Semiparametric Regression for the Applied Econometrician

This book provides simple and flexible (nonparametric) techniques for analyzing regression data.

Adonis Yatchew (Author)

9780521812832, Cambridge University Press

Hardback, published 2 June 2003

234 pages, 30 b/w illus. 22 tables
22.9 x 15.2 x 1.7 cm, 0.438 kg

"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

This book provides an accessible collection of techniques for analyzing nonparametric and semiparametric regression models. Worked examples include estimation of Engel curves and equivalence scales, scale economies, semiparametric Cobb-Douglas, translog and CES cost functions, household gasoline consumption, hedonic housing prices, option prices and state price density estimation. The book should be of interest to a broad range of economists including those working in industrial organization, labor, development, urban, energy and financial economics. A variety of testing procedures are covered including simple goodness of fit tests and residual regression tests. These procedures can be used to test hypotheses such as parametric and semiparametric specifications, significance, monotonicity and additive separability. Other topics include endogeneity of parametric and nonparametric effects, as well as heteroskedasticity and autocorrelation in the residuals. Bootstrap procedures are provided.

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.

Subject Areas: Econometrics [KCH]