Nonparametric Regression under Cluster Sampling

Yuya Shimizu
Additional contact information
Yuya Shimizu: Department of Economics, University of Wisconsin, Madison, U.S.A. and Junior Research Fellow, Research Institute for Economics & Business Administration (RIEB), Kobe University, JAPAN

No DP2024-20, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper develops a general asymptotic theory for nonparametric kernel regression in the presence of cluster dependence. We examine nonparametric density estimation, Nadaraya-Watson kernel regression, and local linear estimation. Our theory accommodates growing and heterogeneous cluster sizes. We derive asymptotic conditional bias and variance, establish uniform consistency, and prove asymptotic normality. Our findings reveal that under heterogeneous cluster sizes, the asymptotic variance includes a new term reflecting within-cluster dependence, which is overlooked when cluster sizes are presumed to be bounded. We propose valid approaches for bandwidth selection and inference, introduce estimators of the asymptotic variance, and demonstrate their consistency. In simulations, we verify the effectiveness of the cluster-robust bandwidth selection and show that the derived cluster-robust confidence interval improves the coverage ratio. We illustrate the application of these methods using a policy-targeting dataset in development economics.

Pages: 77 pages
Date: 2024-06
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2024-20.pdf First version, 2024 (application/pdf)

Related works:
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:kob:dpaper:dp2024-20

Access Statistics for this paper

More papers in Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University 2-1 Rokkodai, Nada, Kobe 657-8501 JAPAN. Contact information at EDIRC.
Bibliographic data for series maintained by Office of Promoting Research Collaboration, Research Institute for Economics & Business Administration, Kobe University ().