Non-parametric econometrics:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2010
|
| Edition: | 1. publ. |
| Series: | Practical econometrics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 161 S. graph. Darst. |
| ISBN: | 9780199578009 0199578001 |
Staff View
MARC
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| 245 | 1 | 0 | |a Non-parametric econometrics |c Ibrahim Ahamada ; Emmanuel Flachaire |
| 250 | |a 1. publ. | ||
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Record in the Search Index
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|---|---|
| adam_text | Contents
List of Figures
xii
List of Tables
xiv
1.
Kernel Density Estimation
1
1.1.
Introduction
1
1.2.
Standard Density Estimation Methods
5
1.2.1.
Parametric Estimation
5
1.2.2.
Histograms
7
1.3.
Kernel Estimation
9
1.3.1.
The Naive Estimator
9
1.3.2.
The Kernel Estimator
11
1.4.
Bandwidth Selection
14
1.4.1.
Rule of Thumb
17
1.4.2.
Plug-in Method
18
1.4.3.
Cross-validation
18
1.5.
Adaptive Methods
19
1.5.1.
Nearest Neighbors
20
1.5.2.
Adaptive Kernel Estimation
22
1.6.
The Multivariate Case
25
1.6.1.
Multivariate Kernels*
27
1.6.2.
The Curse of Dimensionality
32
2.
Kernel Regression
34
2.1.
Introduction
34
2.2.
The Nadaraya-Watson Estimator
38
2.2.1.
From the Discrete to the Continuous Case
39
2.2.2.
Formal Derivation
41
2.3.
Local Polynomials
42
2.3.1.
Local Linear Estimators
42
2.3.2.
Local Quadratic Estimators
44
2.3.3.
Generalization and the Estimation of Derivatives
46
2.4.
Bandwidth Selection
47
2.4.1.
Rule of Thumb
48
2.4.2.
Cross-validation
48
Contents
2.5.
Confidence
Intervals and Statistical Tests
49
2.5.1.
Confidence Intervals
50
2.5.2.
Parametric vs Non-parametric Models
53
3.
Spline Regression
56
3.1.
Introduction
56
3.2.
Principles
60
3.2.1.
An Extension of the Linear Model
60
3.2.2.
Penalized Splines
62
3.3.
The Choice of the Spline Base
63
3.3.1.
Power Function Bases
64
3.3.2.
B-spline Bases
65
3.4.
The Choice of the Parameters
67
3.4.1.
The Number and Position of Knots
67
3.4.2.
The Smoothing Parameter
68
4.
Wavelet Regression
71
4.1.
Introduction
71
4.2.
Principles
75
4.2.1.
Multiresolution
77
4.2.2.
Estimation
78
4.3.
The Choice of Filter and Threshold*
80
4.3.1.
Hard and Soft Filters
80
4.3.2.
Universal and SURE Thresholds
81
4.4.
The Choice of the Wavelet Base*
83
4.4.1.
The
Haar
and Daubechies Bases
83
4.4.2.
The Discrete Wavelet Transform
86
5.
Semi-parametric Regression Models
90
5.1.
Introduction
90
5.2.
Partial Linear Models
94
5.2.1.
Double-residual Estimator
95
5.2.2.
Differencing Estimator
96
5.2.3.
The Significance of the Coefficients
97
5.3.
Additive Models
99
5.3.1.
Iterative Estimation
99
5.3.2.
The Separability Hypothesis
100
5.4.
Heteroskedasticity
102
5.4.1.
Efficient Estimators
102
5.4.2.
Robust Estimators
103
5.5.
Autocorrelation
104
5.5.1.
Models with Autocorrelated Errors
105
5.5.2.
Dynamic Models
106
Contents
5.6.
Endogenous
Variables 107
5.6.1. Endogeneity in
the Parametric Part
108
5.6.2. Endogeneity in
the Non-parametric Part
109
5.7.
Discrete-choice Models
110
5.7.1.
Partial Linear Models 111
5.7.2.
Index Models
112
6.
Mixture Models
115
6.1.
Introduction
115
6.2.
Density Estimation
117
6.2.1.
Finite Mixtures of Normal Distributions
118
6.2.2.
Estimation
119
6.2.3.
The Multivariate Case
124
6.3.
Density Estimation with Concomitant Variables
126
6.4.
Regression Models
129
6.4.1.
Mixture of Standard Regressions
129
6.4.2.
Discrete and Continuous Heterogeneity Distributions
131
6.4.3.
Mixture Regressions with Concomitant Variables
133
6.5.
Dynamic Regression Models
137
6.5.1.
Regime-switching Models
137
6.5.2.
Panel Data
139
Appendix A. Implementation in
R
142
A.I Kernel Density Estimation
143
A.2 Kernel Regression
144
A.3 Spline Regression
144
A.4 Wavelet Regression
145
A.5 Semi-parametric Regression Models
145
A.6 Mixture Models
146
Bibliography
148
Index
159
xi
|
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| author_GND | (DE-588)135813921 (DE-588)171815181 |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.015195 |
| dewey-search | 330.015195 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV036852029 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:49:23Z |
| institution | BVB |
| isbn | 9780199578009 0199578001 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020767971 |
| oclc_num | 699853563 |
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| owner_facet | DE-355 DE-BY-UBR DE-188 DE-19 DE-BY-UBM DE-11 DE-M382 DE-739 DE-703 |
| physical | XIV, 161 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | Practical econometrics |
| spelling | Ahamada, Ibrahim Verfasser (DE-588)135813921 aut Econometrie non-parametrique Non-parametric econometrics Ibrahim Ahamada ; Emmanuel Flachaire 1. publ. Oxford [u.a.] Oxford Univ. Press 2010 XIV, 161 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Practical econometrics Ökonometrie (DE-588)4132280-0 gnd rswk-swf Nichtparametrische Statistik (DE-588)4226777-8 gnd rswk-swf Econometrics Ökonometrie (DE-588)4132280-0 s Nichtparametrische Statistik (DE-588)4226777-8 s b DE-604 Flachaire, Emmanuel Verfasser (DE-588)171815181 aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020767971&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ahamada, Ibrahim Flachaire, Emmanuel Non-parametric econometrics Ökonometrie (DE-588)4132280-0 gnd Nichtparametrische Statistik (DE-588)4226777-8 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4226777-8 |
| title | Non-parametric econometrics |
| title_alt | Econometrie non-parametrique |
| title_auth | Non-parametric econometrics |
| title_exact_search | Non-parametric econometrics |
| title_full | Non-parametric econometrics Ibrahim Ahamada ; Emmanuel Flachaire |
| title_fullStr | Non-parametric econometrics Ibrahim Ahamada ; Emmanuel Flachaire |
| title_full_unstemmed | Non-parametric econometrics Ibrahim Ahamada ; Emmanuel Flachaire |
| title_short | Non-parametric econometrics |
| title_sort | non parametric econometrics |
| topic | Ökonometrie (DE-588)4132280-0 gnd Nichtparametrische Statistik (DE-588)4226777-8 gnd |
| topic_facet | Ökonometrie Nichtparametrische Statistik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020767971&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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