The Smooth Colonel and the Reverend Find Common Ground
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.
|Date of creation:||Jan 2013|
|Date of revision:|
|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
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.:
- 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, 06.
- Kiefer, Nicholas M. & Racine, Jeffrey S., 2008. "The Smooth Colonel Meets the Reverend," Working Papers 08-01, Cornell University, Center for Analytic Economics.
- Shujie Ma & Jeffrey S. Racine, 2012. "Additive Regression Splines With Irrelevant Categorical and Continuous Regressors," Department of Economics Working Papers 2012-07, McMaster University.
- 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, 08.
- Shujie Ma & Jeffrey S. Racine & Lijian Yang, 2012. "Spline Regression in the Presence of Categorical Predictors," Department of Economics Working Papers 2012-06, McMaster University.
- Hayfield, Tristen & Racine, Jeffrey S., 2008. "Nonparametric Econometrics: The np Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i05).
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: ()
If references are entirely missing, you can add them using this form.