Method
Arthur Lewbel
PART 2: INVERSE PROBLEMS
3. Asymptotic Normal Inference in Linear Inverse Problems
Marine Carrasco, Jean-Pierre Florens, and Eric Renault
4. Identification and Well-Posedness in Nonparametric Models with Independence Conditions
Victoria Zinde-Walsh
PART 3: ADDITIVE MODELS
5. Nonparametric Additive Models
Joel L. Horowitz
6. Oracally Efficient Two-Step Estimation for Additive Regression
Shujie Ma and Lijian Yang
7. Additive Models: Extensions and Related Models
Enno Mammen, Byeong U. Park, and Melanie Schienle
PART 4: MODEL SELECTION AND AVERAGING
8. Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation
Bruce E. Hansen
9. Variable Selection in Nonparametric and Semiparametric Regression Models
Liangjun Su and Yonghui Zhang
10. Data-Driven Model Evaluation: A Test for Revealed Performance
Jeffrey S. Racine and Christopher F. Parmeter
11. Support Vector Machines with Evolutionary Model Selection for Default Prediction
Wolfgang Karl Härdle, Dedy Dwi Prastyo, and Christian Hafner
PART 5: TIME SERIES
12. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
Peter C.B. Phillips and Zhipeng Liao
13. Identification, Estimation, and Specification in a Class of Semi-Linear Time Series Models
Jiti Gao
14. Nonparametric and Semiparametric Estimation and Hypothesis Testing with Nonstationary Time Series
Yiguo Sun and Qi Li
PART 6: CROSS SECTION
15. Nonparametric and Semiparametric Estimation of a Set of Regression Equations
Aman Ullah and Yun Wang
16. Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment
Daniel J. Henderson and Esfandiar Maasoumi

The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics

Jeffrey Racine, Liangjun Su, and Aman Ullah

Oxford Handbooks

Author Information

Jeffrey Racine, Professor, Department of Economics, Department of Mathematics and Statistics, Senator William McMaster Chair in Econometrics, McMaster University, Liangjun Su, Associate Professor, School of Economics, Singapore Management University, and Guanghua School of Management, Peking University, and Aman Ullah, Distinguished Professor, University of California, Riverside

Jeffrey Racine is Professor in the Department of Economics and the Department of Mathematics and Statistics as well as Senator William McMaster Chair in Econometrics at McMaster University. Liangjun Su is Associate Professor in the School of Economics at Singapore Management University and in the Guanghua School of Management at Peking University. Aman Ullah is Distinguished Professor in the Department of Economics at University of California, Riverside.

Contributors:

Herman J. Bierens
Marine Carrasco
Jean-Pierre Florens
Jiti Gao
Christian Hafner
Bruce E. Hansen
Wolfgang Karl Hardle
Daniel J. Henderson
Joel L. Horowitz
Arthur Lewbel
Qi Li
Zhipeng Liao
Shujie Ma
Esfandiar Maasoumi
Enno Mammen
Byeong U. Park
Christopher F. Parmeter
Peter C. B. Phillips
Dedy Dwi Prastyo
Jeffrey S. Racine
Eric Renault
Melanie Schienle
Liangjun Su
Yiguo Sun
Aman Ullah
Yun Wang
Lijian Yang
Yonghui Zhang
Victoria Zinde-Walsh