Nonparametric Econometric Methods and Applications

Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing

This paper gives a selective review on the recent developments of nonparametric and semiparametric panel data models. We focus on the conventional panel data models with one-way error component structure, partially linear panel data models, varying coe¢ cient panel data models, nonparametric panel data models with multi-factor error structure, and nonseparable nonparametric panel data models. F...

Sequential Methods and Their Applications

Nonparametric Estimation and Hypothesis Testing in Econometric Models

In this paper we systematically review and develop nonparametric estimation and testing techniques in the context of econometric models. The results are discussed under the settings of regression model and kernel estimation, although as indicated in the paper these results can go through for other econometric models and for the nearest neighbor estimation. A nontechnical survey of the asymptoti...

Economics 551 - B : ECONOMETRIC METHODS

The first issue is whether one ought to use of Bayesian or Classical methods of inference. I will briefly cover Bayesian methods which have been revitalized given recent developments in monte carlo simulation and numerical integration. Nevertheless, Bayesian methods are still computationally burdensome and heavily linked to particular parametric functional forms, limiting their applicability to...

Econometric methods of signal extraction

The econometric methods of signal extraction that are based on linear filters have attained a high level of sophistication. They have now coalesced into two distinct categories. In the first category are the methods that are favoured by the central statistical agencies of many of the OECD counties. These were developed in the North American agencies, notably in Statistics Canada (Dagum 1980) an...