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Non- and semi-parametric estimation in models with unknown smoothness

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  • Kotlyarova, Yulia
  • Zinde-Walsh, Victoria

Abstract

Many asymptotic results for kernel-based estimators were established under some smoothness assumption on density. For cases where smoothness assumptions that are used to derive unbiasedness or asymptotic rate may not hold we propose a combined estimator that could lead to the best available rate without knowledge of density smoothness. A Monte Carlo example confirms good performance of the combined estimator.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 93 (2006)
Issue (Month): 3 (December)
Pages: 379-386

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Handle: RePEc:eee:ecolet:v:93:y:2006:i:3:p:379-386

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  1. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643.
  2. Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1172-1196, October.
  3. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
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Cited by:
  1. Bertille Antoine & Eric Renault, 2012. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers dp12-03, Department of Economics, Simon Fraser University.
  2. D. F. Benoit & D. Van Den Poel, 2010. "Binary quantile regression: A Bayesian approach based on the asymmetric Laplace density," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/662, Ghent University, Faculty of Economics and Business Administration.
  3. Yulia Kotlyarova & Marcia M Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," STICERD - Econometrics Paper Series /2011/557, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. Xiaohong Chen & David T. Jacho-Chavez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers CWP26/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Victoria Zinde-Walsh & Marcia M.A. Schafgans, 2007. "Robust Average Derivative Estimation," Departmental Working Papers 2007-12, McGill University, Department of Economics.

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