ECONOMETRICS: SYSTEM MODELS

Quang Vuong

Kernel Methods for Estimation of Densities and Conditional Moments

Based on lecture notes

Average Denstiy Estimation

Based on lecture notes
Powell, Stock and Stoker, "Semiparametric Estimatin of Index Coefficients," Econometrica, 1989, 1403-1430.

Series/Sieve Methods

Xiaohong Chen, "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbood of Econometrics, Vol.6. Ch.76.
Whitney Newey, "Convergence Rates and Asymptotic Normality of Series Estimators," Journal of Econometrics, 1997, 147-168.

Javier Perez Estrada and Hernan Jorge Winkler: Powell, Stock and Stoker, "Semiparametric Estimatin of Index Coefficients," Econometrica, 1989, 1403-1430.

My presentation with Jiyeon Seo: Newey and Powell, "Instrumental Variable Estimation of Nonparametric Models", Econometrica, 2003, 1565-1578

Hisayuki Yoshimoto: Lavergne and Vuong, "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, 1996, 207-219

Gissele Gajate Garrido and Allison Shertzer: P. Robinson, "Root-N-Consistent Semiparametric Regression," Econometrica, 1988, 931-954

David M. Kang and Bo Kyung Kim: Fan and Li, "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, 1996, 865-890