Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance

In this paper, we conducted a Monte Carlo investigation to reveal some charac- teristics of …nite sample distributions of the back…tting (B) and Marginal Integration (MI) estimators for an additive bivariate regression. We are particularly interested in providing some evidence on how the di¤erent me...

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Bibliographic Details
Main Author: Silva, Fernando Augusto Boeira Sabino da
Other Authors: Sen, Pranab Kumar
Format: Others
Language:Portuguese
Published: 2015
Subjects:
Online Access:http://hdl.handle.net/10183/109669
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spelling ndltd-IBICT-oai-lume.ufrgs.br-10183-1096692018-10-21T17:04:35Z Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance Silva, Fernando Augusto Boeira Sabino da Sen, Pranab Kumar Economia Métodos qualitativos Modelos matemáticos Econometria In this paper, we conducted a Monte Carlo investigation to reveal some charac- teristics of …nite sample distributions of the back…tting (B) and Marginal Integration (MI) estimators for an additive bivariate regression. We are particularly interested in providing some evidence on how the di¤erent methods for the selection of bandwidth, such as the plug-in method, in‡uence the …nite sample properties of the MI and B estimators. We are particularly concerned with the performance of these estimators when bandwidth selection is done based in data driven methods, since in this case the aymptotics properties of these estimators are currently unavailable. The impact of ignoring the dependency between regressors is also investigated. Finally, di¤erently from what occurs at the present time, when the B and MI estimators are used ad-hoc, our objective is to provide information that allows for a more accurate comparison of these two competing alternatives in a …nite sample setting. 2015-02-05T02:17:13Z 2006 info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/masterThesis http://hdl.handle.net/10183/109669 000951323 por info:eu-repo/semantics/openAccess application/pdf reponame:Biblioteca Digital de Teses e Dissertações da UFRGS instname:Universidade Federal do Rio Grande do Sul instacron:UFRGS
collection NDLTD
language Portuguese
format Others
sources NDLTD
topic Economia
Métodos qualitativos
Modelos matemáticos
Econometria
spellingShingle Economia
Métodos qualitativos
Modelos matemáticos
Econometria
Silva, Fernando Augusto Boeira Sabino da
Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance
description In this paper, we conducted a Monte Carlo investigation to reveal some charac- teristics of …nite sample distributions of the back…tting (B) and Marginal Integration (MI) estimators for an additive bivariate regression. We are particularly interested in providing some evidence on how the di¤erent methods for the selection of bandwidth, such as the plug-in method, in‡uence the …nite sample properties of the MI and B estimators. We are particularly concerned with the performance of these estimators when bandwidth selection is done based in data driven methods, since in this case the aymptotics properties of these estimators are currently unavailable. The impact of ignoring the dependency between regressors is also investigated. Finally, di¤erently from what occurs at the present time, when the B and MI estimators are used ad-hoc, our objective is to provide information that allows for a more accurate comparison of these two competing alternatives in a …nite sample setting.
author2 Sen, Pranab Kumar
author_facet Sen, Pranab Kumar
Silva, Fernando Augusto Boeira Sabino da
author Silva, Fernando Augusto Boeira Sabino da
author_sort Silva, Fernando Augusto Boeira Sabino da
title Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance
title_short Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance
title_full Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance
title_fullStr Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance
title_full_unstemmed Additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance
title_sort additive nonparametric regression estimation via back…tting and marginal integration under common bandwidth selection criterion : small sample performance
publishDate 2015
url http://hdl.handle.net/10183/109669
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