Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
From MaRDI portal
Publication:530987
DOI10.1016/j.jeconom.2009.10.026zbMath1431.62646OpenAlexW2049060279MaRDI QIDQ530987
Publication date: 1 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.026
Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)
Related Items
Nearest neighbor hazard estimation with left-truncated duration data, Consistent model specification tests based on \(k\)-nearest-neighbor estimation method, Gradient-based bandwidth selection for estimating average derivatives, Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach, A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS, Inference on individual treatment effects in nonseparable triangular models, Functional coefficient regression models with time trend, Powerful tests for structural changes in volatility, A consistent nonparametric test of parametric regression functional form in fixed effects panel data models, Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing, Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates, A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model, A Partially Linear Kernel Estimator for Categorical Data, Multivariate Local Polynomial Kernel Estimators: Leading Bias and Asymptotic Distribution, Cross-validated mixed-datatype bandwidth selection for nonparametric cumulative distribution/survivor functions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A consistent test of functional form via nonparametric estimation techniques
- Nonparametric estimation of regression functions with both categorical and continuous data
- A consistent model specification test with mixed discrete and continuous data
- Optimal bandwidth selection in nonparametric regression function estimation
- An asymptotically optimal window selection rule for kernel density estimates
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- When does bootstrap work! Asymptotic results and simulations
- Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
- Consistent model specification tests for time series econometric models
- Maximal inequalities for degenerate \(U\)-processes with applications to optimization estimators
- Convergence rates and asymptotic normality for series estimators
- Weak convergence of the sequential empirical processes of residuals in ARMA models
- Some Limit Theorems for Random Functions. I
- How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
- Root-N-Consistent Semiparametric Regression
- Root-n-consistent estimation of partially linear time series models
- A Smoothed Maximum Score Estimator for the Binary Response Model
- Regression Smoothing Parameters That Are Not Far From Their Optimum
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- NONPARAMETRIC SIGNIFICANCE TESTING
- Sieve Extremum Estimates for Weakly Dependent Data
- On the Role of the Propensity Score in Efficient Semiparametric Estimation of Average Treatment Effects
- Methods for Estimating a Conditional Distribution Function
- Semiparametric Estimation of Index Coefficients
- REGRESSION QUANTILES FOR TIME SERIES
- Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- Convergence of stochastic processes
