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Regression towards the mode

  • Kemp, Gordon C.R.
  • Santos Silva, J.M.C.

We propose a semi-parametric mode regression estimator for the case in which the dependent variable has a continuous conditional density with a well-defined global mode. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304407612000735
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 170 (2012)
Issue (Month): 1 ()
Pages: 92-101

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Handle: RePEc:eee:econom:v:170:y:2012:i:1:p:92-101
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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