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Applied nonparametric methods

In: Handbook of Econometrics

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Listed:
  • Hardle, Wolfgang
  • Linton, Oliver

Abstract

We review different approaches to nonparametric density and regression estimation. Kernel estimators are motivated from local averaging and solving ill-posed problems. Kernel estimators are compared to k-NN estimators, orthogonal series and splines. Pointwise and uniform confidence bands are described, and the choice of smoothing parameter is discussed. Finally, the method is applied to nonparametric prediction of time series and to semiparametric estimation.

Suggested Citation

  • Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
  • Handle: RePEc:eee:ecochp:4-38
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    References listed on IDEAS

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    1. Andrews, Donald W.K. & Whang, Yoon-Jae, 1990. "Additive Interactive Regression Models: Circumvention of the Curse of Dimensionality," Econometric Theory, Cambridge University Press, vol. 6(04), pages 466-479, December.
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    3. Chaudhuri, Probal, 1991. "Global nonparametric estimation of conditional quantile functions and their derivatives," Journal of Multivariate Analysis, Elsevier, vol. 39(2), pages 246-269, November.
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    5. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, pages 315-332.
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    7. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, pages 277-304.
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    9. Elbadawi, Ibrahim & Gallant, A Ronald & Souza, Geraldo, 1983. "An Elasticity Can Be Estimated Consistently without A Priori Knowledge of Functional Form," Econometrica, Econometric Society, vol. 51(6), pages 1731-1751, November.
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    14. Delgado, Miguel A., 1992. "Semiparametric Generalized Least Squares in the Multivariate Nonlinear Regression Model," Econometric Theory, Cambridge University Press, vol. 8(02), pages 203-222, June.
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    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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