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This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears...
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We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...
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introduce a kernel-based method to estimate the time-varying regression function and provide asymptotic theory for our estimates …. Moreover, we show that the main conditions of the theory are satis ed for a large class of nonlinear autoregressive processes …
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