Semiparametric and Nonparametric Methods in Political Science (Spring 2010)

Lecture 1 - Semiparametric Methods (March 26, 2010)
Lecture 1 Slides
R Script for Monte Carlo Simulations
Terror Attack in Israel Data (Excel) (Stata) (EViews)
R Script for Terror Data
R Sandwich Package (Article in Journal of Statistical Software)
Cluster Sample Methods in Applied Econometrics: An Extended Analysis
Newey, Whitney K., and Kenneth D. West (1987). A Simple Positive Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55:703-708.
Andrews, Donald W.K. (1991). Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica 59:817-858.
Andrews, Donald W.K., and J. Christopher Monahan (1992). An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator. Econometrica 60:953-966.
Newey, Whitney K., and Kenneth D. West (1994). Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies 61:631-653.

Lecture 2 - Density Estimation (April 2, 2010)
Lecture 2 Slides
R Script for Kernel Density Estimation
Senate Elections Data (Excel)
Silverman, Bernard (1986). Density Estimation for Statistics and Data Analysis. Chapman and Hall.
Pagan, Adrian, and Amman Ullah (1999). Nonparametric Econometrics. Cambridge University Press.

Lecture 3 - Applications of Nonparametric Techniques (April 9, 2010)
Lecture 3 Slides
R Script for Kernel Regression
R Script for Kernel Semiparametric Binary Choice
American National Election Study Data (2004)
Härdle, W. (1992). Applied Nonparametric Regression. Cambridge University Press.
Hall, Peter, and Adonis Yatchew (2005). Unified Approach to Testing Functional Hypotheses in Semiparametric Contexts. Journal of Econometrics 127:225-252.
Ichimura, Hidehiko, and Petra Todd (2006). Implementing Nonparametric and Semiparametric Estimators. In Handbook of Econometrics, Volume 6.