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Regression towards the mode

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  • Kemp, Gordon C.R.
  • Santos Silva, J.M.C.

Abstract

We propose a semi-parametric mode regression estimator for the case in which the dependent variable has a continuous conditional density with a well-defined global mode. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 170 (2012)
Issue (Month): 1 ()
Pages: 92-101

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Handle: RePEc:eee:econom:v:170:y:2012:i:1:p:92-101

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Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Conditional mode; Density estimation; Normal kernel; Robust regression;

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References

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  11. Gordon C.R. Kemp & J.M.C. Santos Silva, 2010. "Regression towards the mode," Economics Discussion Papers 686, University of Essex, Department of Economics.
  12. Baldauf, Markus & Santos Silva, J.M.C., 2012. "On the use of robust regression in econometrics," Economics Letters, Elsevier, vol. 114(1), pages 124-127.
  13. Peter Hall & Jeff Racine & Qi Li, 2004. "Cross-Validation and the Estimation of Conditional Probability Densities," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1015-1026, December.
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  26. M'hamed Ezzahrioui & Elias Ould Saïd, 2010. "Some asymptotic results of a non-parametric conditional mode estimator for functional time-series data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(2), pages 171-201.
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Citations

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Cited by:
  1. Kemp, Gordon C.R. & Santos Silva, J.M.C., 2012. "Regression towards the mode," Journal of Econometrics, Elsevier, vol. 170(1), pages 92-101.
  2. Hyun Kim & Yong-seong Kim & Myoung-jae Lee, 2012. "Treatment effect analysis of early reemployment bonus program: panel MLE and mode-based semiparametric estimator for interval truncation," Portuguese Economic Journal, Springer, vol. 11(3), pages 189-209, December.
  3. Baldauf, Markus & Santos Silva, J.M.C., 2012. "On the use of robust regression in econometrics," Economics Letters, Elsevier, vol. 114(1), pages 124-127.
  4. Lv, Zhike & Zhu, Huiming & Yu, Keming, 2014. "Robust variable selection for nonlinear models with diverging number of parameters," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 90-97.

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