Non- and semi- parametric econometrics

Enseignants

Hafner Christian;

Langue
d'enseignement

Anglais

Acquis
d'apprentissage

A la fin de cette unité d’enseignement, l’étudiant est capable de :
1	A. Eu égard au référentiel AA du programme de master en statistique, orientation générale, cette activité contribue au développement et à l'acquisition de manière prioritaire des AA 2.4, 3.1, 3.3, 4.4, 6.1 et 6.2. B. A l'issue de ce cours, l'étudiant maîtrisera la théorie de base d'estimateurs non-paramétriques. Il sera capable d'étudier les propriétés de ces estimateurs ainsi que leur application à l'aide d'un logiciel statistique.

Contenu

The objective of this lecture is to provide an introduction to non- and semiparametric estimation methods that are often used in econometrics. For the classical kernel density and regression estimator, the asymptotic theory will be developed in some detail. For time series regression and semiparametric models, an emphasis will be given on applications through various examples. Beyond understanding the properties, students are expected to learn how to implement the methods.
1. Nonparametric estimation
a. Kernel density estimator (properties, asymptotics, higher order kernels, density derivatives,
multivariate densities, bandwidth selection)
b. Nonparametric regression (local polynomial estimator, properties, asymptotics; time series)
2. Semiparametric estimation
a. Semiparametric eciency bounds
b. Linear regression with unknown error density
c. Partially linear model
d. Single index model
e. Semiparametric models for time series
f. Semiparametric models for panel data

Bibliographie

• Li, Q. and S. Racine (2007), Nonparametric Econometrics, Princeton University Press.
• Pagan, A. and A. Ullah (1999), Nonparametric Econometrics, Cambridge University Press.
• Ruppert, D., M.P. Wand and R.J. Carroll (2003), Semiparametric Regression, Cambridge Series in Statistical and Probabilistic Mathematics, Cambridge University Press.
• Yatchew, A. (2003), Semiparametric regression for the applied econometrician, Cambridge University Press.

Support de cours

• matériel sur moodle

Faculté ou entité
en charge

LSBA