The smooth colonel and the reverend find common ground

Nicholas Kiefer () and Jeffrey Racine

Econometric Reviews, 2017, vol. 36, issue 1-3, 241-256

Abstract: A semiparametric regression estimator that exploits categorical (i.e., discrete-support) kernel functions is developed for a broad class of hierarchical models including the pooled regression estimator, the fixed-effects estimator familiar from panel data, and the varying coefficient estimator, among others. Separate shrinking is allowed for each coefficient. Regressors may be continuous or discrete. The estimator is motivated as an intuitive and appealing generalization of existing methods. It is then supported by demonstrating that it can be realized as a posterior mean in the Lindley and Smith (1972) framework. As a demonstration of the flexibility of the proposed approach, the model is extended to nonparametric hierarchical regression based on B-splines.

Date: 2017
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Citations: View citations in EconPapers (11)

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Working Paper: The Smooth Colonel and the Reverend Find Common Ground (2013)
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DOI: 10.1080/07474938.2015.1114304

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