Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters Academic Article

abstract

• 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.

authors

• Li, Qi

published proceedings

• JOURNAL OF ECONOMETRICS

author list (cited authors)

• Li, D., & Li, Q. i.

citation count

• 19

complete list of authors

• Li, Dong||Li, Qi

publication date

• January 2010

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• Asymptotic Equivalence
• Cross-validation
• Data-driven
• Smoothing Parameters

Digital Object Identifier (DOI)

• 10.1016/j.jeconom.2009.10.026

start page

• 179

end page

• 190

volume

• 157

issue

• 1

URL

• http://dx.doi.org/10.1016/j.jeconom.2009.10.026