I am looking for a fairly recent treatment of non parametric econometric methods. Something which can help me make sense of, for instance Hausman Newey Econometrica 2016 I did find some references on cross validated, but they seem a bit dated for my use. I am not necessarily looking for a textbook, a good set of publicly available notes would do just fine. It would also be helpful if the reference can help me understand the implementation side of things (maybe using R?).
1 Answer
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Fairly recent, complete and very pedagogical textbooks, with a lot of codes available on R are:
Henderson, D. and C. Parmeter, 2015, Applied Nonparametric Econometrics, Cambridge University Press.
Racine, J., 2019, An Introduction to the Advanced Theory and Practice of Nonparametric Econometrics: A Replicable Approach Using R, Cambridge University Press.