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Title: Nonparametric Econometrics by Adrian Pagan, Aman Ullah, Peter C. B. Phillips, Christian Gourieroux, Michael Wickens ISBN: 0-521-58611-9 Publisher: Cambridge University Press Pub. Date: 01 July, 1999 Format: Paperback Volumes: 1 List Price(USD): $32.00 |
Average Customer Rating: 4.33 (3 reviews)
Rating: 4
Summary: Great Book on Non-Parametrics
Comment: I just started reading it, and I love the clear exposition of the book. Its a very fast-growing field, so don't expect this book to be the last word on the subject. Still, it's a must for an advanced graduate student in econometrics in need of a good introduction to non-parametric estimation.
Rating: 4
Summary: A comprehensive review of nonparametrics statistics
Comment: Nonparametrics seems to be one of the most promising fields in econometrics. All econometricians should be aware of that and try to learn the basic tools. This book is a great beginning (perhaps you should read the chapter of nonparametrics in Johnston and Dinardo's "Econometric Methods" to get used to the very basic concepts). The manual contains practically all the stuff that has been done in the field. It begins pretty fast with the kernel estimation method and, by page 19, you will be face to nonparametric derivatives estimation equations. In the introduction there is a clear explanation of the difference between parametrics and nonparametrics; you will also learn the main basic methods and concepts, such as the nearest Neighborhood Estimator and the window's size problem. After that, you'll have to read about the statistical properties (finite sample and asymptotics) of the estimators. There is also a lot of stuff of semiparametric methods. You shouldn't expect an extremely easy-to-read manual, because nonparametrics is a pretty complex subject. The first 50 pages are easy and fun to read. You'll get excited by learning such interesting theory. But then, the hard topics begin and if you want to understand them all, you'll have to make a big effort. Not overwhelmingly complicated, neither elementary, this book is an excellent reference in the field, but I advice you to have two or three more books of the same subject (Hardle, for example) so you can understand faster some of the developments presented. A fairly good mathematical and probability knowledge is required.
Rating: 5
Summary: Up to date
Comment: This is the most accessible and the most comprehensive text on nonparametric econometric methods I have seen. The field is highly technical, and there has been a need for the book that would combine ease-of-use with the scope. Moreover, the book is up to date and covers all econometric methods, instead of focusing on a specific branch. Recommended.
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Title: Applied Nonparametric Regression by Wolfgang Härdle, Peter Hammond, Alberto Holly ISBN: 0521429501 Publisher: Cambridge University Press Pub. Date: 31 January, 1992 List Price(USD): $40.00 |
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Title: Econometric Analysis of Cross Section and Panel Data by Jeffrey M. Wooldridge ISBN: 0262232197 Publisher: MIT Press Pub. Date: 01 October, 2001 List Price(USD): $75.00 |
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Title: Analysis of Panel Data by Cheng Hsiao, Peter Hammond, Alberto Holly ISBN: 0521522714 Publisher: Cambridge University Press Pub. Date: 15 December, 2002 List Price(USD): $30.00 |
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Title: Partial Identification of Probability Distributions (Springer Series in Statistics) by Charles F. Manski ISBN: 0387004548 Publisher: Springer Verlag Pub. Date: May, 2003 List Price(USD): $69.95 |
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Title: Limited-Dependent and Qualitative Variables in Econometrics by G. S. Maddala, Peter Hammond, Alberto Holly ISBN: 0521338255 Publisher: Cambridge University Press Pub. Date: 27 June, 1986 List Price(USD): $35.00 |
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