Nonparametric Econometrics

The description “nonparametric” seems to be used in two different ways in the statistical and econometric literature. The older use of the word refers to tests (such as Wilcoxon, Mann-Whitney, etc.) which don’t rely on classical normality assumptions, and which are often based on ranks rather than raw data. More recently, the term has been used to refer to smoothing techniques, especially in density estimation and regression. This book takes the more modern definition of “nonparametric” and covers a large range of smoothing methods which can be applied in econometrics.