A Bistochastic Nonparametric Estimator
AbstractWe explore the relevance of adopting a bistochastic nonparametric estimator. This estimator has two main implications. First, the estimator reduces variability according to the robust criterion of second-order stochastic (and Lorenz) dominance. This is a universally criterion in risk and welfare economics, which expands the applicability of nonparametric estimation in economics, for instance to the measurement of economic discrimination. Second, the bistochastic estimator produces smaller errors than do positive-weights nonparametric estimators, in terms of the bias-variance trade-off. This result is verified in a general simulation exercise. This improvement is due to a significant reduction in boundary bias, which makes the estimator itself useful in empirical applications. Finally, consistency, preservation of the mean value, and multidimensional extension are some other useful properties of this estimator.
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Bibliographic InfoPaper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2004/22.
Length: 28 pages
Date of creation: 2004
Date of revision:
nonparametric estimation; second-order stochastic dominance; bistochastic estimator;
Find related papers by JEL classification:
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
- R13 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General Equilibrium and Welfare Economic Analysis of Regional Economies
- R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-09 (All new papers)
- NEP-ECM-2004-05-09 (Econometrics)
- NEP-GEO-2004-05-09 (Economic Geography)
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