Weighted Kernel Regression

Pedro Delicado and Manuel del Rio

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: In the fixed design regression model, additional weights are considered for the Nadaraya--Watson and Gasser--M\"uller kernel estimators. We study their asymptotic behavior and the relationships between new and classical estimators. For a simple family of weights, and considering the IMSE as global loss criterion, we show some possible theoretical advantages. An empirical study illustrates the performance of the weighted estimators in finite samples.

Keywords: Asymptotic behavior; fixed design; nonparametric regression; smoothing (search for similar items in EconPapers)
JEL-codes: C14 C15 (search for similar items in EconPapers)
Date: 1996-03, Revised 1997-04
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Persistent link: http://EconPapers.repec.org/RePEc:upf:upfgen:164

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