This will be an reading seminar on nonparametric methods in econometrics. The initial focus of the course will be to develop some basic tools for asymptotics using the empirical process approach. The strategy will be to do a close reading of Devroye and Lugosi's (2000) book on density estimation. Note that contrary to the timetable indication {\it it will not deal with Bayesian methods in econometrics!} In addition to the readings and occasional data analytic exercises, students will be expected to write a 15-20 page paper on some aspect of the course material. Grades will be based primarily on these papers.