Regression towards the mode

Gordon Kemp and João Santos Silva

Journal of Econometrics, 2012, vol. 170, issue 1, 92-101

Abstract: We propose a semi-parametric mode regression estimator for the case in which the dependent variable has a continuous conditional density with a well-defined global mode. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution.

Keywords: Conditional mode; Density estimation; Normal kernel; Robust regression (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (20)

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Working Paper: Regression towards the mode (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:170:y:2012:i:1:p:92-101

DOI: 10.1016/j.jeconom.2012.03.002

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