Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity

Azhong Ye, Rob Hyndman () and Zinai Li

No 8/06, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its consistency and asymptotic normality in the interior of the observed data and obtain its rates of convergence. This result is used to obtain practical direct plug-in bandwidth selectors for heteroscedastic regression in one and two dimensions. We show that the local linear estimator with variable bandwidth has better goodness-of-fit properties than the local linear estimator with constant bandwidth, in the presence of heteroscedasticity.

Keywords: Heteroscedasticity; kernel smoothing; local linear regression; plug-in bandwidth, variable bandwidth. (search for similar items in EconPapers)
JEL-codes: C12 C15 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2006-05
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