Multivariate kernel regression in vector and product metric spaces

Marcia M. A. Schafgans and Victoria Zinde-Walsh

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper derives limit properties of nonparametric kernel regression estimators without requiring existence of density for regressors in ℝ . In functional regression limit properties are established for multivariate functional regression. The rate and asymptotic normality for the Nadaraya–Watson (NW) estimator is established for distributions of regressors in ℝ that allow for mass points, factor structure, multicollinearity and nonlinear dependence, as well as fractal distribution; when bounded density exists we provide statistical guarantees for the standard rate and the asymptotic normality without requiring smoothness. We demonstrate faster convergence associated with dimension reducing types of singularity, such as a fractal distribution or a factor structure in the regressors. The paper extends asymptotic normality of kernel functional regression to multivariate regression over a product of any number of metric spaces. Finite sample evidence confirms rate improvement due to singularity in regression over ℝ . For functional regression the simulations underline the importance of accounting for multiple functional regressors. We demonstrate the applicability and advantages of the NW estimator in our empirical study, which reexamines the job training program evaluation based on the LaLonde data .

Keywords: Nadaraya–Watson estimator; singular distribution; multivariate functional regression; small cube probability (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2025-12-22
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Published in Journal of Econometrics, 22, December, 2025, 253. ISSN: 0304-4076

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:130725

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