Regression towards the mode

Gordon Kemp and João Santos Silva

Economics Discussion Papers from University of Essex, Department of Economics

Abstract: We propose a semi-parametric mode regression estimator for the case in which the variate of interest is continuous and observable over its entire un- bounded support. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution. Simulation results and an empirical illustration are provided to highlight the practicality and usefulness of the estimator.

Date: 2010
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Citations: View citations in EconPapers (3)

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Journal Article: Regression towards the mode (2012)
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