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

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.

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