Advanced Search
MyIDEAS: Login to save this article or follow this journal

Asymptotic Normality of a Combined Regression Estimator

Contents:

Author Info

  • Fan, Yanqin
  • Ullah, Aman

Abstract

In this paper, we propose a combined regression estimator by using a parametric estimator and a nonparametric estimator of the regression function. The asymptotic distribution of this estimator is obtained for cases where the parametric regression model is correct, incorrect, and approximately correct. These distributional results imply that the combined estimator is superior to the kernel estimator in the sense that it can never do worse than the kernel estimator in terms of convergence rate and it has the same convergence rate as the parametric estimator in the case where the parametric model is correct. Unlike the parametric estimator, the combined estimator is robust to model misspecification. In addition, we also establish the asymptotic distribution of the estimator of the weight given to the parametric estimator in constructing the combined estimator. This can be used to construct consistent tests for the parametric regression model used to form the combined estimator.

Download Info

If 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.
File URL: http://www.sciencedirect.com/science/article/B6WK9-45FKT2F-2/2/c36b432a5150d4d9ea490884b6ec8e0a
Download Restriction: Full text for ScienceDirect subscribers only

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 Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 71 (1999)
Issue (Month): 2 (November)
Pages: 191-240

as in new window
Handle: RePEc:eee:jmvana:v:71:y:1999:i:2:p:191-240

Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

Order Information:
Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=622892&ref=622892_01_ooc_1&version=01

Related research

Keywords: asymptotic distribution convex combination kernel estimation model specification testing parametric estimation semiparametric estimation;

References

References listed on IDEAS
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.:
as in new window
  1. Lavergne, Pascal & Vuong, Quang H, 1996. "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, Econometric Society, Econometric Society, vol. 64(1), pages 207-19, January.
  2. Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(02), pages 316-356, June.
  3. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1065, Cowles Foundation for Research in Economics, Yale University.
  4. Ullah, A. & Vinod, H.D., 1992. ""General Nonparametric Regression Estimation and Testing in Econometrics"," The A. Gary Anderson Graduate School of Management, The A. Gary Anderson Graduate School of Management. University of California Riverside 92-34, The A. Gary Anderson Graduate School of Management. University of California Riverside.
  5. de Jong, Peter, 1990. "A central limit theorem for generalized multilinear forms," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 34(2), pages 275-289, August.
  6. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, Econometric Society, vol. 64(4), pages 865-90, July.
  7. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 14(1), pages 1-16, February.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. El Ghouch, Anouar & Genton, Marc G., 2009. "Local Polynomial Quantile Regression With Parametric Features," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 104(488), pages 1416-1429.
  2. Adolfo Maza, 2006. "Wage flexibility and the EMU: a nonparametric and semiparametric analysis for the Spanish case," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(11), pages 733-736.
  3. Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010. "Combining Nonparametric and Optimal Linear Time Series Predictions," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
  4. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers, Singapore Management University, School of Economics 11-2014, Singapore Management University, School of Economics.
  5. Chambers, Dustin & Wu, Ying & Yao, Hong, 2008. "The impact of past growth on poverty in Chinese provinces," Journal of Asian Economics, Elsevier, vol. 19(4), pages 348-357, August.
  6. Chambers, Dustin, 2007. "Trading places: Does past growth impact inequality?," Journal of Development Economics, Elsevier, vol. 82(1), pages 257-266, January.
  7. Yan Li & Liangjun Su & Yuewu Xu, 2014. "A Combined Approach to the Inference of Conditional Factor Models," Working Papers, Singapore Management University, School of Economics 10-2014, Singapore Management University, School of Economics.
  8. Emma M. Iglesias & Oliver Linton, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," Economics Working Papers we094726, Universidad Carlos III, Departamento de Economía.
  9. Dustin Chambers, 2005. "Inequality and Growth: A Semiparametric Investigation," Computing in Economics and Finance 2005, Society for Computational Economics 132, Society for Computational Economics.
  10. Clemente Hernandez-Rodriguez, 2005. "Is the market concentration and interest-rates relationship in the Mexican commercial banking industry a sign of efficiency?," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 1(2), pages 7-38, Enero - J.
  11. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
  12. Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, Open Access Journal, vol. 1(2), pages 157-179, September.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:71:y:1999:i:2:p:191-240. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

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.