EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I3-P37.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00404

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

 
Page updated 2021-04-12
Handle: RePEc:ebl:ecbull:eb-09-00404