Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
AbstractWe consider nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. Most of the existing works on asymptotic distributions of a nonparametric/semiparametric estimator or a test statistic are based on some deterministic smoothing parameters, while in practice it is important to use data-driven methods to select the smoothing parameters. In this paper we give a simple sufficient condition that can be used to establish the first order asymptotic equivalence of a nonparametric estimator or a test statistic with stochastic smoothing parameters to those using deterministic smoothing parameters. We also allow for general weakly dependent data.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 157 (2010)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/jeconom
Smoothing parameters Data-driven Cross-validation Asymptotic equivalence;
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