Spline Regression in the Presence of Categorical Predictors
AbstractWe consider the problem of estimating a relationship nonparametrically using regression splines when there exist both continuous and categorical predictors. We combine the global properties of regression splines with the local properties of categorical kernel functions to handle the presence of categorical predictors rather than resorting to sample splitting as is typically done to accommodate their presence. The resulting estimator possesses substantially better nite-sample performance than either its frequency-based peer or cross-validated local linear kernel regression or even additive regression splines (when additivity does not hold). Theoretical underpinnings are provided and Monte Carlo simulations are undertaken to assess nite-sample behavior, and two illustrative applications are provided. An implementation in R (R Core Team (2012)) is available; see the R package 'crs' for details (Racine & Nie (2012)).
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 McMaster University in its series Department of Economics Working Papers with number 2012-06.
Length: 32 pages
Date of creation: Aug 2012
Date of revision:
Contact details of provider:
Postal: 1280 Main Street West, Hamilton, Ontario, L8S 4M4
Phone: (905) 525-9140 ext. 22765
Fax: (905) 521-8232
Web page: http://www.economics.mcmaster.ca/
More information through EDIRC
This paper has been announced in the following NEP Reports:
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.:
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Liu, Rong & Yang, Lijian, 2010. "Spline-Backfitted Kernel Smoothing Of Additive Coefficient Model," Econometric Theory, Cambridge University Press, vol. 26(01), pages 29-59, February.
- Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
- Shujie Ma & Jeffrey S. Racine, 2012. "Additive Regression Splines With Irrelevant Categorical and Continuous Regressors," Department of Economics Working Papers 2012-07, McMaster University.
- Shintaro Yamaguchi, 2013.
"Changes in Returns to Task-Specific Skills and Gender Wage Gap,"
Global COE Hi-Stat Discussion Paper Series
gd12-275, Institute of Economic Research, Hitotsubashi University.
- Shintaro Yamaguchi, 2013. "Changes in Returns to Task-Specific Skills and Gender Wage Gap," Department of Economics Working Papers 2013-01, McMaster University.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.