McMaster University - Department of Economics

Research Interests

Nonparametric estimation and inference, cross-validatory model selection, and entropy-based measures of dependence and their statistical underpinnings. I am also interested in parallel distributed computing paradigms and their application to computationally intensive nonparametric estimators.

Li, Q. and J. S. Racine (2007), Nonparametric Econometrics: Theory and Practice, Princeton University Press, ISBN: 0691121613, 768 Pages

Table of contents (pdf)

A solutions manual containing code and answers to all questions is available to instructors upon request. To receive a copy kindly email me a PDF of your course syllabus along with your mailing address.

An edited version of this monograph is reprinted in Russian and appears as follows:

The np package (current version 0.30-3) for R (www.r-project.org)

Obtaining: Available directly from the Comprehensive R Archive Network (cran .r-project.org)

Direct link to the np package on CRAN

Announcement on the R-packages mailing list

October 2007 Rnews article (pdf)

Manual (pdf)

Vignette (pdf)

FAQ (pdf) (html)

Li, Q and, J. S. Racine (forthcoming), "Smooth Varying-Coefficient Estimation and Inference for Qualitative and Quantitative Data," Econometric Theory.

Racine, J.S., (2009), "Nonparametric and Semiparametric Methods in R," Advances in Econometrics: Nonparametric Econometric Methods, Elsevier Science, Volume 25, 335-375.

Li, C., D. Ouyang and J.S. Racine (2009), "Nonparametric Regression with Weakly Dependent Data: The Discrete and Continuous Regressor Case," Journal of Nonparametric Statistics. Volume 21, Number 6, pp. 697-711.

Kiefer, N.M. and J.S. Racine (2009), "The Smooth Colonel Meets the Reverend," Journal of Nonparametric Statistics, Volume 21, Issue 5, pp 521-533.

Li, Q., J. S. Racine, and J. M. Woodridge (2009), "Efficient Estimation of Average Treatment Effects With Mixed Categorical and Continuous Data,'' Journal of Business and Economic Statistics, Volume 27, Number 2, pp 203-223

Li, Q., E. Maasoumi, and J.S. Racine (2009), "A Nonparametric Test for Equality of Distributions with Mixed Categorical and Continuous Data," Journal of Econometrics, Volume 148, Issue 2, pp. 101-200.

Ouyang, D., Q. Li and J. S. Racine (2009), "Nonparametric Estimation of Regression Functions with Discrete Regressors," Econometric Theory, Volume 25, Issue 01, pp 1-42.

Maasoumi, E. and J. S. Racine (2009), "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Econometric Reviews, Volume 28, pp 246 - 261.

Meredith, E. and J.S. Racine (2009), “Towards Reproducible Econometric Research: The Sweave Framework,” Journal of Applied Econometrics, Volume 24, pp 366-374.

Li, Q. and J. S. Racine (2008), "Nonparametric Estimation of Conditional CDF and Quantile Functions with Mixed Categorical and Continuous Data," Journal of Business and Economic Statistics, Volume 26, Number 4, pp. 423-434.

Hayfield, T. and J. S. Racine (2008), "Nonparametric Econometrics: The np Package," Journal of Statistical Software, Volume 27, Number 5, http://www.jstatsoft.org/v27/i05/ .

Li, J. and J.S. Racine (2008), "Maxima: An Open Source Computer Algebra System," Journal of Applied Econometrics, Volume 23, Issue 4, pp 515-523.

Li, Q., J.S. Racine, and J. Wooldridge (2008), "Estimating Average Treatment Effects with Continuous and Discrete Covariates: The Case of Swan-Ganz Catherization," American Economic Review, Volume 98, Number 2, pp. 357-62.

Hall, P., Q. Li, and J. S. Racine (2007), "Nonparametric Estimation of Regression Functions in the Presence of Irrelevant Regressors," Review of Economics and Statistics, Volume 89, Issue 4, pp 784-789.

Hayfield, T. and J. S. Racine (2007), "The np Package," RNews, Volume 7, pp 36-43.

Hsiao, C., Q. Li, and J. S. Racine (2007), "A Consistent Model Specification Test with Mixed Categorical and Continuous Data," Journal of Econometrics, Volume 140, Issue 2, pp 802-826.

Racine, J. S. and J. G. MacKinnon (2007), "Inference via Kernel Smoothing of Bootstrap P Values," Computational Statistics and Data Analysis, Volume 51, Issue 12, pp 5949-5957.

Racine, J. S. and E. Maasoumi (2007), "A Versatile and Robust Metric Entropy Test of Time Reversability and Other Hypotheses," Journal of Econometrics, Volume 138, pp 547-567.

Racine, J. S. and J. G. MacKinnon (2007), "Simulation-Based Tests that Can Use Any Number of Simulations," Communications in Statistics, Volume 36, Issue 2, pp 357-365.

Maasoumi, E. and J. S. Racine and T. Stengos (2007), "Growth and Convergence: A profile of Distribution Dynamics and Mobility," Journal of Econometrics, Volume 136, pp 483-508.

Racine, J. S. and J. Hart and Q. Li (2006), "Testing the Significance of Categorical Predictor Variables in Nonparametric Regression Models," Econometric Reviews, Volume 25, Issue 4, pages 523-544.

Chakrabarty, M., Schmalenbach, A., and J. S. Racine (2006), "On the Distributional Effects of Income in an Aggregate Consumption Relation," Canadian Journal of Economics, Volume 39, pp 1221-1243.

Racine, J. S. (2006), "gnuplot4.0: A Portable Interactive Plotting Utility," Journal of Applied Econometrics, Volume 21, Issue 1, pp 133-141.

Gyimah-Brempong, K. and J. S. Racine (2006), "Alcohol Availability and Crime: A Robust Approach," Applied Economics, Volume 38, pp 1293-1307.

Racine, J. S. and A. Ker (2006), "Rating Crop Insurance Policies with Efficient Nonparametric Estimators that admit Mixed Data Types," Journal of Agricultural and Resource Economics, Volume 31, Number 1, pp 27-39.

Ouyang, D., Q. Li, and J.S. Racine (2006), "Cross-Validation and the Estimation of Probability Distributions with Categorical Data." Journal of Nonparametric Statistics, Volume 18, Number 1, pp 69-100.

Racine, J. S. and A. Ullah (2006), "Nonparametric Econometrics," Palgrave Handbook of Econometrics: Volume 1, Theoretical Econometrics.

Racine, J.S. (2005), "Finite Sample Econometrics by Aman Ullah," Economic Record, Volume 82, Issue 1, pp 94-95.

Racine, J.S., Q. Li., and X. Zhu (2004), "Kernel Estimation of Multivariate Conditional Distributions," Annals of Economics and Finance, Volume 5, Number 2, pp 211-235.

Hall, P., J.S. Racine, and Q. Li (2004), "Cross-Validation and the Estimation of Conditional Probability Densities," Journal of the American Statistical Association, Volume 99, Number 486, pp 1015-1026.

Li, Q., and J.S. Racine (2004), "Predictor Relevance and Extramarital Affairs," Journal of Applied Econometrics, July/August, Volume 19, Number 4, pp 533-535.

Granger, C. and E. Maasoumi and J. S. Racine (2004) , "A Dependence Metric for Possibly Nonlinear Time Series," Journal of Time Series Analysis, Volume 25, Number 5, pp 649-669.

Li, Q. and J. S. Racine (2004), "Cross-Validated Local Linear Nonparametric Regression," Statistica Sinica, Volume 14, Number 2, pp 485-512.

Racine, J. S. and Q. Li (2004), "Nonparametric Estimation of Regression Functions With Both Catagorical and Continuous Data," Journal of Econometrics, Volume 119, Issue 1, pp 99-130.

Jeffrey S. Racine

Senator William McMaster Chair in Econometrics
Professor, Department of Economics
Professor, Graduate Program in Statistics, Department of Mathematics and Statistics
Ph.D. University of Western Ontario 1989

Jeffrey S. Racine

Senator William McMaster Chair in Econometrics Professor, Department of Economics Professor, Graduate Program in Statistics, Department of Mathematics and Statistics Ph.D. University of Western Ontario 1989

Senator William McMaster Chair in Econometrics
Professor, Department of Economics
Professor, Graduate Program in Statistics, Department of Mathematics and Statistics
Ph.D. University of Western Ontario 1989