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Non And Semi-Parametric Estimation In Models With Unknown Smoothness

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  • Yulia Kotlyarova

    ()

  • Victoria Zinde-Walsh

    ()

Abstract

Many asymptotic results for kernel-based estimators were established under some smoothness assumption on density. For cases where smoothness assumptions that are used to derive unbiasedness or asymptotic rate may not hold we propose a combined estimator that could lead to the best available rate without knowledge of density smoothness. A Monte Carlo example confirms good performance of the combined estimator.

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File URL: http://www.mcgill.ca/files/economics/nonandsemiparametric.pdf
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Bibliographic Info

Paper provided by McGill University, Department of Economics in its series Departmental Working Papers with number 2006-15.

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Length: 10 pages
Date of creation: Sep 2006
Date of revision:
Handle: RePEc:mcl:mclwop:2006-15

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  1. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
  2. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115, April.
  3. Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1172-1196, October.
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Cited by:
  1. Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde‐Walsh, 2011. "Adapting kernel estimation to uncertain smoothness," LSE Research Online Documents on Economics 42015, London School of Economics and Political Science, LSE Library.
  2. Xiaohong Chen & David T. Jacho-Chavez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers CWP26/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Antoine, Bertille & Renault, Eric, 2012. "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, vol. 170(2), pages 350-367.
  4. D. F. Benoit & D. Van Den Poel, 2010. "Binary quantile regression: A Bayesian approach based on the asymmetric Laplace density," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/662, Ghent University, Faculty of Economics and Business Administration.
  5. SCHAFGANS, Marcia M.A. & ZINDE-WALSH, Victoria, 2007. "Robust Average Derivative Estimation," Cahiers de recherche 12-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

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