Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators

We prove the strong consistency, uniformly in the bandwidth, of the smooth varying coefficient conditional least squares estimator. Our results justify data-driven choices of bandwidths, such as Silverman's rule-of thumb, or standard cross-validation, that are usually implemented by most practitioners.

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Year of publication:	2009
Authors:	Escanciano, Juan carlos ; Jacho-chavez, David
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 3, p. 1889-1895
Publisher:	AccessEcon
Subject:	Kernel estimators \| empirical processes \| varying coefficient models

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008562886