Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
- Additional Document Info
- View All
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. 2009 Elsevier B.V. All rights reserved.
author list (cited authors)
complete list of authors