Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214
This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of … mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross …-validated bandwidths, in non-uniform designs. We further find that plug-in bandwidths are relatively small. Several empirical examples show …