OXFORD UNIVERSITY PRESS

The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics

ISBN : 9780199857944

参考価格(税込): 
¥24,640
著者: 
Jeffrey Scott Racine; Liangjun Su; Aman Ullah
関連カテゴリー
ページ
560 ページ
フォーマット
Hardcover
サイズ
181 x 254 mm
刊行日
2014年02月
シリーズ
Oxford Handbooks in Economics
メール送信
印刷

This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. These data-driven models seek to replace the " parametric models of the past, which were rigid and often linear. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures. They provide a balanced view of new developments in the analysis and modeling of applied sciences with cross-section, time series, panel, and spatial data sets. The major topics of the volume include: the methodology of semiparametric models and special regressor methods; inverse, ill-posed, and well-posed problems; different methodologies related to additive models; sieve regression estimators, nonparametric and semiparametric regression models, and the true error of competing approximate models; support vector machines and their modeling of default probability; series estimation of stochastic processes and some of their applications in Econometrics; identification, estimation, and specification problems in a class of semilinear time series models; nonparametric and semiparametric techniques applied to nonstationary or near nonstationary variables; the estimation of a set of regression equations; and a new approach to the analysis of nonparametric models with exogenous treatment assignment.

目次: 

Contents
List of Contributors
Preface
PART 1: METHODOLOGY
1. The Hilbert Space Theoretical Foundation of Semi-Nonparametric Modeling
Herman J. Bierens
2. An Overview of the Special Regressor Method
Arthur Lewbel
PART 2: INVERSE PROBLEMS
3. Asymptotic Normal Inference in Linear Inverse Problems
Marine Carrasco, Jean-Pierre Florens, and Eric Renault
4. Identification and Well-Posedness in Nonparametric Models with Independence Conditions
Victoria Zinde-Walsh
PART 3: ADDITIVE MODELS
5. Nonparametric Additive Models
Joel L. Horowitz
6. Oracally Efficient Two-Step Estimation for Additive Regression
Shujie Ma and Lijian Yang
7. Additive Models: Extensions and Related Models
Enno Mammen, Byeong U. Park, and Melanie Schienle
PART 4: MODEL SELECTION AND AVERAGING
8. Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation
Bruce E. Hansen
9. Variable Selection in Nonparametric and Semiparametric Regression Models
Liangjun Su and Yonghui Zhang
10. Data-Driven Model Evaluation: A Test for Revealed Performance
Jeffrey S. Racine and Christopher F. Parmeter
11. Support Vector Machines with Evolutionary Model Selection for Default Prediction
Wolfgang Karl Hardle, Dedy Dwi Prastyo, and Christian Hafner
PART 5: TIME SERIES
12. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
Peter C.B. Phillips and Zhipeng Liao
13. Identification, Estimation, and Specification in a Class of Semi-Linear Time Series Models
Jiti Gao
14. Nonparametric and Semiparametric Estimation and Hypothesis Testing with Nonstationary Time Series
Yiguo Sun and Qi Li
PART 6: CROSS SECTION
15. Nonparametric and Semiparametric Estimation of a Set of Regression Equations
Aman Ullah and Yun Wang
16. Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment
Daniel J. Henderson and Esfandiar Maasoumi

著者について: 

Jeffrey Racine is Professor in the Department of Economics and the Department of Mathematics and Statistics as well as Senator William McMaster Chair in Econometrics at McMaster University. Liangjun Su is Associate Professor in the School of Economics at Singapore Management University and in the Guanghua School of Management at Peking University. Aman Ullah is Distinguished Professor in the Department of Economics at University of California, Riverside.

このページに掲載の「参考価格」は日本国内における希望小売価格です。当ウェブサイトでのご購入に対して特別価格が適用される場合、販売価格は「割引価格」として表示されます。なお、価格は予告なく変更されることがございますので、あらかじめご了承ください。