IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v23y1995i2p193-201.html

The approximate distribution of nonparametric regression estimates

Author

Listed:
  • Robinson, P. M.

Abstract

An improved normal approximation is obtained for the joint distribution of kernel nonparametric regression estimates, in the presence of arbitrarily many stochastic regressors and heteroscedastic but conditionally normal errors. The approximation and its goodness are affected by kernel choice and bandwidth rate.

Suggested Citation

  • Robinson, P. M., 1995. "The approximate distribution of nonparametric regression estimates," Statistics & Probability Letters, Elsevier, vol. 23(2), pages 193-201, May.
    • Handle: RePEc:eee:stapro:v:23:y:1995:i:2:p:193-201
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-7152(94)00113-M
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. P. M. Robinson, 1983. "Nonparametric Estimators For Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(3), pages 185-207, May.
    2. Härdle, Wolfgang, 1984. "Robust regression function estimation," Journal of Multivariate Analysis, Elsevier, vol. 14(2), pages 169-180, April.
    3. Mack, Y.P. & Mu¨ller, Hans-Georg, 1987. "Adaptive nonparametric estimation of a multivariate regression function," Journal of Multivariate Analysis, Elsevier, vol. 23(2), pages 169-183, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Velasco, Carlos & Robinson, Peter M., 2001. "Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean," Econometric Theory, Cambridge University Press, vol. 17(3), pages 497-539, June.
    2. Liudas Giraitis & Peter M Robinson, 2002. "Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory," STICERD - Econometrics Paper Series 438, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Giraitis, Liudas & Robinson, Peter, 2002. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 2130, London School of Economics and Political Science, LSE Library.
    4. Giraitis, L. & Robinson, P.M., 2003. "Edgeworth expansions for semiparametric Whittle estimation of long memory," LSE Research Online Documents on Economics 291, London School of Economics and Political Science, LSE Library.
    5. Peter M Robinson & Carlos Velasco, 2000. "Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539," STICERD - Econometrics Paper Series 390, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Battisti, Michele & Gatto, Massimo Del & Parmeter, Christopher F., 2022. "Skill-biased technical change and labor market inefficiency," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    2. Richard H. Clarida & Mark P. Taylor, 2003. "Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance," Economic Journal, Royal Economic Society, vol. 113(486), pages 125-139, March.
    3. Bonsoo Koo & Oliver Linton, 2010. "Semiparametric Estimation of Locally Stationary Diffusion Models," STICERD - Econometrics Paper Series 551, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010. "Combining Nonparametric and Optimal Linear Time Series Predictions," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
    5. Karlsen, Hans Arnfinn & Tjostheim, Dag, 1998. "Nonparametric estimation in null recurrent times series," SFB 373 Discussion Papers 1998,50, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    6. Park, Byeong U. & Simar, Léopold & Zelenyuk, Valentin, 2017. "Nonparametric estimation of dynamic discrete choice models for time series data," Computational Statistics & Data Analysis, Elsevier, vol. 108(C), pages 97-120.
    7. Chen, Xiaohong & Liao, Zhipeng & Sun, Yixiao, 2014. "Sieve inference on possibly misspecified semi-nonparametric time series models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 639-658.
    8. Martin Evans and Richard K. Lyons, 2002. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~02-02-12, Georgetown University, Department of Economics.
    9. Cai, Zongwu, 2003. "Nonparametric estimation equations for time series data," Statistics & Probability Letters, Elsevier, vol. 62(4), pages 379-390, May.
    10. Michel Carbon, 2005. "Frequency Polygons for Random Fields," Working Papers 2005-04, Center for Research in Economics and Statistics.
    11. Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016. "Semiparametric dynamic portfolio choice with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 194(2), pages 309-318.
    12. Aït-Sahalia, Yacine & Park, Joon Y., 2016. "Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models," Journal of Econometrics, Elsevier, vol. 192(1), pages 119-138.
    13. Wang, Ying & Phillips, Peter C.B. & Tu, Yundong, 2025. "Limit theory and inference in non-cointegrated functional coefficient regression," Journal of Econometrics, Elsevier, vol. 249(PB).
    14. Lee, Jungyoon & Robinson, Peter M., 2016. "Series estimation under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 190(1), pages 1-17.
    15. Jungyoon Lee & Peter Robinson, 2016. "Series estimation under cross-sectional dependence," LSE Research Online Documents on Economics 63380, London School of Economics and Political Science, LSE Library.
    16. Lee, Jungyoon & Robinson, Peter M., 2015. "Panel nonparametric regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 346-362.
    17. Guillermo Henry & Daniela Rodriguez, 2009. "Robust nonparametric regression on Riemannian manifolds," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(5), pages 611-628.
    18. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    19. Tsung-Lin Cheng & Hwai-Chung Ho & Xuewen Lu, 2008. "A Note on Asymptotic Normality of Kernel Estimation for Linear Random Fields on Z 2," Journal of Theoretical Probability, Springer, vol. 21(2), pages 267-286, June.
    20. LINTON, Olivier & PERRON, Benoît, 1999. "The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model," Cahiers de recherche 9911, Universite de Montreal, Departement de sciences economiques.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:23:y:1995:i:2:p:193-201. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.