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Boundary modification in local polynomial regression

Author

Listed:
  • Yuanhua Feng

    (Paderborn University)

  • Bastian Schäfer

    (Paderborn University)

Abstract

This paper discusses the suitable choice of the weighting function at a boundary point in local polynomial regression and introduces two new boundary modi- cation methods by adapting known ideas for generating boundary kernels. Now continuous estimates at endpoints are achievable. Under given conditions the use of those quite different weighting functions at an interior point is equivalent. At a boundary point the use of dierent methods will lead to different estimates. It is also shown that the optimal weighting function at the endpoints is a natural extension of one of the optimal weighting functions in the interior. Furthermore, it is shown that the most well known boundary kernels proposed in the literature can be generated by local polynomial regression using corresponding weighting functions. The proposals are particularly useful, when one-side smoothing or de- tection of change points in nonparametric regression are considered.

Suggested Citation

  • Yuanhua Feng & Bastian Schäfer, 2021. "Boundary modification in local polynomial regression," Working Papers CIE 144, Paderborn University, CIE Center for International Economics.
  • Handle: RePEc:pdn:ciepap:144
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    File URL: http://groups.uni-paderborn.de/wp-wiwi/RePEc/pdf/ciepap/WP144.pdf
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    More about this item

    Keywords

    Local polynomial regression; equivalent weighting methods; boundary modification; boundary kernels; finite sample property;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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