Article ID Journal Published Year Pages File Type
5062670 Economics Letters 2006 5 Pages PDF
Abstract

We consider nonparametric estimation of optimal predictors when the loss function is linear-exponential (Linex). We derive asymptotic distributions of the local constant and local linear kernel estimators under Linex and discuss the rules for the optimal bandwidth.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Kernel estimation under linear-exponential loss
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