Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters |
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Authors: | Dong Li Qi Li |
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Affiliation: | 1. Department of Economics, Kansas State University, Manhattan, KS 66506-4001, United States;2. Department of Economics, Texas A&M University College Station, TX 77843-4228, United States |
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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. |
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Keywords: | C14 |
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