This course allows those with a basic knowledge of econometrics to learn the main nonparametric and semiparametric techniques used in econometric modelling, and how to apply them correctly. It looks at kernel density estimation, kernel regression, splines, wavelets, and mixture models, and provides useful empirical examples throughout. Using empirical application, several economic topics are addressed, including income distribution, wage equation, economic convergence, the Phillips curve, interest rate dynamics, returns volatility, and housing prices.
Slides : chapter 1, chapter 2, chapter 3, chapter 4, chapter 5, chapter 6, supplement to chapter 1 pdf
Data and R code files: data.zip ; code.zip
The statistical software R is used for empirical application. R is a free software environment for statistical computing and graphics. It compiles and runs on a wide variety of UNIX platforms, Windows and MacOS (website : http://www.r-project.org ). For an introduction to R and its use in econometrics, see An Introduction to R and An R and S-plus Companion to Applied Regression .
Ahamada and Flachaire (2010), Non-Parametric Econometrics, Oxford University Press.
Ahamada and Flachaire (2008), Econométrie Non-Paramétrique, Economica (french version).
Books
Silverman (1986). Density Estimation for Statistics and Data Analysis. Chapman & Hall/CRC.
Pagan and Ullah (1999). Nonparametric Econometrics. Cambridge University Press.
Li and Racine (2006). Nonparametric Econometrics. Princeton University Press.
McLachlan and Peel (2000). Finite mixture Models. John Wiley & Sons, Inc.
Yatchew (2003). Semiparametric Regression for the Applied Econometrician. Cambridge University Press.
Fomby and Hill (2000). Applying Kernel and Nonparametric Estimation to Economic Topics. Advances in Econometrics, vol 14
Theoretical articles
Härdle and Linton (1994). Applied nonparametric methods, in Handbook of Econometrics
Blundell and Duncan (1998). Kernel regression in empirical microeconomics, J. of Human Resources
Yatchew (1998). Nonparametric regression techniques in economics, J. of Economic Literature
Empirical articles
Deaton (1989). Rice prices and income distribution in Thailand : a non-parametric analysis, Economic Journal
Pudney (1993). Income and wealth inequality and the life cycle : a non-parametric analysis for China, J. of Applied Econometrics,
Quah (1997). Empirics for growth and distribution : stratification, polarization, and convergence clubs, J. of Econ. Growth
Anglin and Gençay (1996). Semiparametric estimation of a hedonic price function, J. of Applied Econometrics
Flachaire and Nuñez (2007). Estimation of income distribution and detection of subpopulations, Comp. Stat. & Data Analysis
- Households income data in UK (1969-1999), before and after housing costs (*.bhc et *.ahc):
The second column is household income, divided by an equivalence scale. Keep positive observations only: > X=X[X>0]