Comments on: Model-free model-fitting and predictive distributions

Stefan Sperlich ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2013, vol. 22, issue 2, 227-233

Abstract: Discussing the paper “Model-free model-fitting and predictive distributions” by Politis ( 2013 ), we propose to extend this procedure to semiparametric and parametric mixed effects models (MEM) as in practice, these are probably the most popular ones for prediction. Specifically, combining Politis’ prediction method with procedures from Lombardía and Sperlich (Comput. Stat. Data Anal. 56:2903–2917, 2012 ) and González-Manteiga et al. (J. Multivar. Anal. 114:288–302, 2013 ) yields new MEM-based MF/MB point and interval predictors which can be used for example for small area statistics. Combining Politis’ idea with nonparametric matching estimators may also yield improved (point and interval) estimators for treatment effects and policy evaluation. Copyright Sociedad de Estadística e Investigación Operativa 2013

Keywords: Prediction; Small area statistics; Treatment effect estimation; Non- and semiparametric estimation; 62G08; 62G86; 62G15; 62F40; 62F86; 62F25 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s11749-013-0318-6

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