Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically
AbstractWe introduce a new kernel smoother for nonparametric regression that uses prior information on regression shape in the form of a parametric model. In effect, we nonparametrically encompass the parametric model. We derive pointwise and uniform consistency and the asymptotic distribution of our procedure. It has superior performance to the usual kernel estimators at or near the parametric model. It is particularly well motivated for binary data using the probit or logit parametric model as a base. We include an application to the Horowitz (1993) transport choice dataset.
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.
Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1075.
Length: 41 pages
Date of creation: Aug 1994
Date of revision:
Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Find related papers by JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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.:
- Hardle, W., 1992.
"Applied Nonparametric Methods,"
9206, Tilburg - Center for Economic Research.
- Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
- HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
- Hardle, W., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
- Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-81, November.
- Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
- Douglas A. McManus, 1994. "Making the Cobb-Douglas functional form an efficient nonparametric estimator through localization," Finance and Economics Discussion Series 94-31, Board of Governors of the Federal Reserve System (U.S.).
- Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
- Oliver LINTON, .
"Applied nonparametric methods,"
Statistic und Oekonometrie
9312, Humboldt Universitaet Berlin.
- Horowitz, Joel L., 1993. "Semiparametric estimation of a work-trip mode choice model," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 49-70, July.
- Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
- Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
- Mittelhammer, Ronald C. & Judge, George G, 2008.
"A minimum power divergence class of CDFs and estimators for binary choice models,"
CUDARE Working Paper Series
1059, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
- Mittelhammer, Ron C Dr. & Judge, George G., 2008. "A Minimum Power Divergence Class of CDFs and Estimators for Binary Choice Models," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt7bc2828q, Department of Agricultural & Resource Economics, UC Berkeley.
- Arthur Lewbel, 2004.
"Estimation of Average Treatment Effects With Misclassification,"
Econometric Society 2004 North American Winter Meetings
210, Econometric Society.
- Arthur Lewbel, 2007. "Estimation of Average Treatment Effects with Misclassification," Econometrica, Econometric Society, vol. 75(2), pages 537-551, 03.
- Arthur Lewbel, 2003. "Estimation of Average Treatment Effects With Misclassification," Boston College Working Papers in Economics 556, Boston College Department of Economics, revised 04 Sep 2006.
- Mittelhammer, Ron C. & Judge, George, 2011. "A family of empirical likelihood functions and estimators for the binary response model," Journal of Econometrics, Elsevier, vol. 164(2), pages 207-217, October.
- Bossaerts, Peter & Hillion, Pierre, 1997.
"Local parametric analysis of hedging in discrete time,"
Journal of Econometrics,
Elsevier, vol. 81(1), pages 243-272, November.
- Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 1995-23, Tilburg University, Center for Economic Research.
- Rosa Bernardini Papalia, 1999. "Local generalized method of moments estimation based on kernel weights: An application to panel data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(8), pages 1005-1015.
- Gozalo, Pedro L., 1997. "Nonparametric bootstrap analysis with applications to demographic effects in demand functions," Journal of Econometrics, Elsevier, vol. 81(2), pages 357-393, December.
- Arthur Lewbel & Oliver Linton, 2007.
"Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions,"
Econometric Society, vol. 75(4), pages 1209-1227, 07.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Boston College Working Papers in Economics 585, Boston College Department of Economics, revised 04 Sep 2006.
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric Estimation of Homothetic and Homothetically Separable Functions,"
STICERD - Econometrics Paper Series
/2003/461, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," CeMMAP working papers CWP14/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames).
If references are entirely missing, you can add them using this form.