""Nonparametric Econometrics" by Li and Racine is a must for any
serious econometrician or statistician who is working on
cutting-edge problems. The theoretical treatment of nonparametric
methods is remarkably complete in its coverage of mainstream and
relatively arcane topics. I particularly like Li and Racine's
general treatment of continuous and discrete regressors and of
specification testing, topics that I have not seen handled in such
a comprehensive fashion. I will certainly use this in my graduate
econometrics courses and in conducting my own research."--Robin
Sickles, Rice University
"Very few studies have tried to apply the nonparametric
techniques to analyze real data. The lack of applications of those
techniques is perhaps attributable to the lack of a good textbook
that explains intuitively how and why those techniques work. This
book by Li and Racine serves both applied researchers and graduate
students. It is written in plain language so that it can be
understood by anyone with basic econometrics but zero knowledge of
nonparametric methods. And it contains enough specifics that
clearly spell out steps to implement those methods."--Chunrong Ai,
University of Florida
"This book represents a very significant contribution to the
field of econometrics. It provides an extremely thorough coverage
of our knowledge in the area of nonparametric and semiparametric
methods as they apply to economic models and economic data. And it
makes accessible, for the first time, a body of relatively new
material relating to discrete and 'mixed' data. There is a good
balance of theoretical material and applications. Apart from
serving as a superb teaching text in graduate-level courseswhere
the students have a strong econometrics/statistics preparation, I
believe this book will become a must-have reference resource for
many researchers."--David E. Giles, University of Victoria
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