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Regression towards the mode

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  • Gordon C.R. Kemp

    ()

  • J.M.C. Santos Silva

    ()

Abstract

We propose a semi-parametric mode regression estimator for the case in which the variate of interest is continuous and observable over its entire un- bounded support. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution. Simulation results and an empirical illustration are provided to highlight the practicality and usefulness of the estimator.

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Bibliographic Info

Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 686.

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Date of creation: 25 Feb 2010
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Handle: RePEc:esx:essedp:686

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  1. Markus Baldauf & J.M.C. Santos Silva, 2009. "On the use of robust regression in econometrics," Economics Discussion Papers 664, University of Essex, Department of Economics.
  2. Jonathan R. W. Temple, 1998. "Robustness tests of the augmented Solow model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(4), pages 361-375.
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  7. Lee, M.J., 1990. "Quadratic Mode Regression," Papers 9-90-10, Pennsylvania State - Department of Economics.
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  23. Pedro S. Martins & Gary Solon & Jonathan Thomas, 2010. "Measuring What Employers Really Do about Entry Wages over the Business Cycle," NBER Working Papers 15767, National Bureau of Economic Research, Inc.
  24. Bierens,Herman J., 1996. "Topics in Advanced Econometrics," Cambridge Books, Cambridge University Press, number 9780521565110.
  25. Gordon C.R. Kemp & J.M.C. Santos Silva, 2010. "Regression towards the mode," Economics Discussion Papers 686, University of Essex, Department of Economics.
  26. Jonathan Temple, 1999. "The New Growth Evidence," Journal of Economic Literature, American Economic Association, vol. 37(1), pages 112-156, March.
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Cited by:
  1. Hyun Kim & Yong-seong Kim & Myoung-jae Lee, 2012. "Treatment effect analysis of early reemployment bonus program: panel MLE and mode-based semiparametric estimator for interval truncation," Portuguese Economic Journal, Springer, vol. 11(3), pages 189-209, December.
  2. Lv, Zhike & Zhu, Huiming & Yu, Keming, 2014. "Robust variable selection for nonlinear models with diverging number of parameters," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 90-97.
  3. Markus Baldauf & J.M.C. Santos Silva, 2009. "On the use of robust regression in econometrics," Economics Discussion Papers 664, University of Essex, Department of Economics.
  4. Gordon C.R. Kemp & J.M.C. Santos Silva, 2010. "Regression towards the mode," Economics Discussion Papers 686, University of Essex, Department of Economics.

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