Nonparametric Econometric Methods (Advances in Econometrics)

570 Pages·2009·6.17 MB·English

by  Qi Li

NONPARAMETRIC ECONOMETRIC
METHODS
ADVANCES IN ECONOMETRICS
Series Editors: Thomas B. Fomby and R. Carter Hill
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ADVANCES IN ECONOMETRICS VOLUME 25
NONPARAMETRIC
ECONOMETRIC
METHODS
EDITED BY
QI LI
Department of Economics,
Texas A&M University
JEFFREY S. RACINE
Department of Economics,
McMaster University, Canada
United Kingdom – North America – Japan
India – Malaysia – China
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Firstedition2009
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CONTENTS
LIST OF CONTRIBUTORS ix
CALL FOR PAPERS xiii
INTRODUCTION xv
PART I: MODEL IDENTIFICATION
AND TESTING OF ECONOMETRIC
MODELS
PARTIAL IDENTIFICATION OF THE
DISTRIBUTION OF TREATMENT
EFFECTS AND ITS CONFIDENCE SETS
Yanqin Fan and Sang Soo Park 3
CROSS-VALIDATED BANDWIDTHS AND
SIGNIFICANCE TESTING
Christopher F. Parmeter, Zhiyuan Zheng and 71
Patrick McCann
PART II: ESTIMATION OF SEMIPARAMETRIC
MODELS
SEMIPARAMETRIC ESTIMATION OF
FIXED-EFFECTS PANEL DATA VARYING
COEFFICIENT MODELS
Yiguo Sun, Raymond J. Carroll and Dingding Li 101
v
vi CONTENTS
FUNCTIONAL COEFFICIENT ESTIMATION
WITH BOTH CATEGORICAL AND
CONTINUOUS DATA
Liangjun Su, Ye Chen and Aman Ullah 131
PART III: EMPIRICAL APPLICATIONS OF
NONPARAMETRIC METHODS
THE EVOLUTION OF THE CONDITIONAL
JOINT DISTRIBUTION OF LIFE EXPECTANCY
AND PER CAPITA INCOME GROWTH
Thanasis Stengos, Brennan S. Thompson 171
and Ximing Wu
A NONPARAMETRIC QUANTILE ANALYSIS OF
GROWTH AND GOVERNANCE
Kim P. Huynh and David T. Jacho-Cha´vez 193
NONPARAMETRIC ESTIMATION OF
PRODUCTION RISK AND RISK
PREFERENCE FUNCTIONS
Subal C. Kumbhakar and Efthymios G. Tsionas 223
PART IV: COPULA AND DENSITY
ESTIMATION
EXPONENTIAL SERIES ESTIMATION OF
EMPIRICAL COPULAS WITH APPLICATION
TO FINANCIAL RETURNS
Chinman Chui and Ximing Wu 263
NONPARAMETRIC ESTIMATION OF
MULTIVARIATE CDF WITH CATEGORICAL AND
CONTINUOUS DATA
Gaosheng Ju, Rui Li and Zhongwen Liang 291
Contents vii
HIGHER ORDER BIAS REDUCTION OF KERNEL
DENSITY AND DENSITY DERIVATIVE
ESTIMATION AT BOUNDARY POINTS
Peter Bearse and Paul Rilstone 319
PART V: COMPUTATION
NONPARAMETRIC AND SEMIPARAMETRIC
METHODS IN R
Jeffrey S. Racine 335
PART VI: SURVEYS
SOME RECENT DEVELOPMENTS
IN NONPARAMETRIC FINANCE
Zongwu Cai and Yongmiao Hong 379
IMPOSING ECONOMIC CONSTRAINTS IN
NONPARAMETRIC REGRESSION: SURVEY,
IMPLEMENTATION, AND EXTENSION
Daniel J. Henderson and Christopher F. Parmeter 433
FUNCTIONAL FORM OF THE
ENVIRONMENTAL KUZNETS CURVE
Hector O. Zapata and Krishna P. Paudel 471
SOME RECENT DEVELOPMENTS ON
NONPARAMETRIC ECONOMETRICS
Zongwu Cai, Jingping Gu and Qi Li 495

LIST OF CONTRIBUTORS
Peter Bearse Department of Economics, University
of North Carolina at Greensboro,
Greensboro, NC, USA
Zongwu Cai Department of Mathematics and
Statistics, University of North Carolina
at Charlotte, Charlotte, NC, USA;
The Wang Yanan Institute for Studies
in Economics, Xiamen University,
Xiamen, Fujian, China
Raymond J. Carroll Department of Statistics, Texas A&M
University, TX, USA
Ye Chen Department of Economics, Princeton
University, Princeton, NJ, USA
Chinman Chui Institute for Financial and Accounting
Studies, Xiamen University, China
Yanqin Fan Department of Economics, Vanderbilt
University, Nashville, TN, USA
Jingping Gu Department of Economics, University
of Arkansas, Fayetteville, AR, USA
Daniel J. Henderson Department of Economics, State
University of New York at Binghamton,
Binghamton, NY, USA
Yongmiao Hong Department of Economics, Cornell
University, Ithaca, NY, USA; The
Wang Yanan Institute for Studies in
Economics, Xiamen University,
Xiamen, Fujian, China
ix