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On estimating the nonparametric multiplicative error models

Shuo Li and Yundong Tu

Economics Letters, 2016, vol. 143, issue C, 66-68

Abstract: In a nonparametric multiplicative error model, this paper considers estimation of the regression mean function when the error is conditional homoscedastic. To exploit the conditional homoscedasticity information, we propose to estimate the conditional mean function using nonparametric generalized method of moments. The resulted estimator is shown to be asymptotically normal and enjoy superior finite sample properties in Monte Carlo simulations.

Keywords: Multiplicative error model; Kernel smoothing; Conditional homoscedasticity; Generalized method of moments (search for similar items in EconPapers)
JEL-codes: C14 C53 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.econlet.2016.03.023

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