Non- and semi-parametric estimation in models with unknown smoothness

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Dec 2006 Canada English Publisher:Elsevier BVJournal:Economics Letters, volume 93, pages 379-386 (issn: 0165-1765,

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Authors: Zinde-Walsh, Victoria; Kotlyarova, Yulia;

doi: 10.1016/j.econlet.2006.06.014

Non- and semi-parametric estimation in models with unknown smoothness

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Abstract

Abstract Many asymptotic results for kernel-based estimators were established under some smoothness assumption on density. We propose a combined estimator that could lead to the best available rate without knowledge of density smoothness. A Monte Carlo example confirms its good performance.

Country

Canada

Related Organizations

Dalhousie University
Canada
McGill University
Canada

Keywords

Combined estimator, Economics, Nonparametric estimation, jel: jel:C14

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