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Averaging estimators for kernel regressions

Chu-An Liu ()

Economics Letters, 2018, vol. 171, issue C, 102-105

Abstract: This paper considers model averaging for kernel regressions. We construct a weighted average of the local constant and local linear estimators at each point of estimation. We propose a two-step cross-validation method for bandwidths and weights selection, and derive the rate of convergence of the cross-validation weights to their optimal benchmark values.

Keywords: Cross-validation; Local constant estimator; Local linear estimator; Model averaging (search for similar items in EconPapers)
JEL-codes: C14 C51 C52 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.econlet.2018.07.016

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