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Applied Nonparametric Methods

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.

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Paper provided by Tilburg - Center for Economic Research in its series Papers with number 9206.

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Length: 35 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:fth:tilbur:9206
Contact details of provider: Postal: TILBURG UNIVERSITY, CENTER FOR ECONOMIC RESEARCH, 5000 LE TILBURG THE NETHERLANDS.
Phone: 31 13 4663050
Fax: 31 13 4663066
Web page: http://center.uvt.nl/Email:


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  1. ENGLE, Robert F. & HENDRY, David F. & RICHARD, Jean-François, . "Exogeneity," CORE Discussion Papers RP -516, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.
  2. 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.
  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.
  4. Chamberlain, Gary, 1986. "Asymptotic efficiency in semi-parametric models with censoring," Journal of Econometrics, Elsevier, vol. 32(2), pages 189-218, July.
  5. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
  6. Altug, S. & Miller, R.A., 1991. "Human Capital, Aggregate Shocks and Panel Data Estimation," University of Chicago - Economics Research Center 91-1, Chicago - Economics Research Center.
  7. Donald W.K. Andrews, 1988. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Cowles Foundation Discussion Papers 874R, Cowles Foundation for Research in Economics, Yale University, revised May 1989.
  8. 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 1731-51, November.
  9. Gallant, A. Ronald & Souza, Geraldo, 1991. "On the asymptotic normality of Fourier flexible form estimates," Journal of Econometrics, Elsevier, vol. 50(3), pages 329-353, December.
  10. Engle, Robert F & Gardner, Roy, 1976. "Some Finite Sample Properties of Spectral Estimators of a Linear Regression," Econometrica, Econometric Society, vol. 44(1), pages 149-65, January.
  11. Hardle, W. & Hall, P. & Ichimura, H., 1991. "Optimal smoothing in single index models," CORE Discussion Papers 1991007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  12. Das, Sanghamitra, 1991. "A semiparametric structural analysis of the idling of cement kilns," Journal of Econometrics, Elsevier, vol. 50(3), pages 235-256, December.
  13. 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.
  14. repec:cup:etheor:v:6:y:1990:i:4:p:466-79 is not listed on IDEAS
  15. Deaton, Angus, 1989. "Rice Prices and Income Distribution in Thailand: A Non-parametric Analysis," Economic Journal, Royal Economic Society, vol. 99(395), pages 1-37, Supplemen.
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