Kies de Nederlandse taal
Course module: 230348-M-3
Non- and Semiparametric Econometrics (CentER)
Course info
Course module230348-M-3
Credits (ECTS)3
CategoryMA (Master)
Course typeCourse
Language of instructionEnglish
Offered byTilburg University; Tilburg School of Economics and Management; TiSEM: Econometrics and OR; Econometrics & Operations;
Is part of
M Research Master in Economics
dr. P. Cizek
Other course modules lecturer
prof. dr. J.H.J. Einmahl
Other course modules lecturer
Academic year2020
Starting block
SM 1
Course mode
RemarksCaution: this information is subject to change
Registration openfrom 25/08/2020 up to and including 20/08/2021
This course serves as an introduction to nonparametric estimation of the density, distribution, and regression functions and their uses in econometrics. The course consists of two parts: the first part covers various concepts of nonparametric estimation with a special focus on kernel estimation. In the second part, semiparametric estimation using nonparametric estimators as tools for estimating (partially) unknown density or regression functions is discussed. The properties and use of auxiliary nonparametric estimators within least squares, M-estimation, and generalized method of moments are studied theoretically and in the context of typical econometric applications.


All non-CentER students should ask formal permission from the Director of Graduate Studies in Economics BEFORE the start of the course.
Please send your request for permission including grade list, CV and motivation letter to CentER Graduate School at Note that asking permission is not just a formality.

Required Prerequisites

A solid background in econometrics and statistics, such as Econometrics 1, 2 and 3 in the CentER Research Master Economics year 1 program
  • Introduction to nonparametric estimation
  • (Kernel) density estimation
  • Nonparametric regression, in particular kernel regression
  • Semiparametric M-estimation and GMM
  • Applications of semiparametric estimators (in linear and nonlinear regression, limited dependent variable models, time series, and panel data)

Type of instructions


Type of exams

written exam

Recommended Reading
  1. M.P. Wand and M.C. Jones, Kernel Smoothing, Chapman & Hall, London, 1995.
  2. J.L. Horowitz, Semiparametric and Nonparametric Methods in Econometrics, Springer, 2009.
  3. Q. Li and J.S. Racine, Nonparametric Econometrics: Theory and Practice, Princeton University Press, 2006.
  4. A. Pagan and A. Ullah, Nonparametric Econometrics, Cambridge University Press, 1999.
Course available for exchange students
Research Master level, conditions apply
Contact person
prof. dr. J.H.J. Einmahl
Timetable information
Non- and Semiparametric Econometrics (CentER)
Written test opportunities
Written test opportunities (HIST)
Schriftelijk / WrittenEXAM_01SM 1109-12-2020
Schriftelijk / WrittenEXAM_01SM 1215-01-2021
Required materials
Recommended materials

Kies de Nederlandse taal