Topics

This website is for participants in the nonparametric workshop being held August 14-18, 2023, at the University of Pretoria, South Africa. Material will be based mostly on Racine (2019). The workshop will be run by Professor Jeffrey S. Racine who currently works at McMaster University in Hamilton, Ontario, Canada.

• Day 1

  • AM Introduction to R, data types, parametric and nonparametric kernel density estimation
  • PM Hands on lab, R and exercises

• Day 2

  • AM Introduction to nonparametric kernel regression, estimation, inference, interpretation
  • PM Hands on lab, R and exercises

• Day 3

  • AM Introduction to univariate kernel time-series methods, kernel volatility, kernel panel data methods
  • PM Hands on lab, R and exercises

• Day 4

  • AM Introduction to semiparametric kernel methods
  • PM Hands on lab, R and exercises

• Day 5

  • AM Introduction to assessing parametric vs. semiparametric vs. nonparametric models, new tools for reproducible research

References

Racine, Jeffrey S. 2019. An Introduction to the Advanced Theory and Practice of Nonparametric Econometrics: A Replicable Approach Using R. Cambridge University Press. https://doi.org/10.1017/9781108649841.