Adapting kernel estimation to uncertain smoothness

Yulia Kotlyarova, Marcia M. A. Schafgans and Zinde‐Walsh, Victoria
Authors registered in the RePEc Author Service: Victoria Zinde-Walsh

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate of convergence. In practice, even with smoothness the estimation errors may be substantial and sensitive to the choice of the bandwidth and kernel. For distributions that do not have sufficient smoothness asymptotic theory may importantly differ from standard; for example, there may be no bandwidth for which average estimators attain root-n consistency. We demonstrate that non-convex combinations of estimators computed for different kernel/bandwidth pairs can reduce the trace of asymptotic mean square error relative even to the optimal kernel/bandwidth pair. Our combined estimator builds on these results. To construct it we provide new general estimators for degree of smoothness, optimal rate and for the biases and covariances of estimators. We show that a bootstrap estimator is consistent for the variance of local estimators but exhibits a large bias for the average estimators; a suitable adjustment is provided.

Keywords: nonparametric estimation; kernel based estimator; combined stimator; variance bootstrap (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2011-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://eprints.lse.ac.uk/42015/ Open access version. (application/pdf)

Related works:
Working Paper: Adapting Kernel Estimation to Uncertain Smoothness (2011)
Working Paper: Adapting Kernel Estimation to Uncertain Smoothness (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:42015

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().