Nonparametric estimation in economics: Bayesian and frequentist approaches. (14th August 2017)

• Record Type: Journal Article
• Authors: Chan, Joshua C. C.; Henderson, Daniel J.; Parmeter, Christopher F.; Tobias, Justin L.
• Is Part Of: Wiley interdisciplinary reviews. Volume 9:Number 6(2017)
• Page Start: n/a
• Page End: n/a
• Publication Date: 2017-08-14
• Subjects: Bayesian -- Kernel -- Semiparametric -- Nonparametric; Mathematical statistics -- Data processing -- Periodicals; Science -- Data processing -- Periodicals; Social sciences -- Data processing -- Periodicals; Mathematical statistics -- Periodicals; 519.50285
• DOI: 10.1002/wics.1406
• Languages: English
• ISSNs: 1939-5108

Abstract

Abstract : We review Bayesian and classical approaches to nonparametric density and regression estimation and illustrate how these techniques can be used in economic applications. On the Bayesian side, density estimation is illustrated via finite Gaussian mixtures and a Dirichlet Process Mixture Model, while nonparametric regression is handled using priors that impose smoothness. From the frequentist perspective, kernel‐based nonparametric regression techniques are presented for both density and regression problems. Both approaches are illustrated using a wage dataset from the Current Population Survey. WIREs Comput Stat 2017, 9:e1406. doi: 10.1002/wics.1406 This article is categorized under: Statistical and Graphical Methods of Data Analysis > Bayesian Methods and Theory Statistical and Graphical Methods of Data Analysis > Density Estimation Statistical and Graphical Methods of Data Analysis > Nonparametric Methods Abstract : Classical and Bayesian methods for flexibly modeling density and regression functions are reviewed and employed, highlighting their value in economic applications.