Some Recent Developments on Nonparametric Econometrics
Zongwu Cai, Jingping Gu, Qi Li
Advances in Econometrics Volume 25 (2009), 379–432.
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In this paper, we survey some recent developments of nonparametric econometrics in the following areas: (i) nonparametric estimation of regression models with mixed discrete and continuous data; (ii) nonparametric models with nonstationary data; (iii) nonparametric models with instrumental variables; and (iv) nonparametric estimation of conditional quantile functions. In each of the above areas, we also point out some open research problems.