This course will provide a practical introduction to nonparametric and semiparametric estimation techniques.
Helpful textbook coverage can be found in:
- Applied nonparametric regression, Wolfgang Hardle,Cambridge : Cambridge University Press, 1990
- Density estimation for statistics and data analysis, B.W. Silverman, London : Chapman and Hall, 1986.
- Semiparametric regression for the applied econometrician, Adonis Yatchew, Cambridge: Cambridge University Press, 2003.
- Nonparametric curve estimation : methods, theory and applications, Sam Efromovich,
New York : Springer, 1999.
A short problem set for the class is here.
Lecture 1
Aims: Introduction to Nonparametric Regression (with simple Stata commands)
A do-file for the class can be found here.
Slides are here.
Lecture 2
Aims: More technical details on Kernel methods and Semiparametric Methods.
Slides are here.
Lecture 3
Aims: Application to Regression Discontinuity Design.
Slides are here.
D. Lee and T. Lemieux (2010), ‘Regression Discontinuity Designs in Economics’, Journal of Economic Literature
G. Imbens and T. Lemieux (2008), ‘Regression Discontinuity Designs: A Guide to Practise’, Journal of Econometrics
Extra Lectures on Structural Estimation
Introduction to Different Approaches
- J. Heckman & E. Vytlacil, ‘Econometric evaluation of social programs, Part I‘, in Handbook of Econometrics, Volume 6B, 2007 ( Sections 1-4)
- M. Keane, ‘Structural vs Atheoretic Approaches to Econometrics‘, Journal of Econometrics, 2010
- G. Imbens, ‘Better LATE than Nothing‘, Journal of Economic Literature, 2010
- A. Lewbel, ‘The Identification Zoo – Meanings of Identification in Econometrics‘, Journal of Economic Literature, forthcoming
Overview of Key Structural Methods
- A. Adams, D. Clarke and S. Quinn, ‘Microeconometrics and MATLAB: An Introduction’, Chapters 3 and 4
- L. Lockwood, ‘Incidental Bequests‘, 2017
Density Estimation