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K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables

  • Rui Li
  • Guan Gong
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We show that when estimating a non-parametric regression model, the k-nearest-neighbour non-parametric estimation method has the ability to remove irrelevant variables provided one uses a product weight function with a vector of smoothing parameters, and the least-squares cross-validation method is used to select the smoothing parameters. Simulation results are consistent with our theoretical analysis and show that the performance of the k-nn estimator is comparable to the popular kernel estimator; and it dominates a non-parametric series (spline) estimator when there exist irrelevant regressors. Copyright � 2008 The Author(s). Journal compilation � Royal Economic Society 2008

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Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 11 (2008)
Issue (Month): 2 (07)
Pages: 396-408

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Handle: RePEc:ect:emjrnl:v:11:y:2008:i:2:p:396-408
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