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Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators

Author

Listed:
  • Juan carlos Escanciano

    () (Indiana University, Bloomington)

  • David Jacho-chavez

    () (Indiana University)

Abstract

We prove the strong consistency, uniformly in the bandwidth, of the smooth varying coefficient conditional least squares estimator. Our results justify data-driven choices of bandwidths, such as Silverman's rule-of thumb, or standard cross-validation, that are usually implemented by most practitioners.

Suggested Citation

  • Juan carlos Escanciano & David Jacho-chavez, 2009. "Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators," Economics Bulletin, AccessEcon, vol. 29(3), pages 1889-1895.
  • Handle: RePEc:ebl:ecbull:eb-09-00404
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I3-P37.pdf
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    References listed on IDEAS

    as
    1. Li, Qi, et al, 2002. "Semiparametric Smooth Coefficient Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 412-422, July.
    2. Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 560-586, June.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Kernel estimators; empirical processes; varying coefficient models;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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