Spline Regression in the Presence of Categorical Predictors
We consider the problem of estimating a relationship nonparametrically using regression splines when there exist both continuous and categorical predictors. We combine the global properties of regression splines with the local properties of categorical kernel functions to handle the presence of categorical predictors rather than resorting to sample splitting as is typically done to accommodate their presence. The resulting estimator possesses substantially better nite-sample performance than either its frequency-based peer or cross-validated local linear kernel regression or even additive regression splines (when additivity does not hold). Theoretical underpinnings are provided and Monte Carlo simulations are undertaken to assess nite-sample behavior, and two illustrative applications are provided. An implementation in R (R Core Team (2012)) is available; see the R package 'crs' for details (Racine & Nie (2012)).
|Date of creation:||Aug 2012|
|Contact details of provider:|| Postal: 1280 Main Street West, Hamilton, Ontario, L8S 4M4|
Phone: (905) 525-9140 ext. 22765
Fax: (905) 521-8232
Web page: http://www.economics.mcmaster.ca/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
- Liu, Rong & Yang, Lijian, 2010. "Spline-Backfitted Kernel Smoothing Of Additive Coefficient Model," Econometric Theory, Cambridge University Press, vol. 26(01), pages 29-59, February.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.