Non- and semi-parametric estimation in models with unknown smoothness
AbstractMany 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 93 (2006)
Issue (Month): 3 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Yulia Kotlyarova & Victoria Zinde-Walsh, 2006. "Non And Semi-Parametric Estimation In Models With Unknown Smoothness," Departmental Working Papers 2006-15, McGill University, Department of Economics.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
- Pagan,Adrian & Ullah,Aman, 1999.
Cambridge University Press, number 9780521586115, October.
- Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1172-1196, October.
- 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.
- Bertille Antoine & Eric Renault, 2012.
"Efficient Minimum Distance Estimation with Multiple Rates of Convergence,"
dp12-03, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Renault, Eric, 2012. "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
- Victoria Zinde-Walsh & Marcia M.A. Schafgans, 2007.
"Robust Average Derivative Estimation,"
Departmental Working Papers
2007-12, McGill University, Department of Economics.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.