Forthcoming Summer School - 2010
The topic of the 5 th Advanced Summer School will be on "Semiparametric and Nonparametric Econometrics".
Professor Jeffrey S. Racine
(McMaster University, Department of Economics) will be the Distinguished Guest Professor.
Summer school duration: 1-7 August 2010.
Course Overview
In this course we shall study a unified framework for nonparametric and semiparametric kernelbased analysis. We focus on kernel-based methods capable of handling the mix of categorical (nominal and ordinal) and continuous datatypes one typically encounters in the course of applied data analysis. Applications will be emphasized throughout, and we shall use R for data analysis (http://www.R-project.org).
Material will be taken mainly from Li, Q. and J. S. Racine (2007), Nonparametric Econometrics: Theory and Practice, Princeton University Press, ISBN: 0691121613 (768 Pages). The np package for R (http://www.r-project.org) will be used for the nonparametric and semiparametric analysis, and is available directly from the Comprehensive R Archive Network (http://cran.r-project.org).
Course Outline
We shall cover a range of topics in this course. In the early part of the course we shall emphasize the statistical underpinnings of the methods. Having been exposed to the underpinnings of nonparametric kernel-based methods, we will then leverage this to cover a range of topics of interest to applied researchers.
- Nonparametric density and probability function estimation (Li & Racine (2007), chapters 1, 3, 4)
- Nonparametric regression (Li & Racine (2007), Chapter 2)
- Conditional density and distribution function estimation (Li & Racine (2007), chapters 5&6)
- Semiparametric partially linear models (Li & Racine (2007), Chapter 7)
- Semiparametric single index models (Li & Racine (2007), Chapter 8)
- Semiparametric varying coefficient models (Li & Racine (2007), Chapter 9)
- Nonparametric testing of hypotheses (Li & Racine (2007), chapters 12 & 13)