Customer Reviews

Nonparametric Econometrics: Theory and Practice

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I have been through the first four chapters of the book now with a student in some detail. This is a very nice book. It is clearly written and covers the frontier of the literature. It is not appropriate as a first treatment of non-parametrics as it presumes some background knowledge. A reader new to the area should start with something a bit more applied such as the older Silverman or Haerdle books. This book is also more proof-oriented than the Pagan and Ullah book. I think of this book as oriented toward an advanced graduate course or as a reference book for those who use these methods and want to understand their theoretical econometric foundations. The book is particulary strong, not surprisingly, on things that the authors have written a lot about, such as kernel regression and cross-validation.

Disclaimer: I know both Jeff and Qi.