A Class of Improved Parametrically Guided Nonparametric Regression Estimators
AbstractIn this article we define a class of estimators for a nonparametric regression model with the aim of reducing bias. The estimators in the class are obtained via a simple two-stage procedure. In the first stage, a potentially misspecified parametric model is estimated and in the second stage the parametric estimate is used to guide the derivation of a final semiparametric estimator. Mathematically, the proposed estimators can be thought as the minimization of a suitably defined Cressie-Read discrepancy that can be shown to produce conventional nonparametric estimators, such as the local polynomial estimator, as well as existing two-stage multiplicative estimators, such as that proposed by Glad (1998). We show that under fairly mild conditions the estimators in the proposed class are [image omitted] asymptotically normal and explore their finite sample (simulation) behavior.
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 Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 27 (2008)
Issue (Month): 4-6 ()
Contact details of provider:
Web page: http://www.tandfonline.com/LECR20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jiti Gao, 2012. "Identification, Estimation and Specification in a Class of Semiparametic Time Series Models," Monash Econometrics and Business Statistics Working Papers 6/12, Monash University, Department of Econometrics and Business Statistics.
- George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song, 2013. "Domestic and outbound tourism demand in Australia: a System-of-Equations Approach," Monash Econometrics and Business Statistics Working Papers 6/13, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti, 2012. "Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models," MPRA Paper 39256, University Library of Munich, Germany, revised 14 May 2012.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.