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Nonparametric econometrics / Adrian Pagan, Aman Ullah.

By: Contributor(s): Material type: TextPublication details: Cambridge [England] : Cambridge University Press, 1999.Description: xviii, 424 p. : ill. ; 24 cmISBN:
  • 0521355648 (h)
  • 9780521355643 (h)
  • 0521586119 (pbk.)
  • 9780521586115 (pbk.)
Subject(s): LOC classification:
  • HB139 .P34 1999
Contents:
Methods of Density Estimation -- Nonparametric Density Estimation -- A "Local" Histogram Approach -- A Formal Derivation of andfirac;[subscript 1] (x) -- Rosenblatt-Parzen Kernel Estimator -- The Nearest Neighborhood Estimator -- Variable Window-Width Estimators -- Series Estimators -- Penalized Likelihood Estimators -- The Local Log-Likelihood Estimators -- Estimation of Derivatives of a Density -- Finite-Sample Properties of the Kernel Estimator -- The Exact Bias and Variance of the Estimator andfirac; -- Approximations to the Bias and Variance and Choices of h and K -- Reduction of Bias -- Asymptotic Properties of the Kernel Density Estimator andfirac; with Independent Observations -- Asymptotic Unbiasedness -- Consistency -- Asymptotic Normality -- Small-Sample Confidence Intervals -- Sampling Properties of the Kernel Density Estimator with Dependent Observations -- Unbiasedness -- Consistency -- Asymptotic Normality -- Bibliographical Summary (Approximate and Asymptotic Results) -- Choices of Window Width and Kernel: Further Discussion -- Choice of h -- Choice of Higher Order Kernels -- Choice of h for Density Derivatives -- Multivariate Density Estimation -- Testing Hypotheses about Densities -- Comparison with a Known Density Function -- Testing for Symmetry -- Comparison of Unknown Densities -- Testing for Independence -- Density of Stock Market Returns -- Estimating the Dickey-Fuller Density -- Conditional Moment Estimation -- Estimating Conditional Moments by Kernel Methods -- Parametric Estimation.
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Include index.

Methods of Density Estimation --
Nonparametric Density Estimation --
A "Local" Histogram Approach --
A Formal Derivation of andfirac;[subscript 1] (x) --
Rosenblatt-Parzen Kernel Estimator --
The Nearest Neighborhood Estimator --
Variable Window-Width Estimators --
Series Estimators --
Penalized Likelihood Estimators --
The Local Log-Likelihood Estimators --
Estimation of Derivatives of a Density --
Finite-Sample Properties of the Kernel Estimator --
The Exact Bias and Variance of the Estimator andfirac; --
Approximations to the Bias and Variance and Choices of h and K --
Reduction of Bias --
Asymptotic Properties of the Kernel Density Estimator andfirac; with Independent Observations --
Asymptotic Unbiasedness --
Consistency --
Asymptotic Normality --
Small-Sample Confidence Intervals --
Sampling Properties of the Kernel Density Estimator with Dependent Observations --
Unbiasedness --
Consistency --
Asymptotic Normality --
Bibliographical Summary (Approximate and Asymptotic Results) --
Choices of Window Width and Kernel: Further Discussion --
Choice of h --
Choice of Higher Order Kernels --
Choice of h for Density Derivatives --
Multivariate Density Estimation --
Testing Hypotheses about Densities --
Comparison with a Known Density Function --
Testing for Symmetry --
Comparison of Unknown Densities --
Testing for Independence --
Density of Stock Market Returns --
Estimating the Dickey-Fuller Density --
Conditional Moment Estimation --
Estimating Conditional Moments by Kernel Methods --
Parametric Estimation.

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