کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096818 1376551 2010 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
چکیده انگلیسی
We consider nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. Most of the existing works on asymptotic distributions of a nonparametric/semiparametric estimator or a test statistic are based on some deterministic smoothing parameters, while in practice it is important to use data-driven methods to select the smoothing parameters. In this paper we give a simple sufficient condition that can be used to establish the first order asymptotic equivalence of a nonparametric estimator or a test statistic with stochastic smoothing parameters to those using deterministic smoothing parameters. We also allow for general weakly dependent data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 157, Issue 1, July 2010, Pages 179-190
نویسندگان
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