Semiparametric Regression for the Applied Econometrician

Adonis Yatchew - Collection Themes in modern econometrics

213 pages, parution le 29/12/2003

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Résumé

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.

Introduction to differencing
Background and overview
Introduction to smoothing
Higher-order procedures
Nonparametric functions of several variables
Constrained estimation and hypothesis testing
Index models and other semiparametric specifications
Bootstrap procedures
Appendixes

Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Adonis Yatchew
Collection	Themes in modern econometrics
Parution	29/12/2003
Nb. de pages	213
Format	15 x 22,5
Couverture	Broché
Poids	320g
Intérieur	Noir et Blanc
EAN13	9780521012263
ISBN13	978-0-521-01226-3