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Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators

  • Matthias Hagmann
  • Olivier Scaillet

We consider semiparametric asymmetric kernel density estimators when the unknown density has support on [0, ¥). We provide a unifying framework which contains asymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows us to use popular parametric models in a nonparametric fashion and yields estimators which are robust to misspecification. We further develop a specification test to determine if a density belongs to a particular parametric family. The proposed estimators outperform rival non- and semiparametric estimators in finite samples and are simple to implement. We provide applications to loss data from a large Swiss health insurer and Brazilian income data.

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Paper provided by Royal Economic Society in its series Royal Economic Society Annual Conference 2004 with number 25.

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Date of creation: 17 Sep 2004
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Handle: RePEc:ecj:ac2004:25
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  8. Fernandes, Marcelo & Monteiro, Paulo Klinger, 2004. "Central limit theorem for asymmetric kernel functionals," Economics Working Papers (Ensaios Economicos da EPGE) 522, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  9. Bouezmarni, Taoufik & Scaillet, Olivier, 2005. "Consistency Of Asymmetric Kernel Density Estimators And Smoothed Histograms With Application To Income Data," Econometric Theory, Cambridge University Press, vol. 21(02), pages 390-412, April.
  10. Bolance, Catalina & Guillen, Montserrat & Perch Nielsen, Jens, 2000. "Kernel Density Estimation of Actuarial Loss Functions," Finance Working Papers 00-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  11. Gozalo, Pedro & Linton, Oliver, 2000. "Local nonlinear least squares: Using parametric information in nonparametric regression," Journal of Econometrics, Elsevier, vol. 99(1), pages 63-106, November.
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  14. O. Scaillet, 2001. "Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels," THEMA Working Papers 2001-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  15. Abadir, Karim M. & Lawford, Steve, 2004. "Optimal asymmetric kernels," Economics Letters, Elsevier, vol. 83(1), pages 61-68, April.
  16. Christian Gourieroux & Joanna Jasiak, 2001. "Local Likelihood Density Estimation and Value at Risk," Working Papers 2001-31, Centre de Recherche en Economie et Statistique.
  17. Frank A Cowell & Francisco H.G. Ferreira & Julie Litchfield, 1996. "Income Distribution in Brazil 1981-1990: Parametric and Non-Parametric Approaches," STICERD - Distributional Analysis Research Programme Papers 21, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  18. Matthias Hagmann & Olivier Scaillet, 2004. "Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators," Royal Economic Society Annual Conference 2004 25, Royal Economic Society.
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