Nonparametric Econometrics

Description

This book systematically and thoroughly covers a vast literature on the nonparametric and semiparametric statistics and econometrics that has evolved over the past five decades. Within this framework, this is the first book to discuss the principles of the nonparametric approach to the topics covered in a first year graduate course in econometrics, e.g., regression function, heteroskedasticity, simultaneous equations models, logit-probit and censored models. Professors Pagan and Ullah provide intuitive explanations of difficult concepts, heuristic developments of theory, and empirical examples emphasizing the usefulness of modern nonparametric approach. The book should provide a new perspective on teaching and research in applied subjects in general and econometrics and statistics in particular.

'The authors of this well-produced volume merit high praise for their endeavours. This will be the most comprehensive summary of nonparametric statistics that we are likely to see for a long time. I can recommend it as a guide to recent work in an important area of mathematical statistics.' Short Book Reviews