Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators

Matias Cattaneo and Max Farrell

Journal of Econometrics, 2013, vol. 174, issue 2, 127-143

Abstract: This paper studies the asymptotic properties of partitioning estimators of the conditional expectation function and its derivatives. Mean-square and uniform convergence rates are established and shown to be optimal under simple and intuitive conditions. The uniform rate explicitly accounts for the effect of moment assumptions, which is useful in semiparametric inference. A general asymptotic integrated mean-square error approximation is obtained and used to derive an optimal plug-in tuning parameter selector. A uniform Bahadur representation is developed for linear functionals of the estimator. Using this representation, asymptotic normality is established, along with consistency of a standard-error estimator. The finite-sample performance of the partitioning estimator is examined and compared to other nonparametric techniques in an extensive simulation study.

Keywords: Nonparametric estimation; Partitioning; Subclassification; Convergence rates; Bahadur representation; Asymptotic normality (search for similar items in EconPapers)
JEL-codes: C14 C21 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:174:y:2013:i:2:p:127-143

DOI: 10.1016/j.jeconom.2013.02.002

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