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Semiparameter and nonparameter method in econmetic
Joel L. Horowitz
This book is intended to introduce graduate students and practicing professionals
to some of the main ideas and methods of semiparametric and nonparametric estimation
in econometrics. It contains more than enough material for a one-semester
graduate-level course and, to a large extent, is based on a course in semiparametric
and nonparametric methods that I teach at Northwestern University. In the book,
as in the course, I try to emphasize key ideas and provide an intuitive grasp of
how things work while avoiding formal proofs, which in this field tend to be highly
technical, lengthy, and intimidating. Readers who want to see the proofs can find
them in the references that are cited in the book. The book is mainly methodological,
but it includes empirical examples that illustrate the usefulness of the estimation
methods that are presented. The main prerequisite for this book is knowledge
of econometric theory, especially asymptotic distribution theory, at the level found
(for example) in the textbooks by Amemiya (1985) and Davidson and MacKinnon
(1993) and the Handbook of Econometrics chapter by McFadden and Newey
(1994).
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