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Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data

Chi-Yang Chu (), Daniel Henderson () and Christopher Parmeter
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Chi-Yang Chu: Department of Economics, Finance, and Legal Studies, University of Alabama, Tuscaloosa, AL 35487-0224, USA

Econometrics, 2015, vol. 3, issue 2, 1-16

Abstract: This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross-validated bandwidths, in non-uniform designs. We further find that plug-in bandwidths are relatively small. Several empirical examples show that the plug-in bandwidths are typically similar in magnitude to their cross-validated counterparts.

Keywords: nonparametric; kernel; discrete variable; bandwidth selection; plug-in (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2015
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