EconPapers    
Economics at your fingertips  
 

Bandwidth selection for nonparametric regression with errors-in-variables

Hao Dong (), Taisuke Otsu and Luke Taylor ()

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We propose two novel bandwidth selection procedures for the nonparametric regression model with classical measurement error in the regressors. Each method is based on evaluating the prediction errors of the regression using a second (density) deconvolution. The first approach uses a typical leave-one-out cross validation criterion, while the second applies a bootstrap approach and the concept of out-of-bag prediction. We show the asymptotic validity of both procedures and compare them to the SIMEX method of Delaigle and Hall (2008) in a Monte Carlo study. As well as enjoying advantages in terms of computational cost, the methods proposed in this paper lead to lower mean integrated squared error compared to the current state-of-the-art.

Keywords: bandwidth selection; measurement error; bootstrap (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2022-01
New Economics Papers: this item is included in nep-ecm, nep-his and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://sticerd.lse.ac.uk/dps/em/em620.pdf (application/pdf)

Related works:
Working Paper: Bandwidth Selection for Nonparametric Regression with Errors-in-Variables (2021) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:620

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().

 
Page updated 2022-09-24
Handle: RePEc:cep:stiecm:620