Professor Yatchew's Home Page

Adonis Yatchew

Contact information

Department of Economics

University of Toronto

Sidney Smith Hall

100 St. George St., Room 4072

Toronto M5S 3G3

Editor-in-Chief, The Energy Journal

Tel: (416) 978-7128
Fax: (416) 978-6713
Email: yatchew@chass.utoronto.ca

Teaching

Eco 1011 Ph.D. Math-Stats Review

- Syllabus

- Problems and Readings (Username: yatchew)

Eco 2400S Econometrics II, Ph.D.

- Syllabus

- Problems and Readings (Username: yatchew)

Eco 2403S Special Topics in Econometrics

- Syllabus

Recent Research

Nonparametric Least Squares Estimation in Derivative Families, with Peter Hall.
Nonparametric Estimation When Data on Derivatives are Available, with Peter Hall (2007), Annals of Statistics, 35:1, 300-323.
International Welfare Comparisons and Nonparametric Testing of Multivariate Stochastic Dominance, with B. McCaig (2006), forthcoming, Journal of Applied Econometrics.
Socio-demographic Influences on Food Purchasing Among Canadian Households, with L. Ricciuto, and V. Tarasuk, (2006), European Journal of Clinical Nutrition, 60:6, 778-790.
Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap with Wolfgang Haerdle (2006), Journal of Econometrics, 133:2, 579-599.
Unified Approach to Testing Functional Hypotheses In Semiparametric Contexts, with Peter Hall, (2005), Journal of Econometrics, 127, 225-252.
Efficient Estimation of Semi-parametric Equivalence Scales With Evidence From South Africa , with Yiguo Sun and Catherine Deri, Journal of Economic and Business Statistics, (2003), 21, 247-257, Working Paper Version
Household Gasoline Demand in Canada, with Joungyeo Angela No, (2001) Econometrica, 69, 1697-1710.
Scale Economies in Electricity Distribution: A Semiparametric Analysis, (2000) Journal of Applied Econometrics, 15, 187-210.
Differencing Methods in Nonparametric Regression : Simple Techniques for the Applied Econometrician, (1999)
An Elementary Nonparametric Differencing Test of Equality of Regression Functions, (1999), Economics Letters, 271-8.
Nonparametric Regression Techniques in Economics, (1998), Journal of Economic Literature, 36, 669-721.
An Elementary Estimator of the Partial Linear Model, (1997), Economics Letters, 57, 135-43. See also Vol. 59, 1998 403-5.
Nonparametric Least Squares Estimation and Testing of Economic Models with Len Bos (1997), Journal of Quantitative Economics, 13, 81-131.

Policy Analysis and Energy

Hydro One Transmission and Distribution: Should They Remain Combined Or Be Separated , with Stephen C. Littlechild (2002)
Incentive Regulation of Distributing Utilities Using Yardstick Competition, (2001), Electricity Journal, 56-60.
For interesting articles on energy, see The Energy Journal.

Monograph: Semiparametric Regression for the Applied Econometrician, (2003),in Themes in Modern Econometrics, ed. P.C.B. Phillips, Cambridge University Press. Download introduction. The book is available from Cambridge University Press web at www.cup.org in North America and www.cambridge.org elsewhere. The paperback and hardback ISBN numbers are 0-521-01226-0 and 0-521-81283-6 respectively.

There has been an explosion in nonparametric regression techniques in statistics and econometrics, yet the use of these tools by applied economists has been much more limited. The motivation and purpose of this book is to provide an accessible collection of techniques for analyzing nonparametric and semiparametric models. We focus on nonparametric regression, partial linear and index models which collectively capture the dominant share in the applied semiparametric literature.

One of the themes is the idea of differencing which permits the removal of nonparametric effects from the data in order to estimate parametric effects. The estimated parametric effects are in turn removed from the original data and the nonparametric effects are analyzed. The differencing device allows one to draw not only on the reservoir of parametric human capital, but also to make use of existing software.

A variety of testing procedures are covered including simple goodness of fit tests and residual regression tests. These procedures can be used to test hypotheses such as parametric and semiparametric specification, significance, monotonicity and additive separability. Other topics include endogeneity of parametric and nonparametric effects, as well as heteroskedasticity and autocorrelation in the residuals. Bootstrap procedures are provided.

Worked examples include estimation of Engel curves and equivalence scales, household gasoline consumption, scale economies, semiparametric Cobb-Douglas, translog and CES cost functions, hedonic housing prices, option prices and state price density estimation. The book should be of interest to a broad range of economists including those working in industrial organization, labor, development, urban, energy and financial economics.

Programs (most of which are in S-Plus) and data for all exercises and examples in the book are available below. The data sets and programs are offered in conjunction with the title and are for private use only. Reposting, republishing or other usage or circulation is not permitted without the express written consent of the author.

Programs

Data