Nonparametric Econometrics: A Primer

Author(s): Jeffrey S. Racine

Source:
    Journal:Foundations and Trends® in Econometrics
    ISSN Print:1551-3076,  ISSN Online:1551-3084
    Publisher:Now Publishers
    Volume 3 Number 1,

Document Type: Article
Pages: 88 (1-88)
DOI: 10.1561/0800000009

Abstract: This review is a primer for those who wish to familiarize themselves with nonparametric econometrics. Though the underlying theory for many of these methods can be daunting for some practitioners, this article will demonstrate how a range of nonparametric methods can in fact be deployed in a fairly straightforward manner. Rather than aiming for encyclopedic coverage of the field, we shall restrict attention to a set of touchstone topics while making liberal use of examples for illustrative purposes. We will emphasize settings in which the user may wish to model a dataset comprised of continuous, discrete, or categorical data (nominal or ordinal), or any combination thereof. We shall also consider recent developments in which some of the variables involved may in fact be irrelevant, which alters the behavior of the estimators and optimal bandwidths in a manner that deviates substantially from conventional approaches.

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