Arbeitspapier
A nonparametric regression estimator that adapts to error distribution of unknown form
We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum likelihood estimator [Staniswalis (1989)], and hence improves on standard kernel estimators when the error distribution is not normal. We investigate the finite sample performance of our procedure on simulated data.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2001,33
- Klassifikation
-
Wirtschaft
Estimation: General
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- Thema
-
Adaptive Estimation
Asymptotic Expansions
Efficiency
Kernel
Local Likelihood Estimation
Nonparametrie Regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Linton, Oliver Bruce
Xiao, Zhijie
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10049681
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Linton, Oliver Bruce
- Xiao, Zhijie
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2001
Ähnliche Objekte (12)
A Nonparametric Regression Estimator that Adapts to Error Distribution of unknown Form
A Simple Nonparametric Estimator of a Monotone Regression Function
A simple nonparametric estimator of a monotone regression function
Correction for covariate measurement error in nonparametric regression
Correction for covariate measurement error in nonparametric regression
Testing for symmetric error distribution in nonparametric regression models
Testing for Symmetric Error Distribution in Nonparametric Regression Models
Matching as a regression estimator
Empirical likelihood estimators for the error distribution in nonparametric regression models
Empirical likelihood estimators for the error distribution in nonparametric regression models
Nonparametric nonstationary regression
About the Novel MLR Regression Estimator
A Nonparametric Regression Estimator that Adapts to Error Distribution of unknown Form
A Simple Nonparametric Estimator of a Monotone Regression Function
A simple nonparametric estimator of a monotone regression function
Correction for covariate measurement error in nonparametric regression
Correction for covariate measurement error in nonparametric regression
Testing for symmetric error distribution in nonparametric regression models
Testing for Symmetric Error Distribution in Nonparametric Regression Models
Matching as a regression estimator
Empirical likelihood estimators for the error distribution in nonparametric regression models
Empirical likelihood estimators for the error distribution in nonparametric regression models
Nonparametric nonstationary regression
About the Novel MLR Regression Estimator
A Nonparametric Regression Estimator that Adapts to Error Distribution of unknown Form
A Simple Nonparametric Estimator of a Monotone Regression Function
A simple nonparametric estimator of a monotone regression function
Correction for covariate measurement error in nonparametric regression
Correction for covariate measurement error in nonparametric regression
Testing for symmetric error distribution in nonparametric regression models
Testing for Symmetric Error Distribution in Nonparametric Regression Models
Matching as a regression estimator
Empirical likelihood estimators for the error distribution in nonparametric regression models
Empirical likelihood estimators for the error distribution in nonparametric regression models
Nonparametric nonstationary regression