ECON 713:
Nonparametric Econometrics, Term 1 2014/2015
Lecture Time and Place
Tuesdays 7:00-10:15pm, SOE/SOSS Seminar Room 5.1
Instructor
Liangjun SU
ljsu@smu.edu.sg, Tel: 6828 0386
Office hours: Tuesdays
3-5pm or by appointment, at SOE/SOSS Building #05-052
Teaching Assistant:
None
Textbooks
Required
Nonparametric Econometrics:
Theory and Practice (Highly recommended), by Qi Li and Jeffrey
Scott Racine, Princeton University Press, 2007.
Supplementary Books
Nonparametric
Econometrics
(Optional), by Adrian Pagan and Aman Ullah, Cambridge University Press, 1999.
Nonlinear Time Series: Nonparametric and Parametric Methods
(Optional), by Jianqing Fan and Qiwei Yao, Springer,
2003.
Statistical software
Knowledge in Matlab is required. For SMU
faculty or students to access Matlab, please
refer to the installation guides through the SMU network at
\\Fs01\applications\applications\Research-Software\Matlab
For instructions on how to install
Matlab in your own computer, please click here.
If you have any questions regarding
the installation of the above software, please contact our systems engineer
Anson CHEW Wee Siang from IITS at ansonchew@smu.edu.sg
for help.
Click here for a
short introduction to Matlab. For some compressed/zipped Matlab codes for
class-demonstration, please click here.
Lecture Notes
1. Nonparametric
Density Estimation and Testing (posted on 15/08/2014)
2. Nonparametric Regression (posted on 15/08/2014)
3. Nonparametric Sieve Estimation (posted on 02/09/2014)
4. Semiparametric Estimation of Partially Linear Models (posted on 02/09/2014)
5. Semiparametric Estimation of Additive
Models (posted on 02/09/2014)
Homework and Solutions
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Homework and post
date |
Due Date |
Solutions |
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HW1 (15 Aug, 2014) Business03.xls |
16 Sept, 2014 |
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HW2 (16 Sept, 2014) Boston_house.xlsx |
25 Nov, 2014 |
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Announcements (If any)
1.
Last updated 2014/08/15