A Class of Improved Parametrically Guided Nonparametric Regression Estimators

Carlos Martins-Filho, Santosh Mishra and Aman Ullah

Econometric Reviews, 2008, vol. 27, issue 4-6, 542-573

Abstract: In this article we define a class of estimators for a nonparametric regression model with the aim of reducing bias. The estimators in the class are obtained via a simple two-stage procedure. In the first stage, a potentially misspecified parametric model is estimated and in the second stage the parametric estimate is used to guide the derivation of a final semiparametric estimator. Mathematically, the proposed estimators can be thought as the minimization of a suitably defined Cressie-Read discrepancy that can be shown to produce conventional nonparametric estimators, such as the local polynomial estimator, as well as existing two-stage multiplicative estimators, such as that proposed by Glad (1998). We show that under fairly mild conditions the estimators in the proposed class are [image omitted] asymptotically normal and explore their finite sample (simulation) behavior.

Keywords: Asymptotic normality; Combined semiparametric estimation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (16)

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DOI: 10.1080/07474930801960444

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