目前为止，所见过的最好的有关nonparametric课件，参考书是李奇（Qi Li and Racine ,2007）那本书。个人感觉是思路清晰，简洁明了。而且作者对于非参里面中诸如怎么样选择合适的bandwith等问题从自己的研究经验上给出自己的见解。


下面是作者给出的一个有关非参计量教材的评价。

Nonparametric Econometrics: Theory and Practice by Qi Li and Jeffrey Racine.
Silverman, B. W. (1986) Density Estimation for Statistics and Data Analysis
Scott, D. W. (1992) Multivariate Density Estimation
Fan, J. and I. Gijbels (1996) Local Polynomial Modelling and its Applications
Fan, J., and Q. Yao (2003) Nonlinear Time Series: Nonparametric and Parametric Methods
Pagan, A., and A. Ullah (1999) Nonparametric Econometrics
Hardle, W. (1990) Applied Nonparametric Regression
Ruppert, Wand and Carroll (2003) Semiparametric Regression
Hardle, Muller, Sperlich and Werwatz (2004) Nonparametric and Semiparametric Models
Yatchew (2003) Semiparametric Regression for the Applied Econometrician
Koenker (2005) Quantile Regression
Bosq (1998) Nonparametric Statistics for Stochastic Processes

The books by Silverman and Hardle are classics.
Pagan-Ullah is the first econometrics book on nonparametrics, and in this sense is similar to Li-Racine.
Fan-Gijbels is a thorough treatment of local linear and local polynomial methods.
Bosq is a theoretical treatment of kernel methods for dependent data.
Fao-Yao is a summary of their extensive contributions to time-series nonparametrics





再加一个苏良军（white的学生，现在在smu，以前在光华教过书）的上课的参考文献，原来的课件我弄丢了，有需要的去下面这个链接去下载。
http://www.pinggu.org/bbs/dispbbs.asp?boardid=5&id=108077