The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics

Jeffrey Racine is Professor in the Department of Economics and the Department of Mathematics and Statistics as well as Senator William McMaster Chair in Econometrics at McMaster University. Liangjun Su is Associate Professor in the School of Economics at Singapore Management University and in the Guanghua School of Management at Peking University. Aman Ullah is Distinguished Professor in the Department of Economics at University of California, Riverside.

Contents ; List of Contributors ; Preface ; PART 1: METHODOLOGY ; 1. The Hilbert Space Theoretical Foundation of Semi-Nonparametric Modeling ; Herman J. Bierens ; 2. An Overview of the Special Regressor Method ; Arthur Lewbel ; PART 2: INVERSE PROBLEMS ; 3. Asymptotic Normal Inference in Linear Inverse Problems ; Marine Carrasco, Jean-Pierre Florens, and Eric Renault ; 4. Identification and Well-Posedness in Nonparametric Models with Independence Conditions ; Victoria Zinde-Walsh ; PART 3: ADDITIVE MODELS ; 5. Nonparametric Additive Models ; Joel L. Horowitz ; 6. Oracally Efficient Two-Step Estimation for Additive Regression ; Shujie Ma and Lijian Yang ; 7. Additive Models: Extensions and Related Models ; Enno Mammen, Byeong U. Park, and Melanie Schienle ; PART 4: MODEL SELECTION AND AVERAGING ; 8. Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation ; Bruce E. Hansen ; 9. Variable Selection in Nonparametric and Semiparametric Regression Models ; Liangjun Su and Yonghui Zhang ; 10. Data-Driven Model Evaluation: A Test for Revealed Performance ; Jeffrey S. Racine and Christopher F. Parmeter ; 11. Support Vector Machines with Evolutionary Model Selection for Default Prediction ; Wolfgang Karl Hardle, Dedy Dwi Prastyo, and Christian Hafner ; PART 5: TIME SERIES ; 12. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications ; Peter C.B. Phillips and Zhipeng Liao ; 13. Identification, Estimation, and Specification in a Class of Semi-Linear Time Series Models ; Jiti Gao ; 14. Nonparametric and Semiparametric Estimation and Hypothesis Testing with Nonstationary Time Series ; Yiguo Sun and Qi Li ; PART 6: CROSS SECTION ; 15. Nonparametric and Semiparametric Estimation of a Set of Regression Equations ; Aman Ullah and Yun Wang ; 16. Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment ; Daniel J. Henderson and Esfandiar Maasoumi