Nonparametric estimation of regression models with mixed discrete and continuous covariates by the K-nn method

Carl Green, Qi Li and Yu Yvette Zhang

Econometric Reviews, 2017, vol. 36, issue 1-3, 205-224

Abstract: In this article we consider the problem of estimating a nonparametric conditional mean function with mixed discrete and continuous covariates by the nonparametric k -nearest-neighbor ( k-nn ) method. We derive the asymptotic normality result of the proposed estimator and use Monte Carlo simulations to demonstrate its finite sample performance. We also provide an illustrative empirical example of our method.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:205-224

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DOI: 10.1080/07474938.2015.1114295

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