Search Results - subject:"Bandwidth selection"

Local composite quantile regression smoothing for Harris recurrent Markov processes

Li, Degui; Li, Runze - In: Journal of econometrics 194 (2016) 1, pp. 44-56

Persistent link: https://www.econbiz.de/10011705029

Härdle, Wolfgang Karl; Spokoiny, Vladimir; Wang, Weining - 2010

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...

Persistent link: https://www.econbiz.de/10010281556

Optimal bandwidth choice for the regression discontinuity estimator

Imbens, Guido; Kalyanaraman, Karthik - 2010

We investigate the problem of optimal choice of the smoothing parameter (bandwidth) for the regression discontinuity estimator. We focus on estimation by local linear regression, which was shown to be rate optimal (Porter, 2003). We derive the optimal bandwidth. This optimal bandwidth depends on...

Persistent link: https://www.econbiz.de/10010288396

An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method

Feng, Yuanhua - Department Volkswirtschaftslehre, Fachbereich für … - 2010

-driven bandwidth selection is a very useful tool to improve the Berlin Method. Deep insights into the iterative plug-in rule are also …

Persistent link: https://www.econbiz.de/10010780822

Optimal bandwidth choice for the regression discontinuity estimator

Imbens, Guido W.; Kalyanaraman, Karthik - 2009

We investigate the problem of optimal choice of the smoothing parameter (bandwidth) for the regression discontinuity estimator. We focus on estimation by local linear regression, which was shown to be rate optimal (Porter, 2003). Investigation of an expected-squared-error-loss criterion reveals...

Persistent link: https://www.econbiz.de/10010274346

Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators

Goh, Chuan - University of Toronto, Department of Economics - 2009

This paper considers the problem of implementing semiparametric extremum estimators of a generalized regression model with an unknown link function. The class of estimator under consideration includes as special cases the semiparametric least-squares estimator of Ichimura (1993) as well as the...

Persistent link: https://www.econbiz.de/10008506897

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2009

the alternative procedures available in the literature. Keywords: Average derivatives, Bandwidth selection, Robust … alternative bandwidth selection procedure, denoted h NR00, shows that h CCJ h NR00 whenever d + 8 > 2s. Therefore, h CCJ is of … 22s+d+2, respectively. Inspection of these bandwidth selectors shows that h CCJ h PS h NR, leading to a bandwidth …

Persistent link: https://www.econbiz.de/10008459760

Optimal Bandwidth Choice for the Regression Discontinuity Estimator

Imbens, Guido W.; Kalyanaraman, Karthik - Institute for the Study of Labor (IZA) - 2009

rule performs well. JEL Classification: C14 Keywords: optimal bandwidth selection, local linear regression … ˆm(2)+ (c). We provide a specific proposal for this in the next section. 4.2 Algorithm for bandwidth selection The … bandwidth selection procedure in the literature that is specifically aimed at providing a band- width in a regression …

Persistent link: https://www.econbiz.de/10005761925

Conditional density estimation in measurement error problems

Wang, Xiao-Feng; Ye, Deping - In: Journal of Multivariate Analysis 133 (2015) C, pp. 38-50

This paper is motivated by a wide range of background correction problems in gene array data analysis, where the raw gene expression intensities are measured with error. Estimating a conditional density function from the contaminated expression data is a key aspect of statistical inference and...

Persistent link: https://www.econbiz.de/10011116243

Domain selection for the varying coefficient model via local polynomial regression

Kong, Dehan; Bondell, Howard D.; Wu, Yichao - In: Computational Statistics & Data Analysis 83 (2015) C, pp. 236-250

In this article, we consider the varying coefficient model, which allows the relationship between the predictors and response to vary across the domain of interest, such as time. In applications, it is possible that certain predictors only affect the response in particular regions and not...

Persistent link: https://www.econbiz.de/10011117710