Econometric Modelling with Time Series

Specification, Estimation and Testing

PART THREE: Other Estimation Methods

Chapter 11: Nonparametric Estimation

(1) Parametric Approximations

npd_parametric.g
npd_parametric.m
npd_parametric.R

(2) Numerical Illustration of the Kernel Density Estimator

npd_kernel.g
npd_kernel.m
npd_kernel.R

(3) Normal Distribution

npd_normal.g
npd_normal.m
npd_normal.R

(4) Sampling Properties of Kernel Density Estimators

npd_property.g
npd_property.m
npd_property.R

(5) Distribution of Equity Returns

npd_ftse.g npd_ftse.m npd_ftse.R npd_sp500.g npd_sp500.m npd_sp500.R

ftse.xls ftse.dat ftse.mat sp500.dat sp500.mat

(6) Sampling Distribution of the t statistic

npd_cauchy.g
npd_cauchy.m
npd_cauchy.R

(7) Multivariate Kernel Density Estimation

npd_bivariate.g
npd_bivariate.m
npd_bivariate.R

(8) Semi-parametric Density Estimation

npd_semilin.g
npd_semilin.m
npd_semilin.R
npd_seminonlin.g
npd_seminonlin.m
npd_seminonlin.R

(9) Parametric Conditional Mean Estimator

npr_parametric.g
npr_parametric.m
npr_parametric.R

(10) Nadaraya-Watson Conditional Mean Estimator

npr_nadwatson.g
npr_nadwatson.m
npr_nadwatson.R

(11) Properties of the Nadaraya-Watson Estimator

npr_property.g
npr_property.m
npr_property.R

(12) Cross Validation Bandwidth Selection

npr_crossvalid.g
npr_crossvalid.m
npr_crossvalid.R

(13) Bivariate Nonparametric Regression

npr_bivariate.g
npr_bivariate.m
npr_bivariate.R

(14) Estimating the Elasticity of a Production Function

npr_production.g
npr_production.m
npr_production.R

(15) Estimating Drift and Diffusion Functions

npr_chapman.g
npr_chapman.m
npr_chapman.R