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Nonparametric Econometrics

Nonparametric Econometrics

Part of Themes in Modern Econometrics

  • Date Published: June 1999
  • availability: Available
  • format: Paperback
  • isbn: 9780521586115

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About the Authors
  • This book systematically and thoroughly covers a vast literature on the nonparametric and semiparametric statistics and econometrics that has evolved over the past five decades. Within this framework, this is the first book to discuss the principles of the nonparametric approach to the topics covered in a first year graduate course in econometrics, e.g., regression function, heteroskedasticity, simultaneous equations models, logit-probit and censored models. Professors Pagan and Ullah provide intuitive explanations of difficult concepts, heuristic developments of theory, and empirical examples emphasizing the usefulness of modern nonparametric approach. The book should provide a new perspective on teaching and research in applied subjects in general and econometrics and statistics in particular.

    • Most up-to-date and integrated coverage of subject available
    • Adrian Pagan is a world-class econometrician, well known for work in economic theory and public policy as well
    • Fills major gap in literature; will be a basic text for advanced first year graduate students in econometrics
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    Reviews & endorsements

    "This book contains nonparametric concepts for information recovery that will become an enduring element of every econometrician's tool kit." George Judge, University of California, Berkeley

    "Pagan and Ullah have brought together a large set of research results in semi- and nonparametric estimation that greatly improves the accessibility of this important body of research to graduate students and professionals." Joel Horowitz, University of Iowa

    "A valuable treatment of nonparametric and semiparametric methods in econometrics. This book will be a useful resource for years to come." Oliver Linton, Yale University

    "This book covers an enormous amount of material in a succinct and user friendly fashion.... I strongly recommend it." Professor O.B. Linton, London School of Economics

    "...thorough and elegant." Mathematics of Computing

    "Pagan and Ullah's textbook, Nonparametric Econometrics, is not intended to be a 'cookbook' nor would it be confused with one. If, however, you are looking for the most comprehensive collection of nonparametirc and semiparametric methods dealing with those issues that are often encountered by applied economists, then this definitely is the book for you. This textbook deserves to be in the library of all economists who wish to keep abreast of less-than-fully parametric econometric techniques, and would serve readily as the cornerstone for a graduate course on the subject." JASA

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    Product details

    • Date Published: June 1999
    • format: Paperback
    • isbn: 9780521586115
    • length: 444 pages
    • dimensions: 229 x 152 x 25 mm
    • weight: 0.65kg
    • contains: 17 b/w illus. 8 tables
    • availability: Available
  • Table of Contents

    1. Introduction
    2. Methods of density estimation
    3. Conditional moment estimation
    4. Nonparametric estimation of derivatives
    5. Semiparametric estimation of single equation models
    6. Semi and nonparametric estimation of simultaneous equation models
    7. Semiparametric estimation of discrete choice models
    8. Semiparametric estimation of selectivity models
    9. Semiparametric estimation of censored regression models
    10. Retrospect and prospect.

  • Authors

    Adrian Pagan, Australian National University, Canberra

    Aman Ullah, University of California, Riverside

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