The Smooth Colonel Meets the Reverend
AbstractKernel smoothing techniques have attracted much attention and some notoriety in recent years. The attention is well deserved as kernel methods free researchers from having to impose rigid parametric structure on their data. The notoriety arises from the fact that the amount of smoothing (i.e., local averaging) that is appropriate for the problem at hand is under the control of the researcher. In this paper we provide a deeper understanding of kernel smoothing methods for discrete data by leveraging the unexplored links between hierarchical Bayesmodels and kernelmethods for discrete processes. A number of potentially useful results are thereby obtained, including bounds on when kernel smoothing can be expected to dominate non-smooth (e.g., parametric) approaches in mean squared error and suggestions for thinking about the appropriate amount of smoothing.
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Bibliographic InfoPaper provided by Cornell University, Center for Analytic Economics in its series Working Papers with number 08-01.
Date of creation: May 2008
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- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Ouyang, Desheng & Li, Qi & Racine, Jeffrey S., 2009. "Nonparametric Estimation Of Regression Functions With Discrete Regressors," Econometric Theory, Cambridge University Press, vol. 25(01), pages 1-42, February.
- Li, Qi & Racine, Jeff, 2003. "Nonparametric estimation of distributions with categorical and continuous data," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 266-292, August.
- Peter Hall & Jeff Racine & Qi Li, 2004. "Cross-Validation and the Estimation of Conditional Probability Densities," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1015-1026, December.
- Qi Li & Esfandiar Maasoumi & Jeffrey S. Racine, 2008.
"A Nonparametric Test for Equality of Distributions with Mixed Categorical and Continuous Data,"
0805, Department of Economics, Emory University (Atlanta).
- Li, Qi & Maasoumi, Esfandiar & Racine, Jeffrey S., 2009. "A nonparametric test for equality of distributions with mixed categorical and continuous data," Journal of Econometrics, Elsevier, vol. 148(2), pages 186-200, February.
- Nicholas M. Kiefer & Jeffrey S. Racine, 2013. "The Smooth Colonel and the Reverend Find Common Ground," Department of Economics Working Papers 2013-03, McMaster University.
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