The approximate distribution of nonparametric regression estimates

P. M. Robinson

Statistics & Probability Letters, 1995, vol. 23, issue 2, 193-201

Abstract: An improved normal approximation is obtained for the joint distribution of kernel nonparametric regression estimates, in the presence of arbitrarily many stochastic regressors and heteroscedastic but conditionally normal errors. The approximation and its goodness are affected by kernel choice and bandwidth rate.

Keywords: Nonparametric; regression; Stochastic; regressors; Kernel; estimates; Higher-order; approximate; distribution; Optimal; bandwidth; Higher-order; kernel (search for similar items in EconPapers)
Date: 1995
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Citations: View citations in EconPapers (5)

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