Search Results - subject:"Optimal bandwidth"

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

Optimal Bandwidth Choice for the Regression Discontinuity Estimator

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

IZA DP No. 3995 Optimal Bandwidth Choice for the Regression Discontinuity Estimator Guido Imbens Karthik Kalyanaraman … from the author. IZA Discussion Paper No. 3995 February 2009 ABSTRACT Optimal Bandwidth Choice for the … rule performs well. JEL Classification: C14 Keywords: optimal bandwidth selection, local linear regression …

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

Panel nonparametric regression with fixed effects

Lee, Jungyoon; Robinson, Peter M. - In: Journal of econometrics 188 (2015) 2, pp. 346-362

Persistent link: https://www.econbiz.de/10011503072

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Sun, Yixiao; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

estimators in the context of linear GMM regression. The optimal bandwidth balances the asymptotic variance with the asymptotic … squared asymptotic bias. It turns out that the optimal bandwidth for interval estimation has a different expansion rate and is … typically substantially larger than the optimal bandwidth for point estimation of the standard errors. The new approach to …

Persistent link: https://www.econbiz.de/10005087368

Fourier methods for smooth distribution function estimation

Chacón, José E.; Monfort, Pablo; Tenreiro, Carlos - In: Statistics & Probability Letters 84 (2014) C, pp. 223-230

The limit behavior of the optimal bandwidth sequence for the kernel distribution function estimator is analyzed, in its …

Persistent link: https://www.econbiz.de/10011039941

Inflation Targeting - a Framework for Communication

Demertzis, Maria; Viegi, Nicola - de Nederlandsche Bank - 2007

. We thus derive the optimal band-width for different scenarios. …

Persistent link: https://www.econbiz.de/10005030207

The effect of the regularity of the error process on the performance of kernel regression estimators

Benhenni, Karim; Rachdi, Mustapha; Su, Yingcai - In: Metrika 76 (2013) 6, pp. 765-781

established. We found that the optimal bandwidth depends on the <InlineEquation ID="IEq8"> <EquationSource Format="TEX">$$(2k+1 …

Persistent link: https://www.econbiz.de/10010994970

Comparison of Parametric and Semi-Parametric Binary Response Models

Shen, Xiangjin; Li, Shiliang; Tsurumi, Hiroki - Department of Economics, Rutgers University-New Brunswick - 2013

A Bayesian semi-parametric estimation of the binary response model using Markov Chain Monte Carlo algorithms is proposed. The performances of the parametric and semi-parametric models are presented. The mean squared errors, receiver operating characteristic curve, and the marginal effect are...

Persistent link: https://www.econbiz.de/10010678597

Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects

Kim, Min Seong; Sun, Yixiao - In: Journal of Econometrics 177 (2013) 1, pp. 85-108

This paper studies robust inference for linear panel models with fixed effects in the presence of heteroskedasticity and spatiotemporal dependence of unknown forms. We propose a bivariate kernel covariance estimator that nests existing estimators as special cases. Our estimator improves upon...

Persistent link: https://www.econbiz.de/10010703141

Comparison of parametric and semi-parametric binary response models

Shen, Xiangjin; Li, Shiliang; Tsurumi, Hiroki - 2013

Persistent link: https://www.econbiz.de/10009766721