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The np Package

By Tristen Hayfield, Eth Zürich and Jeffrey S. Racine

Abstract

We describe the R np package via a series of applications that may be of interest to applied econometricians. This vignette is based on Hayfield and Racine (2008). 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

Topics: nonparametric, semiparametric, kernel smoothing, categorical data
Year: 2010
OAI identifier: oai:CiteSeerX.psu:10.1.1.180.1329
Provided by: CiteSeerX
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