This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.

Contents ; List of Contributors ; Preface ; PART 1: METHODOLOGY ; 1. The Hilbert Space Theoretical Foundation of Semi-Nonparametric Modeling ; Herman J. Bierens ; 2. An Overview of the Special Regressor Method ; Arthur Lewbel ; PART 2: INVERSE PROBLEMS ; 3. Asymptotic Normal Inference in Linear Inverse Problems ; Marine Carrasco, Jean-Pierre Florens, and Eric Renault ; 4. Identification and Well-Posedness in Nonparametric Models with Independence Conditions ; Victoria Zinde-Walsh ; PART 3: ADDITIVE MODELS ; 5. Nonparametric Additive Models ; Joel L. Horowitz ; 6. Oracally Efficient Two-Step Estimation for Additive Regression ; Shujie Ma and Lijian Yang ; 7. Additive Models: Extensions and Related Models ; Enno Mammen, Byeong U. Park, and Melanie Schienle ; PART 4: MODEL SELECTION AND AVERAGING ; 8. Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation ; Bruce E. Hansen ; 9. Variable Selection in Nonparametric and Semiparametric Regression Models ; Liangjun Su and Yonghui Zhang ; 10. Data-Driven Model Evaluation: A Test for Revealed Performance ; Jeffrey S. Racine and Christopher F. Parmeter ; 11. Support Vector Machines with Evolutionary Model Selection for Default Prediction ; Wolfgang Karl Hardle, Dedy Dwi Prastyo, and Christian Hafner ; PART 5: TIME SERIES ; 12. Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications ; Peter C.B. Phillips and Zhipeng Liao ; 13. Identification, Estimation, and Specification in a Class of Semi-Linear Time Series Models ; Jiti Gao ; 14. Nonparametric and Semiparametric Estimation and Hypothesis Testing with Nonstationary Time Series ; Yiguo Sun and Qi Li ; PART 6: CROSS SECTION ; 15. Nonparametric and Semiparametric Estimation of a Set of Regression Equations ; Aman Ullah and Yun Wang ; 16. Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment ; Daniel J. Henderson and Esfandiar Maasoumi

Jeffrey S. Racine is a Professor in the Department of Economics and the Graduate Program in Statistics in the Department of Mathematics and Statistics at McMaster University, where he holds the Senator William McMaster Chair in Econometrics. He received his Ph.D. in economics from the University of Western Ontario. He is currently the Associate Editor of Econometric Reviews and The Journal of Econometric Methods. Liangjun Su is a Professor of Economics in the School of Economics at Singapore Management University. He received his PhD in economics from the University of California at San Diego. He was a recipient of the Lee Kuan Yew Fellowship for Research Excellence in 2011. He is an Associate Editor for Econometric Theory and Journal of Econometrics. Aman Ullah is a Distinguished Professor and Chair in the Department of Economics at the University of California, Riverside. He received his Ph.D. in economics from the Delhi School of Economics at University of Delhi, India. Dr. Ullah is currently a member of the editorial boards of Econometric Reviews, Empirical Analysis, and Journal of Quantitative Economics, among others.