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Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters

Dong Li () and Qi Li

Journal of Econometrics, 2010, vol. 157, issue 1, 179-190

Abstract: We consider nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. Most of the existing works on asymptotic distributions of a nonparametric/semiparametric estimator or a test statistic are based on some deterministic smoothing parameters, while in practice it is important to use data-driven methods to select the smoothing parameters. In this paper we give a simple sufficient condition that can be used to establish the first order asymptotic equivalence of a nonparametric estimator or a test statistic with stochastic smoothing parameters to those using deterministic smoothing parameters. We also allow for general weakly dependent data.

Keywords: Smoothing; parameters; Data-driven; Cross-validation; Asymptotic; equivalence (search for similar items in EconPapers)
Date: 2010
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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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