The Smooth Colonel and the Reverend Find Common Ground

Nicholas Kiefer (nicholas.kiefer@cornell.edu) and Jeffrey Racine

Department of Economics Working Papers from McMaster University

Abstract: A class of kernel regression estimators is developed for a broad class of hierarchical models including the pooled regression estimator, the fixed-effect model familiar from panel data, etc. Separate shrinking is allowed for each coefficient. Regressors may be continuous or discrete. The estimator is motivated as an intuitive and appealing generalization of existing methods. It is then supported by demonstrating that it can be realized as a posterior mean in the Lindley & Smith (1972) framework. The model is extended to nonparametric hierarchical regression based on B-splines.

Pages: 20 pages
Date: 2013-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:mcm:deptwp:2013-03

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