Thursday, February 19, 2015

Applied Nonparametric Econometrics

Recently, I received a copy of a new econometrics book, Applied Nonparametric Econometrics, by Daniel Henderson and Christopher Parmeter.

The title is pretty self-explanatory and, as you'd expect with any book published by CUP, this is a high-quality item.

The book's Introduction begins as follows:
"The goal of this book is to help bridge the gap between applied economists and theoretical econometricians/statisticians. The majority of empirical research in economics ignores the potential benefits of nonparametric methods and many theoretical nonparametric advances ignore the problems faced by practitioners. We do not believe that applied economists dismiss these methods because they do not like them.  We believe that they do not employ them because they do not understand how to use them or lack formal training on kernel smoothing."
The authors provide a very readable, but careful, treatment of the main topics in nonparamteric econometrics, and a feature of this book is the set of empirical examples. The book's website provides the data that are used (for replication purposes), as well as a number of routines in R. The latter provide useful additions to those that are available in the np package for R (Hayfield and Racine, 2008).


Reference

Hayfield T. and J. S. Racine, 2008. Nonparametric econometrics: The np package. Journal of Statistical Software, 27 (5), 1-32.


© 2015, David E. Giles

3 comments:

  1. Thanks a lot for recognizing our book. We are very excited about our book being released.

    We do have one point of clarification. While our programming code has many of the same functions that are in the np package, there are many that are not in the np package (similarly, there are many functions in the np package that are not on our website). That being said, we wish we note that we wrote our code in such a way that it is easy to read (and hence learn) and modify, and thus may not be as efficient as the np package.

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    1. Daniel - thanks. I've re-phrased my last comment to clarify this (I hope)!

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