DGPE PhD course: Selection and Shrinkage in Nonparametric Regression

22-23 May 2017. Lecturer: Professor Bruce E. Hansen, University of Wisconsin-Madison

2017.03.17 | Solveig Nygaard Sørensen

Date Mon 22 May Tue 23 May
Time 10:11    16:30
Location Fuglesangs Allé 4, 8210 Aarhus V, building 2632(L), room 242

PhD course: Selection and Shrinkage in Nonparametric Regression

Lecturer: Bruce Hansen, Department of Economics, University of Wisconsin-Madison

This PhD course is aimed to teach cutting-edge theory and methods for estimation of nonparametric sieve regression.


Course content
The course will cover the theory and methods of nonparametric sieve regression with an emphasis on model selection, shrinkage, and model combination. The course will address the following issues:

1.       Specification of sieve regression models

2.       Asymptotic distribution theory for nonparametric sieve regression

3.       Confidence interval construction

4.       Selection methods for sieve regression: Mallows, AIC, Cross-Validation

5.       Theory of model selection for sieve regression

6.       Stein shrinkage methods and theory for regression models

7.       Averaging methods and theory for regression models


Learning outcome
After completing the course, the participants will be familiar with:

1.       Nonparametric sieve regression models

2.       Estimation and inference

3.       Selection of a sieve regression

4.       Shrinkage methods

5.       Model combination methods and theory


Please sign up in the link below no later than 17 May.

DGPE Courses