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A simple bootstrap method for constructing nonparametric confidence bands for functions
Hall, Peter; Horowitz, Joel - 2012
Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias, which generally is not estimated consistently when using the bootstrap and conventionally smoothed function estimators. To overcome this problem it is common practice to either...
Persistent link: https://www.econbiz.de/10009554351
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Optimal bandwidth selection for differences of nonparametric estimators with an application to the sharp regression discontinuity design
Arai, Yoichi; Ichimura, Hidehiko - 2013
We consider the problem of choosing two bandwidths simultaneously for estimating the difference of two functions at given points. When the asymptotic approximation of the mean squared error (AMSE) criterion is used, we show that minimisation problem is not well-defined when the sign of the...
Persistent link: https://www.econbiz.de/10009753169
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Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator
Arai, Yoichi; Ichimura, Hidehiko - 2015
A new bandwidth selection rule that uses different bandwidths for the local linear regression estimators on the left … at the cut-off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection rule is … shown to be smaller than other bandwidth selection rules proposed in the literature. An extensive simulation study shows …
Persistent link: https://www.econbiz.de/10011300701
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Optimal bandwidth selection for the fuzzy regression discontinuity estimator
Arai, Yoichi; Ichimura, Hidehiko - 2015
A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two …
Persistent link: https://www.econbiz.de/10011317284
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Improved density and distribution function estimation
Oryshchenko, Vitaliy; Smith, Richard J. - 2018 - This draft: July 2018
Given additional distributional information in the form of moment restrictions, kernel density and distribution function estimators with implied generalised empirical likelihood probabilities as weights achieve a reduction in variance due to the systematic use of this extra information. The...
Persistent link: https://www.econbiz.de/10011878199
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Multiscale clustering of nonparametric regression curves
Vogt, Michael; Linton, Oliver - 2018
the same regression curve. We develop a bandwidth-free clustering method to estimate the unknown group structure from the … classical bandwidth or smoothing parameters. In the theoretical part of the paper, we analyze the statistical properties of our …
Persistent link: https://www.econbiz.de/10011775203
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Simple estimation of semiparametric models with measurement errors
Evdokimov, Kirill S.; Zeleneev, Andrei - 2022 - This version: 2022/02/22
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variance of the measurement errors is a fraction of that of the mismeasured variables, which is typical for empirical...
Persistent link: https://www.econbiz.de/10013041400
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Simple estimation of semiparametric models with measurement errors
Evdokimov, Kirill S.; Zeleneev, Andrei - 2025 - This version: November 28, 2024
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...
Persistent link: https://www.econbiz.de/10015178608
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Nonparametric estimation of finite mixtures
Bonhomme, Stéphane; Jochmans, Koen; Robin, Jean-Marc - 2014 - rev.
The aim of this paper is to provide simple nonparametric methods to estimate finitemixture models from data with repeated measurements. Three measurements suffice for the mixture to be fully identified and so our approach can be used even with very short panel data. We provide distribution...
Persistent link: https://www.econbiz.de/10010254835
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A simple bootstrap method for constructing nonparametric confidence bands for functions
Hall, Peter; Horowitz, Joel - 2013
Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias, which generally is not estimated consistently when using the bootstrap and conventionally smoothed function estimators. To overcome this problem, it is common practice to either...
Persistent link: https://www.econbiz.de/10009759778