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Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically

We introduce a new kernel smoother for nonparametric regression that uses prior information on regression shape in the form of a parametric model. In effect, we nonparametrically encompass the parametric model. We derive pointwise and uniform consistency and the asymptotic distribution of our procedure. It has superior performance to the usual kernel estimators at or near the parametric model. It is particularly well motivated for binary data using the probit or logit parametric model as a base. We include an application to the Horowitz (1993) transport choice dataset.

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File URL: http://cowles.econ.yale.edu/P/cd/d10b/d1075.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1075.

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Length: 41 pages
Date of creation: Aug 1994
Date of revision:
Handle: RePEc:cwl:cwldpp:1075
Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/

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Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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  1. Fenton, Victor M & Gallant, A Ronald, 1996. "Convergence Rates of SNP Density Estimators," Econometrica, Econometric Society, vol. 64(3), pages 719-27, May.
  2. Douglas A. McManus, 1994. "Making the Cobb-Douglas functional form an efficient nonparametric estimator through localization," Finance and Economics Discussion Series 94-31, Board of Governors of the Federal Reserve System (U.S.).
  3. 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.
  4. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  5. repec:dgr:kubcen:19926 is not listed on IDEAS
  6. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
  7. Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
  8. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  9. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
  10. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-81, November.
  11. Horowitz, Joel L., 1993. "Semiparametric estimation of a work-trip mode choice model," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 49-70, July.
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