Semiparametric Methods in Econometrics (Lecture Notes in Statistics (Springer-Verlag), Vol 131)

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Summary: Semiparametric methods
Review: This book has an excellent command on semiparametric methods. These methods are frequently used in econometrics. As a tradition many economists used to estimate parametric models. But estimating parametric models requires many assumptions. First of all while estimating a parametric model you assume that you know the functional form of data generating process. If your assumption is not true, your model will not give estimates for the conditional mean function. Thus, economists began to use nonparametric models. However, in order to use nonparametric methods, we need a very large data set, which is not the case in many economic applications. Thus semiparametrioc methods are efficient to implement in many applications. Joel Horowitz is one of the most experienced people in this area and his book is a good point to start learning semiparametric methods.