Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators

Juan Carlos Escanciano and David Jacho-Chávez

Economics Bulletin, 2009, vol. 29, issue 3, 1889-1895

Abstract: We prove the strong consistency, uniformly in the bandwidth, of the smooth varying coefficient conditional least squares estimator. Our results justify data-driven choices of bandwidths, such as Silverman's rule-of thumb, or standard cross-validation, that are usually implemented by most practitioners.

Keywords: Kernel estimators; empirical processes; varying coefficient models (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2009-08-07
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00404

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