CFDP 1069

Applied Nonparametric Methods


Publication Date: March 1994

Pages: 43


We review different approaches to nonparametric density and regression estimation. Kernel estimators are motivated from local averaging and solving ill-posed problems. Kernel estimators are compared to k-NN estimators, orthogonal series and splines. Pointwise and uniform confidence bands are described, and the choice of smoothing parameter is discussed. Finally, the method is applied to nonparametric prediction of time series and to semiparametric estimation.


Published in D. F. McFadden and R. F. Engle, eds., The Handbook of Econometrics, Vol. IV, North Holland, 1994, pp. 2295-2339 [DOI]