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The approximate distribution of nonparametric regression estimates

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  • Robinson, P. M.
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    Abstract

    An improved normal approximation is obtained for the joint distribution of kernel nonparametric regression estimates, in the presence of arbitrarily many stochastic regressors and heteroscedastic but conditionally normal errors. The approximation and its goodness are affected by kernel choice and bandwidth rate.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-3YCMVD9-W/2/d825c4edbd7f1114db07ff13ce2ae731
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 23 (1995)
    Issue (Month): 2 (May)
    Pages: 193-201

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    Handle: RePEc:eee:stapro:v:23:y:1995:i:2:p:193-201

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    Related research

    Keywords: Nonparametric regression Stochastic regressors Kernel estimates Higher-order approximate distribution Optimal bandwidth Higher-order kernel;

    References

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    1. Härdle, Wolfgang, 1984. "Robust regression function estimation," Journal of Multivariate Analysis, Elsevier, vol. 14(2), pages 169-180, April.
    2. Mack, Y.P. & Mu¨ller, Hans-Georg, 1987. "Adaptive nonparametric estimation of a multivariate regression function," Journal of Multivariate Analysis, Elsevier, vol. 23(2), pages 169-183, December.
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    Cited by:
    1. Peter M Robinson & Carlos Velasco, 2000. "Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539," STICERD - Econometrics Paper Series /2000/390, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Liudas Giraitis & Peter Robinson, 2002. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 2130, London School of Economics and Political Science, LSE Library.
    3. Carlos Velasco & Peter M. Robinson, 2001. "Edgeworth expansions for spectral density estimates and studentized sample mean," LSE Research Online Documents on Economics 315, London School of Economics and Political Science, LSE Library.
    4. L. Giraitis & P.M. Robinson, 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    5. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series /2002/438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

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