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Weighted Kernel regression

Author

Listed:
  • Pedro Delicado
  • Manuel del Rio

Abstract

In the fixed design regression model, additional weights are considered for the Nadaraya--Watson and Gasser--M\"uller kernel estimators. We study their asymptotic behavior and the relationships between new and classical estimators. For a simple family of weights, and considering the IMSE as global loss criterion, we show some possible theoretical advantages. An empirical study illustrates the performance of the weighted estimators in finite samples.

Suggested Citation

  • Pedro Delicado & Manuel del Rio, 1996. "Weighted Kernel regression," Economics Working Papers 164, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 1997.
  • Handle: RePEc:upf:upfgen:164
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    Keywords

    Asymptotic behavior; fixed design; nonparametric regression; smoothing;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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