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Smoothing for small samples with model misspecification: Nonparametric and semiparametric concerns

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  • James Mays
  • Jeffrey Birch

Abstract

Our goal is to find a regression technique that can be used in a small-sample situation with possible model misspecification. The development of a new bandwidth selector allows nonparametric regression (in conjunction with least squares) to be used in this small-sample problem, where nonparametric procedures have previously proven to be inadequate. Considered here are two new semiparametric (model-robust) regression techniques that combine parametric and nonparametric techniques when there is partial information present about the underlying model. A general overview is given of how typical concerns for bandwidth selection in nonparametric regression extend to the model-robust procedures. A new penalized PRESS criterion (with a graphical selection strategy for applications) is developed that overcomes these concerns and is able to maintain the beneficial mean squared error properties of the new model-robust methods. It is shown that this new selector outperforms standard and recently improved bandwidth selectors. Comparisons of the selectors are made via numerous generated data examples and a small simulation study.

Suggested Citation

  • James Mays & Jeffrey Birch, 2002. "Smoothing for small samples with model misspecification: Nonparametric and semiparametric concerns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(7), pages 1023-1045.
  • Handle: RePEc:taf:japsta:v:29:y:2002:i:7:p:1023-1045
    DOI: 10.1080/0266476022000006720
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    References listed on IDEAS

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    1. Clifford M. Hurvich & Jeffrey S. Simonoff & Chih‐Ling Tsai, 1998. "Smoothing parameter selection in nonparametric regression using an improved Akaike information criterion," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(2), pages 271-293.
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