Regression towards the mode

We propose a semi-parametric mode regression estimator for the case in which the dependent variable has a continuous conditional density with a well-defined global mode. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution.

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Year of publication:	2012
Authors:	Kemp, Gordon C.R. ; Santos Silva, J.M.C.
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 170.2012, 1, p. 92-101
Publisher:	Elsevier
Subject:	Conditional mode \| Density estimation \| Normal kernel \| Robust regression

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Type of publication:	Article
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010664697