Local Polynomial Derivative Estimation: Analytic or Taylor?

Jeffrey Racine

Department of Economics Working Papers from McMaster University

Abstract: Local polynomial regression is extremely popular in applied settings. Recent developments in shape constrained nonparametric regression allow practitioners to impose constraints on local polynomial estimators thereby ensuring that the resulting estimates are consistent with underlying theory. However, it turns out that local polynomial derivative estimates may fail to coincide with the analytic derivative of the local polynomial regression estimate which can be problematic, particularly in the context of shape constrained estimation. In such cases practitioners might prefer to instead use analytic derivatives along the lines of those proposed in the local constant setting by Rilstone & Ullah (1989). Demonstrations and applications are considered.

Keywords: nonparametric; smoothing; constrained estimation (search for similar items in EconPapers)
Pages: 16 pages
Date: 2015-03
New Economics Papers: this item is included in nep-ecm
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http://socserv.mcmaster.ca/econ/rsrch/papers/archive/2015-02.pdf (application/pdf)

Related works:
Chapter: Local Polynomial Derivative Estimation: Analytic or Taylor? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:mcm:deptwp:2015-02

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