Non And Semi-Parametric Estimation In Models With Unknown Smoothness
Many asymptotic results for kernel-based estimators were established under some smoothness assumption on density. For cases where smoothness assumptions that are used to derive unbiasedness or asymptotic rate may not hold we propose a combined estimator that could lead to the best available rate without knowledge of density smoothness. A Monte Carlo example confirms good performance of the combined estimator.
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- Pagan,Adrian & Ullah,Aman, 1999.
Cambridge University Press, number 9780521355643.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115.
- Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1172-1196, October.
- Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May. Full references (including those not matched with items on IDEAS)