This chapter reviews recent advances in nonparametric and semiparametric estimation, with an emphasis on applicability to empirical research and on resolving issues that arise in implementation. It considers techniques for estimating densities, conditional mean functions, derivatives of...

This paper presents the limiting distribution theory for the GMM estimator when the estimation is based on a population moment condition which is subject to non--local (or fixed) misspecification. It is shown that if the parameter vector is overidentified then the weighting matrix plays a far...