IDEAS home Printed from https://ideas.repec.org/p/mcm/deptwp/2013-03.html
   My bibliography  Save this paper

The Smooth Colonel and the Reverend Find Common Ground

Author

Listed:
  • Nicholas M. Kiefer
  • Jeffrey S. Racine

Abstract

A class of kernel regression estimators is developed for a broad class of hierarchical models including the pooled regression estimator, the fixed-effect model familiar from panel data, etc. Separate shrinking is allowed for each coefficient. Regressors may be continuous or discrete. The estimator is motivated as an intuitive and appealing generalization of existing methods. It is then supported by demonstrating that it can be realized as a posterior mean in the Lindley & Smith (1972) framework. The model is extended to nonparametric hierarchical regression based on B-splines.

Suggested Citation

  • Nicholas M. Kiefer & Jeffrey S. Racine, 2013. "The Smooth Colonel and the Reverend Find Common Ground," Department of Economics Working Papers 2013-03, McMaster University.
  • Handle: RePEc:mcm:deptwp:2013-03
    as

    Download full text from publisher

    File URL: http://socserv.mcmaster.ca/econ/rsrch/papers/archive/2013-03.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. QI Li & Desheng Ouyang & Jeffrey S. Racine, 2013. "Categorical semiparametric varying‐coefficient models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 551-579, June.
    2. Nicholas Kiefer & Jeffrey Racine, 2009. "The smooth Colonel meets the Reverend," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(5), pages 521-533.
    3. Shujie Ma & Jeffrey S. Racine & Lijian Yang, 2015. "Spline Regression in the Presence of Categorical Predictors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(5), pages 705-717, August.
    4. Hayfield, Tristen & Racine, Jeffrey S., 2008. "Nonparametric Econometrics: The np Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i05).
    5. Shujie Ma & Jeffrey S. Racine, 2012. "Additive Regression Splines With Irrelevant Categorical and Continuous Regressors," Department of Economics Working Papers 2012-07, McMaster University.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jean Pierre Huiban & Camilla Mastromarco & Antonio Musolesi & Michel Simioni, 2018. "The impact of pollution abatement investments on production technology: a nonparametric approach," SEEDS Working Papers 0918, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Sep 2018.
    2. Simioni, Michel & Thomas-Agnan, Christine & Trinh, Thi-Huong, 2017. "A Fresh Look at the Nutrition Transition in Vietnam using Semiparametric Modeling," TSE Working Papers 17-842, Toulouse School of Economics (TSE).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mcm:deptwp:2013-03. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/demcmca.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.