Nonparametric Econometrics: The np Package

We describe the R np package via a series of applications that may be of interest to applied econometricians. The np package implements a variety of nonparametric and semiparametric kernel-based estimators that are popular among econometricians. There are also procedures for nonparametric tests of s...

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Bibliographic Details
Published in:Journal of statistical software 2008-07, Vol.27 (5)
Main Authors: Hayfield, Tristen, Racine, Jeffrey S.
Format: Article
Language:English
Subjects:
categorical data
kernel smoothing
nonparametric
semiparametric
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Summary:We describe the R np package via a series of applications that may be of interest to applied econometricians. The np package implements a variety of nonparametric and semiparametric kernel-based estimators that are popular among econometricians. There are also procedures for nonparametric tests of significance and consistent model specification tests for parametric mean regression models and parametric quantile regression models, among others. The np package focuses on kernel methods appropriate for the mix of continuous, discrete, and categorical data often found in applied settings. Data-driven methods of bandwidth selection are emphasized throughout, though we caution the user that data-driven bandwidth selection methods can be computationally demanding.
ISSN:1548-7660
1548-7660
DOI:10.18637/jss.v027.i05