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Core reading materials
Lectures for the masterclass will be based mostly on Professor Powell’s chapter in the Handbook of Econometrics, his chapter with Richard Blundell in Advances in Economics and Econonometrics: Theory and Applications, Eighth World Congress, Vol. II, and four sets of lecture notes from his current class. All of these are available online in PDF form and can be downloaded below.
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Book chapters
Powell, (1994), Estimation of semiparametric models, in Engle, R.F. and D.L. McFadden, eds., Handbook of Econometrics, Vol. 4 (North Holland), Sec. 1.1, 1.2.
Blundell, R. and J.L. Powell (2003), Endogeneity in Nonparametric and Semiparametric Regression Models, with Richard Blundell, in Advances in Economics and Econonometrics: Theory and Applications, Eighth World Congress, Vol. II, M. Dewatripont, L.P. Hansen and S.J. Turnovsky, eds. Cambridge: Cambridge University Press. [This link is to the original manuscript rather than the published version]
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Lecture Notes
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1. Method-of-moments estimation
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2. Nonparametric density estimation
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3. Nonparametric regression estimation
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4. Median and quantile regression
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Course topics and further reading
1. Overview of semiparametric and nonparametric estimation
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Powell, (1994), “Estimation of Semiparametric Models,” in Engle, R.F. and D.L. McFadden, eds., Handbook of Econometrics, Vol. 4 (North Holland), Sec. 1.1, 1.2.
Pagan, A.P. and A. Ullah (1999), “Nonparametric Econometrics” (Cambridge University Press), Ch. 1.
*Manski, C.F. (1988), Analog Estimation Methods in Econometrics (Chapman-Hall), Ch. 1, 2, 6.
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2. Review of asymptotic theory
Powell, “Estimation of Semiparametric Models,” Sec. 1.3.
Pagan and Ullah, “Nonparametric Econometrics”, Appendix A.
*Powell, J.L. (2003), “Notes on Method-of-Moments Estimation,” manuscript.
*Powell, J.L. (2003), “Notes on Quantile Regression,” manuscript.
*Newey, W.K. (1994), “The Asymptotic Variance of Semiparametric Estimators,” Econometrica, 62: 1349-1382.
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3. Nonparametric density estimation
Powell, J.L. (2003), “Notes on Nonparametric Density Estimation,” manuscript.
Pagan and Ullah, “Nonparametric Econometrics”, Ch. 2.
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4. Nonparametric regression estimation
Powell, J.L. (2003), “Notes on Nonparametric Regression,“ manuscript.
Pagan and Ullah, “Nonparametric Econometrics”, Ch. 3.
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5. Semiparametric binary response models
Powell, “Estimation of Semiparametric Models,” Sec. 3.1.
Pagan and Ullah, Nonparametric Econometrics, Sec. 7.1-7.3, Sec. 7.5.1-7.5.4.
*Manski, C.F. (1985), “Semiparametric Analysis of Discrete Response, Asymptotic Properties of the Maximum Score Estimator,” Journal of Econometrics, 27, 205-228.
*Han, A.K. (1987a), “Non-Parametric Analysis of a Generalized Regression Model: The Maximum Rank Correlation Estimator,” Journal of Econometrics, 35, 303-316.
*Cosslett, S.R. (1983), “Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model,” Econometrica, 51, 765-782.
*Horowitz, J.L. (1992), “A Smoothed Maximum Score Estimator for the Binary Response Model,” Econometrica, 60, 505-531.
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6. Single index regression models
Powell, “Estimation of Semiparametric Models,“ Sec. 3.2.
Pagan and Ullah, Nonparametric Econometrics, Sec. 7.4, 7.5.6.
*Stoker, T.M. (1986), “Consistent Estimation of Scaled Coefficients,” Econometrica, 54, 1461-1481.
*Powell, J.L., J.H. Stock and T.M. Stoker (1989), “Semiparametric Estimation of Weighted Average Derivatives,” Econometrica, 57, 1403-1430.
*Hardle, W. and T.M. Stoker (1989) “Investigating Smooth Multiple Regression by the Method of Average Derivatives,” Journal of the American Statistical Association, 84, 986-995.
*Ruud, P. (1986), “Consistent Estimation of Limited Dependent Variable Models Despite Misspecification of Distribution,” Journal of Econometrics, 32, 157-187.
*Klein, R.W. and R.H. Spady (1993), “An Efficient Semiparametric Estimator for Discrete Choice Models,” Econometrica, 61, 387-421.
*Ichimura, H. (1993), “Semiparametric Least Squares (SLS) and Weighted SLS Estimation of Single Index Models,” Journal of Econometrics, 58, 71-120.
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7. Semiparametric censored and truncated regression models
Powell, “Estimation of Semiparametric Models,” Sec. 3.3.
Pagan and Ullah, Nonparametric Econometrics, Sec. 9.5-9.7.
*Powell, J.L. (1984), “Least Absolute Deviations Estimation for the Censored Regression Model,” Journal of Econometrics, 25, 303-325.
*Powell, J.L. (1986), “Symmetrically Trimmed Least Squares Estimation of Tobit Models,” Econometrica, 54, 1435-1460.
*Horowitz, J.L. (1986), “A Distribution-Free Least Squares Estimator for Censored Linear Regression Models,” Journal of Econometrics, 32, 59-84.
*Buchinsky, M. and J. Hahn (1998), “An Alternative Estimator for the Censored Quantile Regression Model,” Econometrica, 66, 653-672.
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8. Semilinear regression and semiparametric selection models
Powell, “Estimation of Semiparametric Models,” Sec. 3.4.
Pagan and Ullah, Nonparametric Econometrics, Sec. 5.1-5.2, 8.1-8.3.
*Robinson, P. (1988), “Root-N-Consistent Semiparametric Regression,” Econometrica, 56, 931-954.
*Cosslett, S.R. (1991), “Distribution-Free Estimator of a Regression Model with Sample Selectivity,” in Barnett, W.A., J.L. Powell, and G. Tauchen, eds., Nonparametric and Semiparametric Methods in Econometrics and Statistics (Cambridge University Press).
*Ahn, H. and J.L. Powell (1993), “Semiparametric Estimation of Censored Selection Models with a Nonparametric Selection Mechanism,” Journal of Econometrics, 58, 3-29.
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9. Semiparametric panel data models
Powell, “Estimation of Semiparametric Models,” Sec. 3.5.
*Manski, C.F. (1987), “Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data,” Econometrica, 55, 357-362.
*Honoré, B.E. (1992), “Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects,” Econometrica, 60, 533-565.
*Kyriazidou, E. (1997), “Estimation of a Panel Data Sample Selection Model,” Econometrica, 65, 1335-1364.
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10. Nonparametric and semiparametric models with endogeneity
Blundell, R. and J.L. Powell (2003), “Endogeneity in Nonparametric and Semiparametric Regression Models,” with Richard Blundell, in Advances in Economics and Econonometrics: Theory and Applications, Eighth World Congress, Vol. II, M. Dewatripont, L.P. Hansen and S.J. Turnovsky, eds. Cambridge: Cambridge University Press.
Pagan and Ullah, Nonparametric Econometrics, Sec. 6.5.
*Newey, W.K. and J.L. Powell (1988), “Nonparametric Instrumental Variables Estimation,” manuscript, Princeton University (forthcoming, Econometrica).
*Lewbel, A. (1998), “Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors,” Econometrica, 66, 105-122.
*Newey, W.K., J.L. Powell, and F. Vella (1999), “Nonparametric Estimation of Triangular Simultaneous Equations Models,” Econometrica, 67, 565-604.
*Blundell, R. and J.L. Powell (2003), “Endogeneity in Single Index Models,” manuscript, University College London.
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