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Regression towards the mode

  • Gordon C.R. Kemp

    ()

  • J.M.C. Santos Silva

    ()

We propose a semi-parametric mode regression estimator for the case in which the variate of interest is continuous and observable over its entire un- bounded support. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution. Simulation results and an empirical illustration are provided to highlight the practicality and usefulness of the estimator.

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File URL: http://www.essex.ac.uk/economics/discussion-papers/papers-text/dp686.pdf
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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 686.

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Date of creation: 25 Feb 2010
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Handle: RePEc:esx:essedp:686
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  10. Gordon C.R. Kemp & J.M.C. Santos Silva, 2010. "Regression towards the mode," Economics Discussion Papers 686, University of Essex, Department of Economics.
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